Transmission of Returns and Volatility in Art Markets: A Multivariate GARCH Analysis

Abstract

This study examines the transmission of returns and volatility among eight major art markets. The art indices included in the analysis are Contemporary Masters (CM), 20th Century English (TE), 19th Century European (NE), French Impressionist (FI), Modern European (ME), Modern US Paintings (US), Old Masters (OM) and Surrealists (SR). A multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results indicate the presence of large and predominantly positive mean return and volatility spillovers, though the spillovers between art markets are not homogeneous.