Abstract
Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Entrepreneurship and Small Business
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
