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

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  • Helen Higgs
  • Andrew Worthington

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.

Suggested Citation

  • Helen Higgs & Andrew Worthington, 2004. "Transmission of returns and volatility in art markets: a multivariate GARCH analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 217-222.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:4:p:217-222
    DOI: 10.1080/13504850410001674830
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    References listed on IDEAS

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    7. repec:ces:ifodic:v:7:y:2009:i:1:p:14567018 is not listed on IDEAS
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