Dynamic price dependence of Canadian and international art markets: an empirical analysis

Douglas Hodgson () and Aylin Seckin

Empirical Economics, 2012, vol. 43, issue 2, 867-890

Abstract: Although the market for Canadian paintings is now of substantial magnitude, with several works having recently been sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and seem to be held only by Canadian collectors. This market can thus be viewed as largely local, and it is therefore not clear whether there should be any linkage between price movements for Canadian art and those for the mainstream international market in old master, impressionist, and modern art. This article investigates the presence and nature of such time series dependence econometrically, both in terms of long-term trends as reflected in the co-integrating relationship between Canadian and the international market, and in terms of short-run co-movements as represented in correlations. The possibility that the local market “follows” the international one is also considered through an analysis of Granger causality. For Canadian art prices, we use a new hedonic index that has been computed using an updated version of the dataset of Hodgson and Vorkink (Can J Econ 37:629–655, 2004 ), while for the international prices, we use an index provided by Mei and Moses (Am Econ Rev 92:1656–1668, 2002 ). Copyright Springer-Verlag 2012

Keywords: Alternative investments; Economics of art markets; Market for paintings; Time series analysis; CAPM; Z11; G11 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-011-0502-z (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis (2011)
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:spr:empeco:v:43:y:2012:i:2:p:867-890

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-011-0502-z

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().