Financial market contagion and fine wines: the evidence of the ADCC GARCH model

Eric Le Fur, Hachmi Ben Ameur, Eric Braune and Benoit Faye
Additional contact information
Eric Le Fur: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux
Benoit Faye: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux

Post-Print from HAL

Abstract: Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines.

Keywords: Contagion effect; Financial markets; Fine wines; Market volatility; ADCC GARCH model (search for similar items in EconPapers)
Date: 2016-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in International Journal of Entrepreneurship and Small Business, 2016, 29 (4), pp.583-601. ⟨10.1504/IJESB.2016.079967⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-03897774

DOI: 10.1504/IJESB.2016.079967

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().