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Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements

Author

Listed:
  • Benoit Faye

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Eric Le Fur

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Stephanie Prat

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

Abstract

This paper examines short- and long-term price linkages among the majority of fine wine and equity markets over the period of 2003 to 2012. We do not consider price index (LIV-EX 100 or 500), as is typically undertaken in previous studies, but rather examine the auction price series of the world's most traded wine-vintage pairs (5 Bordeaux first growth, 8 Bordeaux second growth, 5 Burgundy, 3 Rhone, 4 Italian, 5 Californian, 1 Australian and 1 Portuguese). A global equity index is also included using the MSCI World. Cointegration procedures, the Granger non-causality test, and ECM are used to analyze short- and long-run relationships among these markets. The results indicate a strong effect of financial markets on wine prices and short-term causality for certain wines. Moreover, the findings indicate short-run causality between the wines themselves, revealing a leader (exogenous) or follower (endogenous) status of certain fine wines in price dynamics, and also long-run causality for endogenous wines. This approach is relevant for portfolio diversification strategies and allows price movements to be anticipated more accurately than with an index approach.

Suggested Citation

  • Benoit Faye & Eric Le Fur & Stephanie Prat, 2015. "Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements," Post-Print hal-03897341, HAL.
    • Handle: RePEc:hal:journl:hal-03897341
    DOI: 10.1080/00036846.2015.1011321
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    Citations

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    Cited by:

    1. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    2. Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2023. "Message in a Bottle: Forecasting wine prices," LIDAM Discussion Papers LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Hachmi Ben Ameur & Eric Le Fur & Julien Pillot, 2023. "The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 589-608, August.

    More about this item

    Keywords

    Wine; Price; Causality; ECM; Finance;
    All these keywords.

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