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Is Wine A Safe-Haven? Evidence From A Nonparametric Causality-In-Quantiles Test

Author

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  • Nikolaos Antonakakis

    (Department of Business and Management, Webster Vienna Private University, Vienna, Austria)

  • Mehmet Balcilar

    (Department of Economics, Eastern Mediterranean University, Famagusta, via Mersin 10, Northern Cyprus, Turkey)

  • Elie Bouri

    (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

Unlike the extant literature on safe-havens, where one aims to relate the movements in an asset considered with extreme episodes in equity markets, we test this property for fine wine, by relating it to global uncertainty. Using a nonparametric k-th order causality-in-quantiles test, we show that, while uncertainty does affect returns and/or variance of the alternative wine indices considered, this effect is restricted to only certain parts of the conditional distribution. In particular, wine seems to be unaffected by global uncertainty, and hence, acts as a safe-haven at extreme ends of the market, i.e., during bear or bullish times; but not during normal times (around the median of the conditional distribution of returns and/or volatility).

Suggested Citation

  • Nikolaos Antonakakis & Mehmet Balcilar & Elie Bouri & Rangan Gupta, 2018. "Is Wine A Safe-Haven? Evidence From A Nonparametric Causality-In-Quantiles Test," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 95-114, December.
  • Handle: RePEc:aag:wpaper:v:22:y:2018:i:1:p:95-114
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    References listed on IDEAS

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    Cited by:

    1. Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.

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    More about this item

    Keywords

    Wine Returns and Volatility; Global Uncertainty; Safe-Haven; Nonparametric; Quantile Causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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