Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles

Marcin Potrykus

International Review of Financial Analysis, 2023, vol. 87, issue C

Abstract: This paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed. The research period adopted in the study was December 2003 to March 2022, and the data were examined at a monthly frequency.

Keywords: Price bubbles; GSADF; Investing in wine; Precious metals; G-7 capital markets (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001539

DOI: 10.1016/j.irfa.2023.102637

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