QUT ePrints

Transmission of returns and volatility in art markets: a multivariate GARCH analysis

Higgs, Helen & Worthington, Andrew C. (2004) Transmission of returns and volatility in art markets: a multivariate GARCH analysis. Applied Economics Letters, 11(4), pp. 217-222.

View at publisher

Abstract

This study examines the transmission of returns and volatility among eight major art markets. The art indices included in the analysis are Contemporary Masters (CM), 20th Century English (TE), 19th Century European (NE), French Impressionist (FI), Modern European (ME), Modern US Paintings (US), Old Masters (OM) and Surrealists (SR). A multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results indicate the presence of large and predominantly positive mean return and volatility spillovers, though the spillovers between art markets are not homogeneous.

Impact and interest:

10 citations in Scopus
Search Google Scholar™
3 citations in Web of Science®

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

1,100 since deposited on 31 Oct 2005
43 in the past twelve months

Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 2317
Item Type: Journal Article
Keywords: art investment, hedonic, art index
DOI: 10.1080/13504850410001674830
ISSN: 1466-4291
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Banking Finance and Investment not elsewhere classified (150299)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Panel Data Analysis (140304)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Applied Economics not elsewhere classified (140299)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2004 Taylor & Francis
Copyright Statement: First published in Applied Economics Letters 11(4):pp. 217-222.
Deposited On: 31 Oct 2005
Last Modified: 05 Jan 2011 23:25

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page