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Are Real Assets Priced Internationally? Evidence from the Art Market

Author

Listed:
  • Kenneth Wieand

    (University of South Florida, U.S.A.)

  • Jeff Donaldson

    (Northern Kentucky University, U.S.A.)

  • Socorro Quintero

    (Oklahoma City University, U.S.A.)

Abstract

This article investigates the relationships between the U.S. and Japanese stock market indices and the prices of modern and impressionist paintings sold at auction in New York by Christies and Sotheby. An art price index is constructed to adjust for heterogeneity of individual paintings. Time series properties of the art price index are examined in relation with the S&P500 and Topix stock market indices. The art-price index is heteroskedastic and autocorrelated. When the log-returns to art are compared to log-price returns to the S&P500 and TOPIX stock indices, a single common long-term stochastic trend in the three indices is found. In the short run, log-changes of art prices are related to current and lagged log-changes of the TOPIX index, only.

Suggested Citation

  • Kenneth Wieand & Jeff Donaldson & Socorro Quintero, 1998. "Are Real Assets Priced Internationally? Evidence from the Art Market," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 167-187, September.
  • Handle: RePEc:mfj:journl:v:2:y:1998:i:3:p:167-187
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    More about this item

    Keywords

    art prices; cointegration; GARCH model; hedonic price equation; S&P500 stock index; and TOPIX stock index;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • L15 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Information and Product Quality

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