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Time-varying Causality among Whisky, Wine, and Equity Markets

Author

Listed:
  • Vincent Fromentin

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Bruno Pecchioli

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine, ICN Business School)

  • David Moroz

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie)

Abstract

Whisky has entered the category of alternative investment assets, with particularly attractive returns on certain bottles. The literature has shown the diversification benefits of investing in collectible assets, such as fine wine, but analyses dedicated to whisky investment remain scarce. Using different causality tests – parametric, non-parametric, and time-varying – applied to whisky, wine, and the MSCI World indices, we analyze the connection/disconnection between rare whisky, fine wine, and financial markets over a 13-Year period, from January 2010 to January 2023, in weekly frequency. Our results show that whisky and wine respectively provide attractive diversification opportunities when combined with stocks, except during "hectic" periods. Conversely, the combination of whisky and wine appears to be riskier in terms of portfolio diversification, especially since the COVID-19 pandemic.

Suggested Citation

  • Vincent Fromentin & Bruno Pecchioli & David Moroz, 2024. "Time-varying Causality among Whisky, Wine, and Equity Markets," Post-Print hal-04530296, HAL.
    • Handle: RePEc:hal:journl:hal-04530296
    DOI: 10.1016/j.frl.2024.105345
    Note: View the original document on HAL open archive server: https://hal.science/hal-04530296
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