Investing in national art markets: Price explosivity and co-explosivity

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103139

Marcin Potrykus , Imran Ramzan , Elie Bouri

引用次数: 0

Abstract

This study examines price explosivity and co-explosivity behaviours in the national art markets of the US, Britain, Canada, France, Germany, Italy and Japan, from January 1976 to June 2024. The results of the generalised supremum augmented Dickey-Fuller test indicate that all national art markets are highly subject to price explosivity, which represents, on average, 34 % of the sample period. Price explosivity lasts longer in the US and Britain than in France, Italy and Japan. The results from logistic regressions show significant co-explosivity behaviours, with the French, German, Italian and Japanese art markets being the most linked to other art markets. The study also considers conventional assets such as equities, crude oil, gold and silver, and the analysis shows that price co-explosivity exists between art and conventional assets.

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投资国内艺术品市场：价格爆炸性和协同爆炸性

本研究考察了1976年1月至2024年6月期间，美国、英国、加拿大、法国、德国、意大利和日本国家艺术市场的价格爆炸性和协同爆炸性行为。广义最优增广Dickey-Fuller检验的结果表明，所有国家艺术市场都高度受到价格爆炸性的影响，平均占样本时期的34% %。与法国、意大利和日本相比，美国和英国的价格爆炸性持续时间更长。逻辑回归的结果显示出显著的共爆性行为，法国、德国、意大利和日本的艺术市场与其他艺术市场的联系最为紧密。该研究还考虑了股票、原油、黄金和白银等传统资产，分析表明，艺术品和传统资产之间存在价格共爆性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance