Transmission of Returns and Volatility in Art Markets: A Multivariate GARCH Analysis
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Description
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.
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| ID Code: | 2317 |
|---|---|
| Item Type: | Contribution to Journal (Journal Article) |
| Refereed: | Yes |
| Measurements or Duration: | 6 pages |
| DOI: | 10.1080/13504850410001674830 |
| ISSN: | 1350-4851 |
| Pure ID: | 34196212 |
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Copyright Owner: | Consult author(s) regarding copyright matters |
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au |
| Deposited On: | 31 Oct 2005 00:00 |
| Last Modified: | 27 May 2024 16:31 |
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