Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market

Fang Wang

International Review of Economics & Finance, 2023, vol. 84, issue C, 318-331

Abstract: This study examines the nonlinear dynamics in the price series of Chinese art market segments between 2000 and 2019. We employ a hedonic price model to construct price indices of Chinese art market segments and analyze the nonlinearities and regime-switching properties of the individual segment using a series of Markov switching model specifications. We argue that occasional shocks would only temporarily alter their data-generating processes and have transitory effects. Moreover, we investigate the impact of COVID-19 on Chinese art market segments. Our findings have implications for market participants in identifying the price characteristics and dynamic behavior of art market segments.

Keywords: Chinese art market segments; COVID-19; Hedonic price model; Markov switching; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C24 G11 Z11 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:84:y:2023:i:c:p:318-331

DOI: 10.1016/j.iref.2022.11.015

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