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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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    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. Czupryna Marcin & Oleksy Paweł, 2018. "The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market," Financial Internet Quarterly (formerly e-Finanse), Paradigm, vol. 14(4), pages 22-35, December.
    3. Eric Le Fur, 2026. "Forecasting bubbles in the rare whiskies market from the Generalized Supremum ADF test," Journal of Asset Management, Palgrave Macmillan, vol. 27(3), pages 1-12, September.
    4. Masset, Philippe & Weisskopf, Jean-Philippe & Cardebat, Jean-Marie & Faye, Benoît & Le Fur, Eric, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 1-25.
    5. 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.
    6. Magalie Dubois & Jean-Marie Cardebat & Nikolaos Georgantzís, 2025. "External Evaluations under Quality Uncertainty: the Market for Wine Ratings," Post-Print hal-05029839, HAL.
    7. Adrian Fernandez-Perez & Bart Frijns & Alireza Tourani-Rad & Jean-Philippe Weisskopf, 2019. "Behavioural heterogeneity in wine investments," Applied Economics, Taylor & Francis Journals, vol. 51(30), pages 3236-3255, June.
    8. Elie Bouri & Tsangyao Chang & Rangan Gupta, 2016. "Testing the Efficiency of the Wine Market using Unit Root Tests with Sharp and Smooth Breaks," Working Papers 201664, University of Pretoria, Department of Economics.
    9. Faye, Benoit & Le Fur, Eric, 2024. "Heterogeneous buyer preferences behind rejecting the law of one price in the fine wines market," Economics Letters, Elsevier, vol. 239(C).
    10. Philippe Masset & Jean‐Philippe Weisskopf, 2022. "At what price should Bordeaux wines be released?," Economic Inquiry, Western Economic Association International, vol. 60(1), pages 392-412, January.
    11. Bouri, Elie & Gupta, Rangan & Wong, Wing-Keung & Zhu, Zhenzhen, 2018. "Is wine a good choice for investment?," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 171-183.
    12. Du, Shaofu & Chen, Yuan & Peng, Jing & Nie, Tengfei, 2022. "Incorporating risk fairness concerns into wine futures under quality uncertainty," Omega, Elsevier, vol. 113(C).
    13. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    14. Stephen Bazen & Jean-marie Cardebat, 2022. "Why have Bordeaux wine prices become so difficult to forecast?," Economics Bulletin, AccessEcon, vol. 42(1), pages 124-142.
    15. Dubois, Magalie, 2021. "The market for wine quality evaluation: evolution and future perspectives," Working Papers 321855, American Association of Wine Economists.
    16. 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.
    17. Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2024. "Message in a bottle: Forecasting wine prices," Journal of Wine Economics, Cambridge University Press, vol. 19(1), pages 64-91, February.
    18. Lennon, Conor & Shohfi, Tom, 2021. "Unbridled spirit: Illicit markets for bourbon whiskey," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1025-1045.
    19. Ben Ameur, Hachmi & Le Fur, Eric, 2020. "Volatility transmission to the fine wine market," Economic Modelling, Elsevier, vol. 85(C), pages 307-316.
    20. Cardebat, Jean-Marie & Jiao, Linda, 2018. "The long-term financial drivers of fine wine prices: The role of emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 347-361.
    21. Veronica Sanda Chedea & Ana-Maria Drăgulinescu & Liliana Lucia Tomoiagă & Cristina Bălăceanu & Maria Lucia Iliescu, 2021. "Climate Change and Internet of Things Technologies—Sustainable Premises of Extending the Culture of the Amurg Cultivar in Transylvania—A Use Case for Târnave Vineyard," Sustainability, MDPI, vol. 13(15), pages 1-28, July.
    22. Fromentin, Vincent & Pecchioli, Bruno & Moroz, David, 2024. "Time-varying causality among whisky, wine, and equity markets," Finance Research Letters, Elsevier, vol. 63(C).
    23. 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.
    24. 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.
    25. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.

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