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Article Dans Une Revue Journal of Wine Economics Année : 2020

Looking Beyond Wine Risk-Adjusted Performance

Résumé

In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events.
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Dates et versions

hal-03675452 , version 1 (23-05-2022)

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Frantz Maurer, Jean Marie Cardebat, Linda Jiao. Looking Beyond Wine Risk-Adjusted Performance. Journal of Wine Economics, 2020, 15 (2), pp.229-259. ⟨10.1017/jwe.2020.18⟩. ⟨hal-03675452⟩
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