IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST
Elie Bouri () and
Advances in Decision Sciences, 2018, vol. 22, issue 1, 95-114
Unlike the extant literature on safe-havens, where one aims to relate the movements in an asset considered with extreme episodes in equity markets, we test this property for fine wine, by relating it to global uncertainty. Using a nonparametric k-th order causality-in-quantiles test, we show that, while uncertainty does affect returns and/or variance of the alternative wine indices considered, this effect is restricted to only certain parts of the conditional distribution. In particular, wine seems to be unaffected by global uncertainty, and hence, acts as a safe-haven at extreme ends of the market, i.e., during bear or bullish times; but not during normal times (around the median of the conditional distribution of returns and/or volatility).
Keywords: Wine Returns and Volatility; Global Uncertainty; Safe-Haven; Nonparametric; Quantile Causality (search for similar items in EconPapers)
JEL-codes: C22 G11 Q02 (search for similar items in EconPapers)
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Working Paper: Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:aag:wpaper:v:22:y:2018:i:1:p:95-114
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