Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures
Ladislav Krištoufek (),
Ender Demir () and
Subrata Kumar Mitra
Journal of International Financial Markets, Institutions and Money, 2021, vol. 71, issue C
In this paper, we investigate the efficiency in the art markets, using a generalized spectral test (GST) in a rolling window approach to detect departure from the martingale difference hypothesis (MDH) and trace the periods of market efficiency over time. Then we complement our results using the approximate entropy, the rescaled range analysis, and fractal dimension. We combine the three measures in an Efficiency Index for each market. Applying these methods, we find that the Modern Art, Paintings, Post-war, Prints, the USA market, and the global market in Euro show the largest values for the Approximate Entropy. Using the rescaled range estimates, we find that all markets are characterized by persistent behavior and, then using the Efficiency Index, our results indicate overwhelming evidence of market inefficiency in almost all sectors. Finally, we support our findings with some explanation of the reasons behind market inefficiency, related to asymmetrical information, influential galleries power, and differentiated pieces and talents in the art markets.
Keywords: Art markets; Efficient index; Generalized spectral measure; Hurst exponent; Approximate entropy (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317
Access Statistics for this article
Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely
More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().