Looking Beyond Wine Risk-Adjusted Performance
Frantz Maurer,
Jean-Marie Cardebat (jean-marie.cardebat@u-bordeaux.fr) and
Linda Jiao
Journal of Wine Economics, 2020, vol. 15, issue 2, 229-259
Abstract:
In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events. (JEL Classifications: G110, G120, Q14)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jwecon:v:15:y:2020:i:2:p:229-259_6
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