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An analysis of the price dynamics between the Turkish and the international paintings markets

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  • Erdal Atukeren
  • Aylin Seckin

Abstract

We examine the dynamics of the relationships between the prices in Turkish paintings auctions and international art markets during 1990-2005 using cointegration and Granger-causality tests. We also estimate the Capital Asset Pricing Model (CAPM) relationship between the Turkish and the global paintings markets. In our investigations, we employ a hedonic price index based on 1030 paintings by 13 Turkish painters and the global paintings market index as calculated by Artprice©. We find that the prices in the Turkish paintings market move in line with the international art markets in the long term. As expected, the direction of causality runs unilaterally from the international paintings market to the Turkish paintings market. The CAPM beta values were found to be unstable over time and not statistically significant at conventional levels. Hence, international art investors might be able to benefit from the higher returns in the Turkish paintings market while diversifying their art portfolios, especially in the short term.

Suggested Citation

  • Erdal Atukeren & Aylin Seckin, 2009. "An analysis of the price dynamics between the Turkish and the international paintings markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1705-1714.
  • Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1705-1714
    DOI: 10.1080/09603100903018737
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    Cited by:

    1. Douglas Hodgson & Aylin Seçkin, 2012. "Dynamic price dependence of Canadian and international art markets: an empirical analysis," Empirical Economics, Springer, vol. 43(2), pages 867-890, October.
    2. repec:eee:reveco:v:51:y:2017:i:c:p:283-294 is not listed on IDEAS
    3. repec:eee:ememar:v:36:y:2018:i:c:p:180-194 is not listed on IDEAS
    4. Douglas HODGSON & Aylin SECKIN, "undated". "Dynamic Price Dependence of Canadian and World Art Markets: An Empirical Analysis," EcoMod2010 259600074, EcoMod.
    5. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    6. repec:gam:jecnmx:v:6:y:2018:i:3:p:32-:d:154105 is not listed on IDEAS
    7. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
    8. repec:eee:ecmode:v:68:y:2018:i:c:p:340-355 is not listed on IDEAS

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