What can we learn from the analysis of the fine wines market efficiency?

This study analyzes the efficiency hypothesis for three major wine indices using different parametric and non‐parametric tests for the short and long‐term horizons. Based on monthly data over the period 2003–2019, our analysis identifies two main findings. First, in the short term, there is market i...

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Veröffentlicht in:International journal of finance and economics 2024-01, Vol.29 (1), p.703-718
Hauptverfasser: Ameur, Hachmi Ben, Ftiti, Zied, Le Fur, Eric
Format: Artikel
Sprache:eng
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Zusammenfassung:This study analyzes the efficiency hypothesis for three major wine indices using different parametric and non‐parametric tests for the short and long‐term horizons. Based on monthly data over the period 2003–2019, our analysis identifies two main findings. First, in the short term, there is market inefficiency allowing for investment and diversification opportunities and a need for greater market transparency. Second, the spread between wine markets and financial markets can disappear in the long term, that is, there is a long‐run relationship that is relatively compatible with efficiency, except for the Bordeaux Legends 50 index. This implies greater efficiency and therefore better information and fewer investment and diversification opportunities.
ISSN:1076-9307
1099-1158
DOI:10.1002/ijfe.2705