Financial market contagion and fine wines: the evidence of the ADCC GARCH model

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1 janvier 2016

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HAL-SHS : économie et finance

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Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1504/IJESB.2016.079967

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Centre pour la communication scientifique directe

Mots-clés En

Contagion effect Financial markets Fine wines Market volatility ADCC GARCH model

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Oenology Enology Wines Vinification

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Eric Le Fur et al., « Financial market contagion and fine wines: the evidence of the ADCC GARCH model », HAL-SHS : économie et finance, ID : 10.1504/IJESB.2016.079967

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Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines.

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