Art as an investment: Risk, return and comovements in major painting markets

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Title Art as an investment: Risk, return and comovements in major painting markets
Author Worthington, Andrew Charles; Higgs, Helen
Book Title Investing in art: An introduction
Editor Amrita Chakraborty
Year Published 2007
Place of publication India
Publisher ICFAI University Press
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.
Peer Reviewed Yes
Published Yes
Publisher URI http://ideas.repec.org/p/qut/dpaper/093.html
Edition 2007
Chapter Number 9
Page from 133
Page to 166
ISBN 813140708X
Date Accessioned 2007-10-08
Language en_US
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject PRE2009-Applied Economics
URI http://hdl.handle.net/10072/17011
Publication Type Book Chapters
Publication Type Code b1

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