Are Real Assets Priced Internationally? Evidence from the Art Market

Kenneth Wieand, Jeff Donaldson and Socorro Quintero
Additional contact information
Kenneth Wieand: University of South Florida, U.S.A.
Jeff Donaldson: Northern Kentucky University, U.S.A.
Socorro Quintero: Oklahoma City University, U.S.A.

Multinational Finance Journal, 1998, vol. 2, issue 3, 167-187

Abstract: This article investigates the relationships between the U.S. and Japanese stock market indices and the prices of modern and impressionist paintings sold at auction in New York by Christies and Sotheby. An art price index is constructed to adjust for heterogeneity of individual paintings. Time series properties of the art price index are examined in relation with the S&P500 and Topix stock market indices. The art-price index is heteroskedastic and autocorrelated. When the log-returns to art are compared to log-price returns to the S&P500 and TOPIX stock indices, a single common long-term stochastic trend in the three indices is found. In the short run, log-changes of art prices are related to current and lagged log-changes of the TOPIX index, only.

Keywords: art prices; cointegration; GARCH model; hedonic price equation; S&P500 stock index; and TOPIX stock index (search for similar items in EconPapers)
JEL-codes: C22 G12 G15 L15 (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.mfsociety.org/modules/modDashboard/uplo ... tnd1v9r127m1q443.pdf
http://www.mfsociety.org/modules/modDashboard/uplo ... ogleScholar/654.html

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:mfj:journl:v:2:y:1998:i:3:p:167-187

Access Statistics for this article

Multinational Finance Journal is currently edited by Panayiotis C. Andreou

More articles in Multinational Finance Journal from Multinational Finance Journal Contact information at EDIRC.
Bibliographic data for series maintained by Theodossiou Panayiotis ().