Are Real Assets Priced Internationally? Evidence from the Art Market

21 Pages Posted: 17 Jul 2015

See all articles by Kenneth Wieand

Kenneth Wieand

University of South Florida - College of Business Administration

Jeffrey Donaldson

The University of Tampa - John H. Sykes College of Business

Socorro Quintero

Oklahoma City University

Date Written: 1998

Abstract

This article investigates the relationships between the U.S. and Japanese stock market indices and the prices of modern and impressionist paintings sold at auction in New York by Christies and Sotheby. An art price index is constructed to adjust for heterogeneity of individual paintings. Time series properties of the art price index are examined in relation with the S&P500 and Topix stock market indices. The art-price index is heteroskedastic and autocorrelated. When the log-returns to art are compared to log-price returns to the S&P500 and TOPIX stock indices, a single common long-term stochastic trend in the three indices is found. In the short run, log-changes of art prices are related to current and lagged log-changes of the TOPIX index only.

Keywords: art prices; cointegration; GARCH model; hedonic price equation; S&P500 stock index; and TOPIX stock index

JEL Classification: C22, G12, G15, L15

Suggested Citation

Wieand, Kenneth and Donaldson, Jeffrey and Quintero, Socorro, Are Real Assets Priced Internationally? Evidence from the Art Market (1998). Multinational Finance Journal, Vol. 2, No. 3, p. 167-187, 1998. Available at SSRN: https://ssrn.com/abstract=2631510

Kenneth Wieand (Contact Author)

University of South Florida - College of Business Administration ( email )

4202 E. Fowler Avenue, BSN 3403
Center for Economic Development Research
Tampa, FL 33620-5500
United States

Jeffrey Donaldson

The University of Tampa - John H. Sykes College of Business ( email )

401 W. Kennedy Blvd.
Box 158F
Tampa, FL 33606-1490
United States
813-253-3333, ext. 3282 (Phone)

Socorro Quintero

Oklahoma City University ( email )

2501 North Blackwelder
Oklahoma City, OK 73106
United States

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