Fine Wines and Stocks from the Perspective of UK Investors: Hedge or Safe Haven?

Elie Bouri () and David Roubaud ()

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Abstract: The prior literature disregards the time-varying conditional correlation and its importance for portfolio diversification when it assesses the risk-return profile of fine wine with that of stocks. To address this limitation, this paper applies a dynamic conditional correlation model and examines the co-movements between fine wine and stock prices in the United Kingdom (UK). Based on monthly data from January 2001 to February 2014, we find that fine wine is a hedge against movements in UK stocks. Nevertheless, it cannot act as an effective safe haven during market turmoil. Those findings have noteworthy implications for financial advisors and portfolio managers who are interested in alternative investments. (JEL Classifications: G1, G11, Q1, Q14)

Keywords: Dynamic conditional correlation; fine wines; hedge; safe haven; UK stocks (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

Published in Journal of Wine Economics, 2016, 11 (2), pp.233-248. ⟨10.1017/jwe.2015.10⟩

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Journal Article: Fine Wines and Stocks from the Perspective of UK Investors: Hedge or Safe Haven?* (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02009130

DOI: 10.1017/jwe.2015.10

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