MAURER, Frantz; CARDEBAT, Jean Marie; JIAO, Linda

doi:10.1017/jwe.2020.18

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MAURER, Frantz

CARDEBAT, Jean Marie

Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]

JIAO, Linda

Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]

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Journal of Wine Economics. 2020-05, vol. 15, n° 2, p. 229-259

Resumen en inglés

In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events.< Leer menos

Palabras clave

portfolio management

wine

Palabras clave en inglés

alternative assets

copulas