使用单位根测试测试葡萄酒市场的效率与尖锐和平滑的休息

Q1 Economics, Econometrics and Finance

Wine Economics and Policy Pub Date : 2017-12-01 DOI:10.1016/j.wep.2017.06.001

Elie Bouri , Tsangyao Chang , Rangan Gupta

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引用次数: 12

摘要

本文使用新颖的单位根检验检验了葡萄酒市场的有效市场假设，同时考虑了月度数据的急剧变化和平稳中断。我们在葡萄酒指数中发现了结构变化和非线性的证据。与传统线性单位根测试的结果相反，当我们考虑急剧变化和平滑中断时，每个葡萄酒指数的单位根null已被拒绝。总的来说，我们的结果表明，当我们考虑休息时，葡萄酒市场是低效的。我们提供了我们的研究结果的一些实际和政策意义。

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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Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks

This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional linear unit root tests, when we account for sharp shifts and smooth breaks, the unit root null for each of the wine indices has been rejected. Overall, our results suggest that the wine market is inefficient when we incorporate breaks. We provide some practical and policy implications of our findings.

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来源期刊

Wine Economics and Policy Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

28 weeks