Dynamic price dependence of Canadian and international art markets: an empirical analysis

TLDR: 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).

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Table 4 – Medium/support dummy parameter estimates (oil/canvas excluded) Each parameter measures effect of medium support relative to oil/canvas

Table 5 – Genre dummy parameter estimates (landscape excluded) Each parameter measures effect of genre relative to landscape

Table 2-- Top 25 Canadian Painters

Table 3 – Individual artist dummy parameter estimates (A.Y. Jackson excluded) Each parameter measures effect of artist relative to Jackson

Table 13 – Macroeconomic Variables to Explain Canadian Art Returns

Table 10 – Real, Same-Currency Returns: raw statistics