Dynamic price dependence of Canadian and international art markets: an empirical analysis
Douglas J. Hodgson,Aylin Seckin +1 more
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In this paper, the authors investigated the presence and nature of such time series dependence econometrically, both in terms of long-term trends as reflected in the cointegrating relationship between Canadian and the international market, and in short-run co-movements as represented in correlations.Abstract:
Although the market for Canadian paintings is now of substantial magnitude, with several works having recently been sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and seem to be held only by Canadian collectors. This market can thus be viewed as largely local, and it is therefore not clear whether there should be any linkage between price movements for Canadian art and those for the mainstream international market in old master, impressionist, and modern art. This article investigates the presence and nature of such time series dependence econometrically, both in terms of long-term trends as reflected in the co-integrating relationship between Canadian and the international market, and in terms of short-run co-movements as represented in correlations. The possibility that the local market “follows” the international one is also considered through an analysis of Granger causality. For Canadian art prices, we use a new hedonic index that has been computed using an updated version of the dataset of Hodgson and Vorkink (Can J Econ 37:629–655, 2004), while for the international prices, we use an index provided by Mei and Moses (Am Econ Rev 92:1656–1668, 2002).read more
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Art as an investment: short and long-term comovements in major painting markets
TL;DR: In this paper, the authors examined the short and long-term price linkages among major art and equity markets over the period 1976-2001 and found that there is a stationary long-run relationship and significant short-and long run causal linkages between the various painting markets and between the equity market and painting markets.
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The Art Fair as Network
TL;DR: In this paper, the authors aim to advance the idea of the network and the art fair with regard to art fair boom, the differentiation of art fairs and their interlinking.
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An analysis of the price dynamics between the Turkish and the international paintings markets
Erdal Atukeren,Aylin Seçkin +1 more
TL;DR: In this paper, the authors examined the dynamics of the relationships between the prices in Turkish paintings auctions and international art markets during 1990-2005 using cointegration and Granger-causality tests.
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Sculpture as an alternative investment : an analysis of price dynamics between sculpture and equity and bond markets
TL;DR: In this paper, the authors analyzed the relationship between the international sculpture market and traditional financial investments during the 1985-2011 period and found that sculpture prices are Granger-caused by gross domestic product per capita.
References
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ReportDOI
Efficient Tests for an Autoregressive Unit Root
TL;DR: In this paper, a modified version of the Dickey-Fuller t test is proposed to improve the power when an unknown mean or trend is present, and a Monte Carlo experiment indicates that the modified test works well in small samples.
Journal ArticleDOI
On Adaptive Estimation
TL;DR: In this paper, the authors simplify a general heuristic necessary condition of Stein's for adaptive estimation of a Euclidean parameter in the presence of an infinite dimensional shape nuisance parameter and other non-Gaussian nuisance parameters.
Book
Handbook of the Economics of Art and Culture
TL;DR: In the last 30 or 40 years, a substantial literature has grown up in which the tools of economic theory and analysis have been applied to problems in the arts and culture as mentioned in this paper.
Posted Content
Accounting for taste: Art and the financial markets over three centuries
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Art as an Investment and the Underperformance of Masterpieces
Jiangping Mei,Michael J. Moses +1 more
TL;DR: In this paper, the authors construct a new data set of repeated sales of artworks and estimate an annual index of art prices for the period 1875-2000, and find that art outperforms fixed income securities as an investment, though it significantly underperforms stocks in the US.