Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis

Posted: 1 Feb 2011

See all articles by Douglas J. Hodgson

Douglas J. Hodgson

University of Quebec at Montreal (UQAM) - Department of Economics

Aylin Seckin

affiliation not provided to SSRN

Date Written: January 31, 2011

Abstract

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian collectors. This market can thus be viewed as almost exclusively local, and it is therefore not clear that there should be any linkage between price movements for Canadian art and those for the mainstream international market in old master, impressionist, and modern art. This paper investigates the presence and nature of such time series dependence econometrically, both in terms of long term trends as reflected in the co-integrating relationship between Canadian and the international market, and in terms of short-run co-movements as represented in correlations. The possibility that the local market "follows" the international one is also considered through an analysis of Granger-Causality. For Canadian art prices we use a new hedonic index that has been computed using an updated version of the data set of Hodgson and Vorkink (2004), while for the international prices, we use an index provided by Mei and Moses.

Keywords: Alternative investments, Economics of art markets, Market for paintings, Time series analysis, CAPM

JEL Classification: Z11, G11

Suggested Citation

Hodgson, Douglas J. and Seckin, Aylin, Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis (January 31, 2011). CIRANO - Scientific Publications No. 2011s-14. Available at SSRN: https://ssrn.com/abstract=1752375 or http://dx.doi.org/10.2139/ssrn.1752375

Douglas J. Hodgson (Contact Author)

University of Quebec at Montreal (UQAM) - Department of Economics ( email )

P.O. Box 8888, Downtown Station
Montreal, Quebec H3C 3P8
Canada

Aylin Seckin

affiliation not provided to SSRN ( email )

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