Persistence in the Passion Investment Market

Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Ahniia Havrylina

No 9586, CESifo Working Paper Series from CESifo

Abstract: This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly frequency. The results can be summarised as follows: wine prices are found to be highly persistent, whilst stamp prices appear to be only weakly persistent, though they can still be characterised as a long-memory process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds Carat indices) or even random (Polished Prices Diamond Index). The dynamic R/S analysis also shows that persistence is time-varying and tends to fluctuate around the average. These findings can be explained by the different degree of liquidity of the assets examined.

Keywords: passion investment; persistence; long memory; R/S analysis; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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