Emerging art markets
AbstractThis paper analyzes the performance and risk-return characteristics of three major emerging art markets: Russia, China, and India. According to three national art market indices, built by hedonic regressions based on auction sales prices, the geometric annual returns are 10.00%, 5.70%, and 42.20% for Russia (1985-2008), China (1990-2008), and India (2002-2008), respectively. The Russian art market exhibits positive correlations with most common financial assets and a positive market beta, whereas the Chinese art market demonstrates a negative correlation overall and a negative market beta, and the Indian art index reveals a negative market beta and varying correlation results. Portfolio optimization under a power utility framework suggests limited diversification potential, but with a downside beta of 0.43, investing in Chinese art offers hedging potential during financial market downswings. Investigating the linkages between art and the economy through co-integration and causality analyses proves that emerging art markets share a significant long-term relation with other financial market instruments, but short-term relations are largely absent.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 11 (2010)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/inca/620356
Art market index Art investments Art finance Alternative assets Portfolio allocation Emerging markets;
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