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Transmission of returns and volatility in art markets: a multivariate GARCH analysis

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  • Helen Higgs
  • Andrew Worthington

Abstract

This study examines the transmission of returns and volatility among eight major art markets. The art indices included in the analysis are Contemporary Masters (CM), 20th Century English (TE), 19th Century European (NE), French Impressionist (FI), Modern European (ME), Modern US Paintings (US), Old Masters (OM) and Surrealists (SR). A multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results indicate the presence of large and predominantly positive mean return and volatility spillovers, though the spillovers between art markets are not homogeneous.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 4 ()
Pages: 217-222

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Handle: RePEc:taf:apeclt:v:11:y:2004:i:4:p:217-222

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  1. Renato Flôres & Victor Ginsburgh & Philippe Jeanfils, 1999. "Long- and Short-Term Portfolio Choices of Paintings," Journal of Cultural Economics, Springer, vol. 23(3), pages 191-208, August.
  2. Victor Ginsburgh & Philippe Jeanfils, 1995. "Long-term comovements in international markets for paintings," ULB Institutional Repository 2013/1717, ULB -- Universite Libre de Bruxelles.
  3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  4. Kearney, Colm & Patton, Andrew J, 2000. "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, vol. 35(1), pages 29-48, February.
  5. Huang, Bwo-Nung & Yang, Chin-Wei, 2000. "The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets," Journal of Comparative Economics, Elsevier, vol. 28(2), pages 321-339, June.
  6. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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Cited by:
  1. Emanuele Bacchiocchi & Marta Bevilacqua, 2008. "International Crisis, Instability Periods and Contagion: The Case of the ERM," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1079, Universitá degli Studi di Milano.
  2. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
  4. Monica Billio & Massimiliano Caporin & Michele Gobbo, 2006. "Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 123-130, March.
  5. Hong Miao & Sanjay Ramchander & Marc W. Simpson, 2011. "Return and Volatility Transmission in U.S. Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(4), pages 701-741, December.
  6. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.

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