Is art market efficient? Evidence from non-linear quantile unit-root tests

Myeong Jun Kim and Sung Y. Park

Applied Economics Letters, 2024, vol. 31, issue 15, 1389-1396

Abstract: In this paper, we use quarterly stock price index data to test the weak form of the efficient market hypothesis for 13 art market indices. The fact that hypotheses can be efficiently tested by performing unit root tests is well known. The conventional unit root test results show that most art indices have unit roots, which means that these art markets are efficient. However, the results of the non-linear quantile unit root tests we conduct over a range of quantiles lead us to reject the null of the unit root test for several art markets. To acquire more information, we perform the test over sub-quantile intervals, finding asymmetric market efficiency between the low and high quantile intervals: we cannot reject the unit root null in upper quantile intervals for most art price indices.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2023.2187022 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:31:y:2024:i:15:p:1389-1396

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2023.2187022

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().