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Financial market contagion and fine wines: the evidence of the ADCC GARCH model

Author

Listed:
  • Eric Le Fur

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Hachmi Ben Ameur
  • Eric Braune
  • Benoit Faye

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

Abstract

Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines.

Suggested Citation

  • Eric Le Fur & Hachmi Ben Ameur & Eric Braune & Benoit Faye, 2016. "Financial market contagion and fine wines: the evidence of the ADCC GARCH model," Post-Print hal-03897774, HAL.
    • Handle: RePEc:hal:journl:hal-03897774
    DOI: 10.1504/IJESB.2016.079967
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    Cited by:

    1. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    2. Hachmi Ben Ameur & Zied Ftiti & Eric Le Fur, 2024. "What can we learn from the analysis of the fine wines market efficiency?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 703-718, January.

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