Abstract

http://ssrn.com/abstract=1304856
 
 

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Emerging Art Markets


Roman Kräussl


Universite du Luxembourg - School of Finance; Emory University - Goizueta Business School

Robin Logher


VU University Amsterdam - Department of Finance

December 15, 2008

Emerging Markets Review, Vol. 11, No. 4, 2010

Abstract:     
This paper analyzes the performance and risk-return characteristics of three major emerging art markets: Russia, China, and India. According to three national art market indices, built by hedonic regressions based on auction sales prices, the geometric annual returns are 10.00%, 5.70%, and 42.20% for Russia (1985-2008), China (1990-2008), and India (2002-2008), respectively. The Russian art market exhibits positive correlations with most common financial assets and a positive market beta, whereas the Chinese art market demonstrates a negative correlation overall and a negative market beta, and the Indian art index reveals a negative market beta and varying correlation results. Portfolio optimization under a power utility framework suggests limited diversification potential, but with a downside beta of 0.43, investing in Chinese art offers hedging potential during financial market downswings. Investigating the linkages between art and the economy through co-integration and causality analyses proves that emerging art markets share a significant long-term relation with other financial market instruments, but the short-term relations are largely absent.

Number of Pages in PDF File: 25

Keywords: Art market index, Art investments, Art finance, Alternative assets, Portfolio allocation

JEL Classification: G11, G14

Accepted Paper Series


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Date posted: November 23, 2008 ; Last revised: April 7, 2011

Suggested Citation

Kräussl, Roman and Logher, Robin, Emerging Art Markets (December 15, 2008). Emerging Markets Review, Vol. 11, No. 4, 2010. Available at SSRN: http://ssrn.com/abstract=1304856

Contact Information

Roman Kraeussl (Contact Author)
Universite du Luxembourg - School of Finance ( email )
4, rue Albert Borschette
Luxembourg, 1246
Luxembourg
+3524666445442 (Phone)
HOME PAGE: http://www.art-finance.com
Emory University - Goizueta Business School ( email )
1300 Clifton Road
Atlanta, GA 30322-2722
United States
+14042812253 (Phone)
+14047275238 (Fax)
HOME PAGE: http://www.art-finance.com
Robin Logher
VU University Amsterdam - Department of Finance ( email )
De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands
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