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Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test

Author

Listed:
  • Nikolaos Antonakakis

    () (Webster Vienna Private University, Department of Business and Management, Austria and University of Portsmouth, Economics and Finance Subject Group,UK)

  • Mehmet Balcilar

    () (Department of Economics, Eastern Mediterranean University, Northern Cyprus, Turkey.)

  • Elie Bouri

    () (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon.)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

Unlike the extant literature on safe-havens, where one aims to relate the movements in an asset considered with extreme episodes in equity markets, we test this property for fine wine by relating it to global uncertainty. Using a nonparametric k-th order causality-in-quantiles test, we show that, while uncertainty does affect returns and/or variance of the alternative wine indices considered, this effect is restricted to only certain parts of the conditional distribution. In particular, wine seems to be unaffected by global uncertainty, and hence, acts as a safe-haven at extreme ends of the market, i.e., during bear or bullish times; but not during normal times (around the median of the conditional distribution of returns and/or volatility).

Suggested Citation

  • Nikolaos Antonakakis & Mehmet Balcilar & Elie Bouri & Rangan Gupta, 2017. "Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201708, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201708
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    References listed on IDEAS

    as
    1. Masset, Philippe & Henderson, Caroline, 2010. "Wine as an Alternative Asset Class," Journal of Wine Economics, Cambridge University Press, vol. 5(01), pages 87-118, March.
    2. Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012. "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, vol. 28(04), pages 861-887, August.
    3. Balcilar, Mehmet & Gupta, Rangan & Pierdzioch, Christian, 2016. "Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test," Resources Policy, Elsevier, vol. 49(C), pages 74-80.
    4. Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
    5. Sanning, Lee W. & Shaffer, Sherrill & Sharratt, Jo Marie, 2008. "Bordeaux Wine as a Financial Investment," Journal of Wine Economics, Cambridge University Press, vol. 3(01), pages 51-71, March.
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    7. Bredin, Don & Conlon, Thomas & Potì, Valerio, 2015. "Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 320-328.
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    9. Mehmet Balcilar & Stelios Bekiros & Rangan Gupta, 2017. "The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method," Empirical Economics, Springer, vol. 53(3), pages 879-889, November.
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    14. Bouri, Elie I. & Roubaud, David, 2016. "Fine Wines and Stocks from the Perspective of UK Investors: Hedge or Safe Haven?," Journal of Wine Economics, Cambridge University Press, vol. 11(02), pages 233-248, August.
    15. Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho, 2011. "A consistent nonparametric test for nonlinear causality—Specification in time series regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 112-127.
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    More about this item

    Keywords

    Wine Returns and Volatility; Global Uncertainty; Safe-Haven; Nonparametric Quantile Causality;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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