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Investing in the wine market: a country-level threshold cointegration approach

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  • Lucia Baldi
  • Massimo Peri
  • Daniela Vandone

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  • Lucia Baldi & Massimo Peri & Daniela Vandone, 2013. "Investing in the wine market: a country-level threshold cointegration approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 493-503, March.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:4:p:493-503
    DOI: 10.1080/14697688.2012.716523
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    References listed on IDEAS

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    1. Boyan Jovanovic, 2007. "Bubbles in Prices of Exhaustible Resources," NBER Working Papers 13320, National Bureau of Economic Research, Inc.
    2. Hong, Harrison & Yogo, Motohiro, 2012. "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, vol. 105(3), pages 473-490.
    3. Masset, Philippe & Weisskopf, Jean-Philippe, 2010. "Raise Your Glass: Wine Investment And The Financial Crisis," Working Papers 90484, American Association of Wine Economists.
    4. Georges Prat & Fredj Jawadi, 2007. "Nonlinear stock prices adjustment in the G7 countries," Working Papers halshs-00172896, HAL.
    5. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    6. Canning, Patrick N. & Perez, Agnes C., 2008. "Economic Geography Of The U.S. Wine Industry," Working Papers 43891, American Association of Wine Economists.
    7. Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, University Library of Munich, Germany.
    8. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
    9. Sanning, Lee W. & Shaffer, Sherrill L. & Sharratt, Jo Marie, 2007. "Alternative investments: the case of wine," Working Papers 37322, American Association of Wine Economists.
    10. Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.
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    Cited by:

    1. Ben Ameur, Hachmi & Le Fur, Eric, 2020. "Volatility transmission to the fine wine market," Economic Modelling, Elsevier, vol. 85(C), pages 307-316.
    2. Fromentin, Vincent & Pecchioli, Bruno & Moroz, David, 2024. "Time-varying causality among whisky, wine, and equity markets," Finance Research Letters, Elsevier, vol. 63(C).
    3. Eric Le Fur & Jean-François Outreville, 2019. "Fine wine returns: a review of the literature," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 196-214, May.

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