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Dynamics of the global fine art market prices

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  • Le Fur, Eric

Abstract

This article examines the short- and long-run linkages among art market indexes between 1998 and 2016 using cointegration procedures, the Granger noncausality test and the Error Correction Model. These art indexes are examined by category: global, art method, time, and currency/country. The results indicate that there are a few causal linkages between art market indexes, notably that there is feedback between a few markets. These moderate causal links between art market indexes would indicate that there are many opportunities for diversification for practitioners, investors and collectors.

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  • Le Fur, Eric, 2020. "Dynamics of the global fine art market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 167-180.
    • Handle: RePEc:eee:quaeco:v:76:y:2020:i:c:p:167-180
    DOI: 10.1016/j.qref.2019.05.014
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    Cited by:

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    2. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Ahniia Havrylina, 2022. "Persistence in the Passion Investment Market," CESifo Working Paper Series 9586, CESifo.
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    4. Lin, Min-Bin & Wang, Bingling & Bocart, Fabian Y.R.P. & Hafner, Christian M. & Härdle, Wolfgang K., 2022. "DAI Digital Art Index : a robust price index for heterogeneous digital assets," LIDAM Discussion Papers ISBA 2022036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Assaf, Ata & Kristoufek, Ladislav & Demir, Ender & Kumar Mitra, Subrata, 2021. "Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    6. 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.
    7. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.
    8. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).

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    More about this item

    Keywords

    Art; Cointegration; Dynamics; index;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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