Random Walk Theory and the Weak-Form Efficiency of the US Art Auction Prices

41 Pages Posted: 26 Feb 2020

See all articles by Péter Erdos

Péter Erdos

Budapest University of Technology and Economics

Mihály Ormos

Budapest University of Technology and Economics - Department of Finance

Date Written: March 8, 2010

Abstract

We perform variance ratio tests based on non-parametric methods to detect the size of the random walk component of the US art auction prices. The past 134 years of the US art prices exhibit large transitory component (72%) and based on this, the random walk hypothesis does not hold. However, possibly due to sparse data before 1935 or due to institutional changes of the art market after World War II, we detect structural breakpoints and find that the random walk hypothesis and the weak-form efficiency of the US art market cannot be rejected at least for the past 64 years.

Keywords: Art prices, Random walk, Asset pricing, Spectral density, Variance ratio

JEL Classification: G12, G14, C14

Suggested Citation

Erdos, Péter and Ormos, Mihaly, Random Walk Theory and the Weak-Form Efficiency of the US Art Auction Prices (March 8, 2010). Journal of Banking and Finance, Vol. 34, No. 5, 2010, Available at SSRN: https://ssrn.com/abstract=1707515

Péter Erdos

Budapest University of Technology and Economics ( email )

Budafoki ut 8.
Budapest, 1111
Hungary

Mihaly Ormos (Contact Author)

Budapest University of Technology and Economics - Department of Finance ( email )

Magyar Tudósok krt. 2.
Budapest, 1111
Hungary
3614634220 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
265
Abstract Views
1,623
rank
137,895
PlumX Metrics