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

Author

Listed:
  • Douglas James Hodgson
  • Aylin Seckin
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."

Suggested Citation

  • Douglas James Hodgson & Aylin Seckin, 2011. "Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis," CIRANO Working Papers 2011s-14, CIRANO.
    • Handle: RePEc:cir:cirwor:2011s-14
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    File URL: https://cirano.qc.ca/files/publications/2011s-14.pdf
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    References listed on IDEAS

    as
    1. Ginsburgh, Victor & Mei, Jianping & Moses, Michael, 2006. "The Computation of Prices Indices," Handbook of the Economics of Art and Culture, in: V.A. Ginsburgh & D. Throsby (ed.), Handbook of the Economics of Art and Culture, edition 1, volume 1, chapter 27, pages 947-979, Elsevier.
    2. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
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    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Michel Clement & Anke Lepthien & Tim Schulze, 2016. "Erfolgsfaktoren bei der Vermarktung von Kunst [Success Factors for Marketing of Arts]," Schmalenbach Journal of Business Research, Springer, vol. 68(4), pages 377-400, December.
    2. Demir, Ender & Gozgor, Giray & Sari, Emre, 2018. "Dynamics of the Turkish paintings market: A comprehensive empirical study," Emerging Markets Review, Elsevier, vol. 36(C), pages 180-194.
    3. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    4. Assaf, Ata & Kristoufek, Ladislav & Demir, Ender & Kumar Mitra, Subrata, 2021. "Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    5. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Emmanuel Kwesi Arthur & Luis Alberiko Gil-Alana, 2023. "The influence of economic policy uncertainty shocks on art market," Applied Economics, Taylor & Francis Journals, vol. 55(29), pages 3404-3421, June.
    6. Belma Öztürkkal & Aslı Togan-Eğrican, 2020. "Art investment: hedging or safe haven through financial crises," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 44(3), pages 481-529, September.
    7. Wang, Fang, 2023. "Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 318-331.

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    More about this item

    Keywords

    Alternative investments; Economics of art markets; Market for paintings; Time series analysis; CAPM;
    All these keywords.

    JEL classification:

    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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