Abstract
In this article, the author applies a dynamic conditional correlation model to examine the return relationships among fine wines and equity indexes from the United States, United Kingdom, Germany, France, and Japan. Using data spanning from January 2004 to September 2013, the first result provides evidence that fine wine is a hedge against equities. Additionally, fine wine is a weak safe haven during periods of market stress. These empirical results have practical implications for risk managers seeking to preserve the value of their equity portfolios during uncertainty periods where diversification benefits are the most needed.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
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.