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Is there a bubble in the art market?

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  • Kräussl, Roman
  • Lehnert, Thorsten
  • Martelin, Nicolas

Abstract

The record-breaking prices observed in the art market over the last 5years raise the question of whether it is an ongoing boom or whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive regressions (SADF test) to detect explosive behaviors directly in the time series of six different art market segments for the period from 1970 to 2014. We identify two historical speculative bubbles and find an explosive movement in today's “Impressionist and Modern”, “Post-war and Contemporary”, “American”, and “Old Masters” fine art market segments.

Suggested Citation

  • Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2016. "Is there a bubble in the art market?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 99-109.
    • Handle: RePEc:eee:empfin:v:35:y:2016:i:c:p:99-109
    DOI: 10.1016/j.jempfin.2015.10.010
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    More about this item

    Keywords

    Art market; Alternative investments; Art index; Bubble; Explosive behavior;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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