CARDEBAT, Jean Marie; JIAO, Linda

doi:10.1016/j.qref.2017.07.016

Métadonnées

Afficher la notice complète

Licence d’utilisation du document

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]

Langue

Article de revue

Ce document a été publié dans

Quarterly Review of Economics and Finance. 2018-02-01, vol. 67, p. 347-361

Résumé en anglais

We analyze the long-term relationship between the fine wine market and stock markets, from world level to specific countries, by applying a cointegration approach on a 21-year monthly database. Our database includes the Liv-ex Fine Wine Investables Index, 6 Liv-ex sub-indices, 25 MSCI Indexes and 10 national stock market indexes. Results suggest significant cointegration between emerging markets, especially Asia, and fine wine markets, and also causality from the former to the latter. As a result, the slowdown of economic growth in emerging countries can be a risk to the fine wine market. Furthermore, Mainland China appears to be one of the main drivers of fine wine markets, and more precisely, the leading Bordeaux wines. We suggest that along with single-index analysis, our approach can be taken into consideration in fine wine price forecasting and portfolio diversification strategy.< Réduire

Mots clés

Cointegration

Financial markets

Mots clés en anglais

Wine

Emerging markets