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Investing in national art markets: Price explosivity and co-explosivity

Author

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  • Potrykus, Marcin
  • Ramzan, Imran
  • Bouri, Elie

Abstract

This study examines price explosivity and co-explosivity behaviours in the national art markets of the US, Britain, Canada, France, Germany, Italy and Japan, from January 1976 to June 2024. The results of the generalised supremum augmented Dickey-Fuller test indicate that all national art markets are highly subject to price explosivity, which represents, on average, 34 % of the sample period. Price explosivity lasts longer in the US and Britain than in France, Italy and Japan. The results from logistic regressions show significant co-explosivity behaviours, with the French, German, Italian and Japanese art markets being the most linked to other art markets. The study also considers conventional assets such as equities, crude oil, gold and silver, and the analysis shows that price co-explosivity exists between art and conventional assets.

Suggested Citation

  • Potrykus, Marcin & Ramzan, Imran & Bouri, Elie, 2025. "Investing in national art markets: Price explosivity and co-explosivity," Research in International Business and Finance, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003952
    DOI: 10.1016/j.ribaf.2025.103139
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    References listed on IDEAS

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    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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