A COINTEGRATION ANALYSISOF WINE STOCK INDEXES

Risk Governance & Control: Financial Markets & Institutions

关键词: Commodity Market;    Wine;    Portfolio Diversification;    Cointegration;   

DOI  :  10.22495/rgc7i4c2art1

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

This paper analyzes price patterns and long-run relationships for both fine wine and non-fine wine, with the aim to highlight price dynamics and co-movements between series, and to exploit potential diversification benefits. Data are from Liv-Ex 100 Fine Wine for fine wine, the Mediobanca Global Wine Industry Share Price for normal wine, and the MSCI World Index as a proxy of the overall stock market. Engle-Granger and Johansen tests were used to detect whether and to what extent the series co-move in the long run and which one of the variables contributes proactively to such an equilibrium by reacting to disequilibria from the long-run path. The estimates highlight thati) the two wine indexes have a higher Sharpe ratio compared to the general stock market index, revealing wine stocks as a profitable investment per se, and ii) the absence of cointegration among the three series and the existence of possible diversification benefits. In fact, in the long-run price do not move together and, therefore, investors may be better off by including wine stocks into investment portfolios and take advantage of diversification.

【 授权许可】

CC BY-NC