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

Helen Higgs · Andrew C. Worthington

27 citations0/0 files storedApplied Economics Letters

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Financial Risk and Volatility Modeling Art History and Market Analysis Market Dynamics and Volatility

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.

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References

1995Multivariate Simultaneous Generalized ARCH 1992ARCH modeling in finance 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada 1993Accounting for taste: Art and the financial markets over three centuries 1993Art as an investment: The market for modern prints 2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

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