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Looking Beyond Wine Risk-Adjusted Performance

Author

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  • Maurer, Frantz
  • Cardebat, Jean-Marie
  • Jiao, Linda

Abstract

In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events. (JEL Classifications: G110, G120, Q14)

Suggested Citation

  • Maurer, Frantz & Cardebat, Jean-Marie & Jiao, Linda, 2020. "Looking Beyond Wine Risk-Adjusted Performance," Journal of Wine Economics, Cambridge University Press, vol. 15(2), pages 229-259, May.
    • Handle: RePEc:cup:jwecon:v:15:y:2020:i:2:p:229-259_6
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    Cited by:

    1. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    2. Stephen Bazen & Jean-marie Cardebat, 2022. "Why have Bordeaux wine prices become so difficult to forecast?," Economics Bulletin, AccessEcon, vol. 42(1), pages 124-142.
    3. Masset, Philippe & Maurer, Frantz, 2021. "Mitigating downside risk of portfolio diversification: Wine versus other tangible assets," Economic Modelling, Elsevier, vol. 102(C).

    More about this item

    JEL classification:

    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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