Rational Speculative Bubbles in the Fine Wine Investment Market

Marcin Czupryna,Paweł Oleksy

doi:10.33119/kkessip.2015.3.3.12

Abstract

The paper focuses on detection of rational speculative bubbles in fine wineinvestment market. Our research was conducted using recursive tests. The chosenmethod additionally allowed us to set time frames for potential bubbles. Theresults have shown that speculative bubble episodes appeared between 2006–2007both in fine wine market and in most of selected traditional stock exchanges.However, only the fine wine market recorded the second wave of speculativebubbles between 2010–2011.

Highlights

Asset allocation can involve, in addition to traditional assets such as bonds or shares, a broad spectrum of alternative investments. ey include both investments in capital assets, consumable or transformable assets that can be used as economic inputs into production processes and assets that store value. ey play an increasingly important role in portfolios of individual and institutional investors
Our research focuses on detection of rational speculative bubbles in the ne wine investment market
E results show that speculative bubble episodes appeared between 2006–2007 both in ne wine market and in most of selected traditional stock exchanges, in some cases even several times

Summary

Introduction

In addition to traditional assets such as bonds or shares, a broad spectrum of alternative investments. ey include both investments in capital assets (e.g. hedge funds, private equity), consumable or transformable assets that can be used as economic inputs into production processes (e.g. grains, metals, energy products) and assets that store value (e.g. art, precious metals). ey play an increasingly important role in portfolios of individual and institutional investors. According to the McKinsey report, three groups of alternative assets (i.e. hedge funds, private equity and real estate) have grown twice as fast as non-alternatives in the time period 2005–2013. A speci c subset of alternative assets are emotional assets which price is formed to a large extent under the in uence of emotional factors, unique to each investor. E common feature of these assets is the emotional premium which the investor is willing to pay to capture the emotional dividends expected to arise from the ownership of a particular asset. E main goal of the paper is to indentify the di erences in price behaviour between traditional nancial assets (stocks) and alternative investment assets ( ne wines).

Methods

Results

Conclusion