Authors: Eric Le Fur; Hachmi Ben Ameur; Eric Braune; Benoit Faye
Addresses: INSEEC Business School, Hangar 19, Quai de Bacalan, CS 60083, 33070 Bordeaux Cedex, France ' INSEEC Business School, 27 Avenue Claude Vellefaux, 75010 Paris, France ' INSEEC Business School, 19 bis, Place Tolozan, 69001 Lyon, France ' INSEEC Business School, Hangar 19, Quai de Bacalan, CS 60083, 33070 Bordeaux Cedex, France
Abstract: Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines.
Keywords: contagion effect; financial markets; fine wines; market volatility; ADCC GARCH model.
International Journal of Entrepreneurship and Small Business, 2016 Vol.29 No.4, pp.583 - 601
Available online: 11 Oct 2016 *Full-text access for editors Access for subscribers Purchase this article Comment on this article