Dynamic price dependence of Canadian and international art markets: an empirical analysis
TL;DR: 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).
Figures (13)
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 
Table 11 – Granger causality statistics, real, same-currency returns (2 lags in VAR) 
Table 12 – Capital Asset Pricing Model (Dependent Variable: Excess returns of DJIA with respect to FF rate) 
Table 6 – Size and dating effects 
Table 7 - Unit root tests (real, same-currency prices & returns) (a) Log index (time trend and 1 lag included) 
Table 8 – Cointegration tests, real, same-currency prices (residual-based, with time trend in cointegrating regression of Canadian index on Mei-Moses and 1 lag in unit root tests) 
Table 9 – Nominal Returns: raw statistics 
Table 1: Hedonic price index and returns, 1968-2008
Citations
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01 Nov 2003
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.
Abstract: This paper examines the short and long-term price linkages among major art and equity markets over the period 1976-2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US paintings. A global equity index (with dividends and capitalisation changes) is also included. Multivariate cointegration procedures, Granger non-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to analyse short and long-run relationships among these markets. The results indicate 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. However, in terms of the percentage of variance explained most painting markets are relatively isolated, and other painting markets are generally more important than the equity market in explaining the variance that is not caused by innovations in the market itself. This suggests that opportunities for portfolio diversification in art works alone and in conjunction with equity markets exist, though in common with the literature in this area the study finds that the returns on paintings are much lower and the risks much higher than in conventional financial markets.
48 citations
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.
Abstract: Although Howard Becker defines art worlds as networks of cooperating people and a broad range of studies has applied this idea of the network to art markets, research on fairs remains a neglected issue. This article aims to advance the idea of the network and the art fair with regard to the art fair boom, the differentiation of art fairs and their interlinking, and the role of networks with regard to the participating galleries and their interlinking within art fairs. Quantitative and qualitative data are brought forward to shed some light on these issues, including statistical information, along with interviews.
22 citations
Cites background from "Dynamic price dependence of Canadia..."
...The exportation of works of art declined and, as a result, prices dropped sharply (see Pesando 1993; Hodgson and Seçkin 2012)....
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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.
Abstract: We examine 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. We also estimate the Capital Asset Pricing Model (CAPM) relationship between the Turkish and the global paintings markets. In our investigations, we employ a hedonic price index based on 1030 paintings by 13 Turkish painters and the global paintings market index as calculated by Artprice©. We find that the prices in the Turkish paintings market move in line with the international art markets in the long term. As expected, the direction of causality runs unilaterally from the international paintings market to the Turkish paintings market. The CAPM beta values were found to be unstable over time and not statistically significant at conventional levels. Hence, international art investors might be able to benefit from the higher returns in the Turkish paintings market while diversifying their art portfolios, especially in ...
21 citations
11 citations
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.
Abstract: This article analyzes the dynamic relationship between the international sculpture market and the traditional financial investments during the 1985–2011 period. Three international sculpture price indexes are constructed using an ordinary least squares (OLS) hedonic pricing method as well as a quantile hedonic pricing method. Cointegration tests show that, price development in the sculpture market does not move together with either equity prices or government bond prices in the long run. Furthermore, cointegration is only detected when gross domestic product (GDP) per capita is considered. When the lower-end and upper-end sculpture market segments are looked at separately, the latter exhibits long-run interdependencies with the international painting market, while the former does not. Granger-causality tests reveal that sculpture prices, in general, are Granger-caused by GDP per capita. In the longrun, however, GDP per capita does not Granger-cause the upper-end segment. Moreover, the Granger-causality tests indicate that sculpture price developments neither follow nor are followed by equity price movements.
11 citations
References
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Book•
01 Jan 1967
TL;DR: A comprehensive survey of three centuries of Canadian painting from its beginnings in the seventeenth century is presented in this paper, with 173 reproductions, 45 added since the first addition in 1967.
Abstract: Since its first appearance in 1967, Russell Harper's classic study of Canadian painting has been recognized as the outstanding authority on the subject. This edition provides a comprehensive survey, generously illustrated, of three centuries of Canadian painting from its beginnings in the seventeenth century. Through a lively combination of entertaining anecdotes, descriptions of the cultural background, biographical accounts, and critical judgement, the reader comes to know intimately the artists, their paintings, and their environments. Included are 173 reproductions - 45 added since the first addition. They allow the reader to see representative works from all periods, and provide a visual record of the cultural and social history of Canada.
38 citations
36 citations
Posted Content•
TL;DR: In this paper, residual based tests for cointegration using local GLS detrending are proposed to eliminate separately the deterministic components in the series, where only a constant is included and a constant and a time trend are included.
Abstract: We propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock (1996), ERS) to eliminate separately the deterministic components in the series. We consider two cases, one where only a constant is included and one where a constant and a time trend are included.
30 citations
TL;DR: In this paper, steady-state relationships between prices for paintings obtained by three groups of painters (Impressionist, Modern and Contemporary European Masters, Other minor European painters, Contemporary US painters) at public auctions in New York, London and Paris between 1962 and 1991 were studied.
28 citations
"Dynamic price dependence of Canadia..." refers background or result in this paper
...Ginsburgh and Jeanfils (1995) find that price indices based on auction sales of major old master, impressionist, and modern European and American paintings sold in New York, London, and Paris, are cointegrated, and thus have shared long term price evolution, whether considered across artistic…...
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...The findings of the time series analysis in the studies by Ginsburgh and Jeanfils (1995), Worthington and Higgs (2003), and Atukeren and Seckin (2009) are indeed consistent with this reasoning....
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...Co-movements of international art prices are studied by Ginsburgh and Jeanfils (1995)....
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...Although all sales in their sample occur in New York City, the results of Ginsburgh and Jeanfils (1995) cited above on the cointegration between New York auction prices and those of Paris and London for the same mainstream categories of international art justify, in our view, the use of the…...
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TL;DR: In this article, the authors investigated the relationship between the market value of art and the nationality of the painter and found that the price of Canadian art iswell below that of American art.
Abstract: This study investigates the relationship between the market value of artand the nationality of the painter. A sample of modern and contemporaryCanadian and American paintings is analyzed using non-parametric testsand a hedonic regression model. The results show a significantrelationship between aesthetic painting characteristics, such as subjectmatter, and market valuation. In general, the price of Canadian art iswell below that of American art. Even after adjusting for paintingcharacteristics, Canadian paintings appear to be less expensive still.It is believed that Canadian painters looked at the Northern landscapeto define a national identity, thus playing to a limited audience, theonly that could relate to the beauty of the Canadian scenery. Thisprogrammatic approach could explain some of the aforementioneddifferences in market valuation.
25 citations
"Dynamic price dependence of Canadia..." refers methods in this paper
...Valsan (2002) compares the pricing of paintings of several Canadian and American artists for the period 1987-1996 using nonparametric tests and the hedonic regression method....
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