Analysing art as a safe-haven asset in times of crisis

Dimitrios Dimitriou, Alexandros Tsioutsios and Shaen Corbet

International Review of Financial Analysis, 2025, vol. 104, issue PA

Abstract: This study investigates the hedging and safe-haven properties of art investments relative to traditional financial assets, employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) approach across major art market sub-indices during several periods of financial crises, including the collapse of the dot-com bubble, the Global Financial Crisis, and the COVID-19 pandemic. Art indices are found to exhibit near-zero correlation with the S&P 500 in the short term, suggesting substantial hedging benefits without evidence of safe-haven characteristics. Over medium to long-term horizons, this same correlation becomes significantly positive, presenting evidence of diminishing hedging benefits with the exception of the painting and sculpture sub-indices, which maintain strong hedging utility. Interestingly, art indices and gold show a near-zero relationship across all examined time and frequency domains, pointing to the existence of unique diversification opportunities. These results highlight the role of art as an alternative investment, offering insights into its potential for enhancing portfolio diversification strategies during episodes of financial crises.

Keywords: Art; Safe-haven; Crises; TVP-VAR model diversification; Connectedness; Hedging (search for similar items in EconPapers)
JEL-codes: C32 C58 G01 G11 G41 Z11 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521925002819
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925002819

DOI: 10.1016/j.irfa.2025.104194

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().