FAYE, Benoit; LE FUR, Eric; PRAT, Stephanie

doi:10.1080/00036846.2015.1011321

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

LE FUR, Eric
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]

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

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Applied Economics. 2015-02-16, vol. 47, n° 29, p. 3059-3077

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This paper examines short- and long-term price linkages among the majority of fine wine and equity markets over the period of 2003 to 2012. We do not consider price index (LIV-EX 100 or 500), as is typically undertaken in previous studies, but rather examine the auction price series of the world’s most traded wine-vintage pairs (5 Bordeaux first growth, 8 Bordeaux second growth, 5 Burgundy, 3 Rhone, 4 Italian, 5 Californian, 1 Australian and 1 Portuguese). A global equity index is also included using the MSCI World. Cointegration procedures, the Granger non-causality test, and ECM are used to analyze short- and long-run relationships among these markets. The results indicate a strong effect of financial markets on wine prices and short-term causality for certain wines. Moreover, the findings indicate short-run causality between the wines themselves, revealing a leader (exogenous) or follower (endogenous) status of certain fine wines in price dynamics, and also long-run causality for endogenous wines. This approach is relevant for portfolio diversification strategies and allows price movements to be anticipated more accurately than with an index approach.< Leer menos

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Wine

Price

Causality

ECM

Finance

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Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements

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