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Order Book Dynamics of Fine Wine Exchange

Author

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  • Czupryna, Marcin
  • Jakubczyk, Michał
  • Oleksy, Paweł

Abstract

In this paper, we explore the order book dynamics on the Liv-ex fine wine exchange. More specifically, by using the order book data, we examine new buy and sell order submissions and cancellations and various factors that may have an effect on the intensity of the trade process on both sides of the market. Our findings indicate the existence of significant relationships between the expected number of bids, offers, or order withdrawals and wine producers, contract type, bottle format, case size, weekday, and age. In particular, the wine age positively affects the buy and sell order submissions, but only up to a certain point, after which the number of orders starts to decrease. (JEL Classifications: D40, G12, G14, L66)

Suggested Citation

  • Czupryna, Marcin & Jakubczyk, Michał & Oleksy, Paweł, 2020. "Order Book Dynamics of Fine Wine Exchange," Journal of Wine Economics, Cambridge University Press, vol. 15(4), pages 403-411, November.
    • Handle: RePEc:cup:jwecon:v:15:y:2020:i:4:p:403-411_6
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    More about this item

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L66 - Industrial Organization - - Industry Studies: Manufacturing - - - Food; Beverages; Cosmetics; Tobacco

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