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Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market

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  • Wang, Fang

Abstract

This study examines the nonlinear dynamics in the price series of Chinese art market segments between 2000 and 2019. We employ a hedonic price model to construct price indices of Chinese art market segments and analyze the nonlinearities and regime-switching properties of the individual segment using a series of Markov switching model specifications. We argue that occasional shocks would only temporarily alter their data-generating processes and have transitory effects. Moreover, we investigate the impact of COVID-19 on Chinese art market segments. Our findings have implications for market participants in identifying the price characteristics and dynamic behavior of art market segments.

Suggested Citation

  • Wang, Fang, 2023. "Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 318-331.
    • Handle: RePEc:eee:reveco:v:84:y:2023:i:c:p:318-331
    DOI: 10.1016/j.iref.2022.11.015
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    More about this item

    Keywords

    Chinese art market segments; COVID-19; Hedonic price model; Markov switching; Nonlinearity;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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