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Random walk theory and the weak-form efficiency of the US art auction prices

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  • Erdos, Péter
  • Ormos, Mihály

Abstract

We perform variance ratio tests based on non-parametric methods to detect the size of the random walk component of the US art auction prices. The past 134 years of the US art prices exhibit large transitory component (72%) and based on this, the random walk hypothesis does not hold. However, possibly due to sparse data before 1935 or due to institutional changes of the art market after World War II, we detect structural breakpoints and find that the random walk hypothesis and the weak-form efficiency of the US art market cannot be rejected at least for the past 64 years.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 34 (2010)
Issue (Month): 5 (May)
Pages: 1062-1076

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Handle: RePEc:eee:jbfina:v:34:y:2010:i:5:p:1062-1076

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Web page: http://www.elsevier.com/locate/jbf

Related research

Keywords: Art prices Random walk Asset pricing Spectral density Variance ratio;

References

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Citations

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Cited by:
  1. Geraldine David & Kim Oosterlinck & Ariane Szafarz, 2013. "Art Market Inefficiency," ULB Institutional Repository 2013/145737, ULB -- Universite Libre de Bruxelles.
  2. Chuluun, Tuugi & Eun, Cheol S. & Kiliç, Rehim, 2011. "Investment intensity of currencies and the random walk hypothesis: Cross-currency evidence," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 372-387, February.
  3. Taylor, Dominic & Coleman, Les, 2011. "Price determinants of Aboriginal art, and its role as an alternative asset class," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1519-1529, June.

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