The 1980s Price Bubble on (Post) Impressionism

Fabian Bocart (), Ken Bastiaensen () and Peter Cauwels ()
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Fabian Bocart: Universite Catholique de Louvain, Institut de Statistique, Biostatistique et Sciences Actuarielles, Voie du Roman Pays 20, 1348 Louvain-La-Neuve, Belgium
Peter Cauwels: ETH Zurich, Department of Management, Technology, and Economics, Zurich, Switzerland

No AWP-03-2011, ACEI Working Paper Series from Association for Cultural Economics International

Abstract: The Log Periodic Power Law is a model used to define and measure speculative bubbles. This model has proven useful to track bubbles and even predict crashes of liquid asset classes. Using this methodology coupled with properties of cointegration between stocks and art, the 1980s price bubble on Impressionism and Post-Impressionism is analyzed. It is shown formally that there was a bubble in this market between 1986 and 1989. However, when denominating the art index in JPY rather than in USD, no price bubble behaviour was found at all. This observation suggests that Japanese buyers never felt that they were riding a bubble. Despite popular beliefs, no evidence is found that Japanese buyers viewed art as a speculative vehicle instead of a more classic consumption good that was related to their own cultural heritage.

Keywords: Impressionism; art market; hedonic regression; LPPL; bubble (search for similar items in EconPapers)
JEL-codes: G1 G17 Z11 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2011-11, Revised 2011-11
New Economics Papers: this item is included in nep-his
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