Art Market vs Financial Markets

Mihaela-Eugenia Vasilache
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Mihaela-Eugenia Vasilache: SCOSAAR, Romanian Academy, Bucharest, Romania

Hyperion Economic Journal, 2018, vol. 6, issue 2, 3-10

Abstract: In this paper we analise the short- and long-run relationship between the price indices of art market and of financial market. Through an econometric nonlinear (exponential-quadratic) model with structural breaks, as well as through a Structural Vector Error Correction (SVEC) model, we show that, contrary to many opinions in the literature, between 1998 – 2018q1, the dynamics of art market – assessed through the Artprice Global Index of the Art Market and the changes on the financial market – brought nearby through S&P 500 index are strong positively correlated. In our interpretation, this means that the art market could not have been widely used as an alternative to the capital market, not even during the crisis. We find that S&P 500 index may be a cause for Global Index of the Art Market, but, the inverse causality relationship can be rejected: Global Index of the Art Market does not Granger cause S&P 500

Keywords: Artprice Global Index of the Art Market; Lee-Strazicich unit root test; Toda-Yamamoto causality test; nonlinear model with structural breaks; SVEC (search for similar items in EconPapers)
JEL-codes: C51 G15 Z11 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hyp:journl:v:6:y:2018:i:2:p:3-10

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