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Art as an investment: short and long-term comovements in major painting markets

Worthington, Andrew C. & Higgs, Helen (2003) Art as an investment: short and long-term comovements in major painting markets. Empirical Economics, 28(4), pp. 649-668.

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Abstract

This paper examines the short and long-term price linkages among major art and equity markets over the period 1976-2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US paintings. A global equity index (with dividends and capitalisation changes) is also included. Multivariate cointegration procedures, Granger non-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to analyse short and long-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant short and long run causal linkages between the various painting markets and between the equity market and painting markets. However, in terms of the percentage of variance explained most painting markets are relatively isolated, and other painting markets are generally more important than the equity market in explaining the variance that is not caused by innovations in the market itself. This suggests that opportunities for portfolio diversification in art works alone and in conjunction with equity markets exist, though in common with the literature in this area the study finds that the returns on paintings are much lower and the risks much higher than in conventional financial markets.

Impact and interest:

12 citations in Scopus
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ID Code: 2530
Item Type: Journal Article
Keywords: Art and collectibles, portfolio diversification, market efficiency, risk and return
DOI: 10.1007/s00181-003-0152-x
ISSN: 1435-8921
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
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)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2003 Springer
Copyright Statement: The original publication is available at SpringerLink http://www.springerlink.com
Deposited On: 06 Dec 2005
Last Modified: 05 Jan 2011 23:25

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