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Investing in the wine market: a country-level threshold cointegration approach

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  • Lucia Baldi
  • Massimo Peri
  • Daniela Vandone

Abstract

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  • Lucia Baldi & Massimo Peri & Daniela Vandone, 2013. "Investing in the wine market: a country-level threshold cointegration approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 493-503, March.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:4:p:493-503
    DOI: 10.1080/14697688.2012.716523
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    References listed on IDEAS

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    1. Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, University Library of Munich, Germany.
    2. Hong, Harrison & Yogo, Motohiro, 2012. "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, vol. 105(3), pages 473-490.
    3. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
    4. Sanning, Lee W. & Shaffer, Sherrill L. & Sharratt, Jo Marie, 2007. "Alternative investments: the case of wine," Working Papers 37322, American Association of Wine Economists.
    5. Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.
    6. Masset, Philippe & Weisskopf, Jean-Philippe, 2010. "Raise Your Glass: Wine Investment And The Financial Crisis," Working Papers 90484, American Association of Wine Economists.
    7. Boyan Jovanovic, 2007. "Bubbles in Prices of Exhaustible Resources," NBER Working Papers 13320, National Bureau of Economic Research, Inc.
    8. Georges Prat & Fredj Jawadi, 2007. "Nonlinear stock prices adjustment in the G7 countries," Working Papers halshs-00172896, HAL.
    9. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    10. Canning, Patrick N. & Perez, Agnes C., 2008. "Economic Geography Of The U.S. Wine Industry," Working Papers 43891, American Association of Wine Economists.
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    Cited by:

    1. Eric Le Fur & Jean-François Outreville, 2019. "Fine wine returns: a review of the literature," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 196-214, May.
    2. Ben Ameur, Hachmi & Le Fur, Eric, 2020. "Volatility transmission to the fine wine market," Economic Modelling, Elsevier, vol. 85(C), pages 307-316.
    3. Fromentin, Vincent & Pecchioli, Bruno & Moroz, David, 2024. "Time-varying causality among whisky, wine, and equity markets," Finance Research Letters, Elsevier, vol. 63(C).
    4. Benoît Faye & Eric Fur & Stéphanie Prat, 2024. "Exogeneous shocks, risk, and market convergence of real alternative and financial assets: evidence from nonlinear dynamics," Annals of Operations Research, Springer, vol. 334(1), pages 497-520, March.

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