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dc.contributor.authorWorthington, AC
dc.contributor.authorHiggs, H
dc.date.accessioned2018-05-15T01:27:46Z
dc.date.available2018-05-15T01:27:46Z
dc.date.issued2003
dc.date.modified2009-03-26T06:41:26Z
dc.identifier.issn0377-7332
dc.identifier.doi10.1007/s00181-003-0152-x
dc.identifier.urihttp://hdl.handle.net/10072/21726
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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent131650 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherSpringer
dc.publisher.placeGermany
dc.relation.ispartofpagefrom649
dc.relation.ispartofpageto668
dc.relation.ispartofissue4
dc.relation.ispartofjournalEmpirical Economics
dc.relation.ispartofvolume28
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchcode38
dc.titleArt as an Investment: Short and Long-Term Comovements in Major Painting Markets
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2003 Springer Berlin Heidelberg. This is an electronic version of an article published in Empirical Economics, Volume 28, Issue 4, pp 649–668, 2003. Empirical Economics is available online at: http://link.springer.com/ with the open URL of your article.
gro.date.issued2003
gro.hasfulltextFull Text
gro.griffith.authorWorthington, Andrew C.


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