Cointegrating Analysis of the Leading Western Art Markets
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Pages: | 33 : 43 |
Abstract: |
In the paper, we test the cointegrating relationship between the Art Market Price Index for the United States, France and the United Kingdom, the main Western art markets. Usually, the price indices are calculated in US dollars for USA, in Euros for France and in pounds sterling for the United Kingdom (such as Artprice data). We found that, for the period 1998:Q1 – 2018:Q2, if the art market price indices are calculated in one and the same currency, then there is a long-run relationship between the Western art markets and there are no cointegration relationships if the price indices are in different currencies (USD, EUR, GBP). |
JEL classification: | Z21, C5 |