Show simple item record

dc.contributor.authorWorthington, Andrewen_US
dc.contributor.authorHiggs, Helenen_US
dc.contributor.editorAmrita Chakrabortyen_US
dc.date.accessioned2017-04-24T12:44:14Z
dc.date.available2017-04-24T12:44:14Z
dc.date.issued2007en_US
dc.date.modified2013-02-07T04:57:02Z
dc.identifier.isbn813140708Xen_US
dc.identifier.urihttp://hdl.handle.net/10072/17011
dc.description.abstractThis paper examines the short and long-term price linkages among major art and equity markets over the period 1976-2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US paintings. A global equity index (with dividends and capitalisation changes) is also included. Multivariate cointegration procedures, Granger non-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to analyse short and long-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant short and long-run causal linkages between the various painting markets and between the equity market and painting markets. However, in terms of the percentage of variance explained most painting markets are relatively isolated, and other painting markets are generally more important than the equity market in explaining the variance that is not caused by innovations in the market itself. This suggests that opportunities for portfolio diversification in art works alone and in conjunction with equity markets exist, though in common with the literature in this area the study finds that the returns on paintings are much lower and the risks much higher than in conventional financial markets.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.languageEnglishen_US
dc.language.isoen_US
dc.publisherICFAI University Pressen_US
dc.publisher.placeIndiaen_US
dc.publisher.urihttp://ideas.repec.org/p/qut/dpaper/093.htmlen_US
dc.relation.ispartofbooktitleInvesting in art: An introductionen_US
dc.relation.ispartofchapter9en_US
dc.relation.ispartofstudentpublicationYen_US
dc.relation.ispartofpagefrom133en_US
dc.relation.ispartofpageto166en_US
dc.relation.ispartofedition2007en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchcode340299en_US
dc.titleArt as an investment: Risk, return and comovements in major painting marketsen_US
dc.typeBook chapteren_US
dc.type.descriptionB1 - Book Chapters (HERDC)en_US
dc.type.codeB - Book Chaptersen_US
gro.date.issued2007
gro.hasfulltextNo Full Text


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Book chapters
    Contains book chapters authored by Griffith authors.

Show simple item record