The financialization of the bulk wine market: towards the launch of a futures market?

Jean-Marie Cardebat, Jean-Marc Figuet, Yves Jégourel () and Catherine Lis-Castiblanco
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Jean-Marie Cardebat: BSE - Bordeaux sciences économiques - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Jean-Marc Figuet: BSE - Bordeaux sciences économiques - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Yves Jégourel: CNAM Paris - Centre d'enseignement Cnam Paris - Cnam - Conservatoire National des Arts et Métiers [Cnam]
Catherine Lis-Castiblanco: BSE - Bordeaux sciences économiques - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: Can bulk wine be treated as a commodity and support an organized futures contract? Using weekly prices (2000-2020) for bulk red and ros & eacute; wines without geographical indication in France, Italy and Spain, we test two prerequisites for a viable regional contract: persistent spot-price volatility and sufficient market integration across origins. Volatility is modelled with country-specific ARMA - GARCH specifications, while integration is assessed with Johansen tests, VECM dynamics and Dynamic OLS. Conditional heteroskedasticity is pronounced in all three markets, with near-unit volatility persistence in Spain. The trivariate system is not cointegrated; the Italy - Spain pair provides marginal evidence of one cointegrating vector at the 5% level. The estimated long-run elasticity from Italy to Spain is above unity (1.162), rather than one-to-one. These results support the economic plausibility of an Italy - Spain contract but do not by themselves establish market feasibility.

Keywords: Bulk wine; Market integration; Volatility; Futures contract; Agricultural commodity market (search for similar items in EconPapers)
Date: 2026-08-03
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Published in Applied Economics Letters, 2026, pp.1-4. ⟨10.1080/13504851.2026.2714299⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05713851

DOI: 10.1080/13504851.2026.2714299

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