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What can we learn from the analysis of the fine wines market efficiency?

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  • Hachmi Ben Ameur
  • Zied Ftiti
  • Eric Le Fur

Abstract

This study analyzes the efficiency hypothesis for three major wine indices using different parametric and non‐parametric tests for the short and long‐term horizons. Based on monthly data over the period 2003–2019, our analysis identifies two main findings. First, in the short term, there is market inefficiency allowing for investment and diversification opportunities and a need for greater market transparency. Second, the spread between wine markets and financial markets can disappear in the long term, that is, there is a long‐run relationship that is relatively compatible with efficiency, except for the Bordeaux Legends 50 index. This implies greater efficiency and therefore better information and fewer investment and diversification opportunities.

Suggested Citation

  • 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.
    • Handle: RePEc:wly:ijfiec:v:29:y:2024:i:1:p:703-718
    DOI: 10.1002/ijfe.2705
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