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Econometric analysis of volatile art markets

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  • Bocart, Fabian Y. R. P.
  • Hafner, Christian M.

Abstract

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical analysis reveals that errors are considerably non-Gaussian, and that a student distribution with time-varying scale and degrees of freedom does well in explaining deviations of prices from their expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock indices.

Suggested Citation

  • Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2011-071
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    2. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    3. repec:hum:wpaper:sfb649dp2011-083 is not listed on IDEAS
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    6. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015. "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, vol. 10(2), pages 190-203, November.
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    8. Bocart, Fabian & Hafner, Christian, 2012. "Volatility of price indices for heterogeneous goods," LIDAM Discussion Papers ISBA 2012019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. repec:hum:wpaper:sfb649dp2011-072 is not listed on IDEAS
    11. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. repec:hum:wpaper:sfb649dp2011-085 is not listed on IDEAS
    13. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012. "Econometric analysis of volatile art markets," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
    14. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Kim Oosterlinck, 2017. "Art as a Wartime Investment: Conspicuous Consumption and Discretion," Economic Journal, Royal Economic Society, vol. 127(607), pages 2665-2701, December.
    16. Vecco, Marilena & Zanola, Roberto, 2017. "Don’t let the easy be the enemy of the good. Returns from art investments: What is wrong with it?," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 120-129.
    17. Dominik Filipiak & Agata Filipowska, 2016. "Towards data oriented analysis of the art market: survey and outlook," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 21-31, June.
    18. Shailendra Gurjar & Usha Ananthakumar, 2023. "The economics of art: price determinants and returns on investment in Indian paintings," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 50(6), pages 839-859, January.
    19. repec:hum:wpaper:sfb649dp2011-084 is not listed on IDEAS
    20. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Filipiak Dominik & Filipowska Agata, 2016. "Towards Data Oriented Analysis of the Art Market: Survey and Outlook," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 12(1), pages 21-31.

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    More about this item

    Keywords

    volatility; art markets; hedonic regression; semiparametric estimation;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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    This paper has been announced in the following NEP Reports:

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