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dc.rights.licenseopenen_US
hal.structure.identifierLaboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
dc.contributor.authorFAYE, Benoit
hal.structure.identifierLaboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
dc.contributor.authorLE FUR, Eric
hal.structure.identifierLaboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
dc.contributor.authorPRAT, Stephanie
dc.date.accessioned2022-12-13T17:34:43Z
dc.date.available2022-12-13T17:34:43Z
dc.date.issued2015-02-16
dc.identifier.issn0003-6846en_US
dc.identifier.urihttps://www.researchgate.net/publication/271824895_Dynamics_of_fine_wine_and_asset_prices_evidence_from_short-_and_long-run_co-movements
dc.identifier.urioai:crossref.org:10.1080/00036846.2015.1011321
dc.identifier.urioai:researchgate.net:271824895
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/170620
dc.description.abstractEnThis 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.
dc.language.isoENen_US
dc.sourcecrossref
dc.sourceresearchgate
dc.subject.enWine
dc.subject.enPrice
dc.subject.enCausality
dc.subject.enECM
dc.subject.enFinance
dc.title.enDynamics of fine wine and asset prices: evidence from short- and long-run co-movements
dc.typeArticle de revueen_US
dc.identifier.doi10.1080/00036846.2015.1011321en_US
dc.subject.halSciences de l'Homme et Société/Economies et financesen_US
dc.subject.jelC - Mathematical and Quantitative Methods::C3 - Multiple or Simultaneous Equation Models; Multiple Variables::C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Modelsen_US
dc.subject.jelG - Financial Economics::G1 - General Financial Markets::G11 - Portfolio Choice; Investment Decisionsen_US
dc.subject.jelG - Financial Economics::G1 - General Financial Markets::G12 - Asset Pricing; Trading Volume; Bond Interest Ratesen_US
dc.subject.jelD - Microeconomics::D1 - Household Behavior and Family Economics::D12 - Consumer Economics: Empirical Analysisen_US
bordeaux.journalApplied Economicsen_US
bordeaux.page3059-3077en_US
bordeaux.volume47en_US
bordeaux.hal.laboratoriesLaboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954en_US
bordeaux.issue29en_US
bordeaux.institutionUniversité de Bordeauxen_US
bordeaux.institutionCNRSen_US
bordeaux.peerReviewedouien_US
bordeaux.inpressnonen_US
bordeaux.import.sourcedissemin
hal.identifierhal-03897341
hal.version1
hal.date.transferred2022-12-13T17:34:44Z
hal.exporttrue
workflow.import.sourcedissemin
dc.rights.ccPas de Licence CCen_US
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Applied%20Economics&rft.date=2015-02-16&rft.volume=47&rft.issue=29&rft.spage=3059-3077&rft.epage=3059-3077&rft.eissn=0003-6846&rft.issn=0003-6846&rft.au=FAYE,%20Benoit&LE%20FUR,%20Eric&PRAT,%20Stephanie&rft.genre=article


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