Time-varying Causality among Whisky, Wine, and Equity Markets - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Finance Research Letters Année : 2024

Time-varying Causality among Whisky, Wine, and Equity Markets

Résumé

Whisky has entered the category of alternative investment assets, with particularly attractive returns on certain bottles. The literature has shown the diversification benefits of investing in collectible assets, such as fine wine, but analyses dedicated to whisky investment remain scarce. Using different causality tests – parametric, non-parametric, and time-varying – applied to whisky, wine, and the MSCI World indices, we analyze the connection/disconnection between rare whisky, fine wine, and financial markets over a 13-Year period, from January 2010 to January 2023, in weekly frequency. Our results show that whisky and wine respectively provide attractive diversification opportunities when combined with stocks, except during “hectic” periods. Conversely, the combination of whisky and wine appears to be riskier in terms of portfolio diversification, especially since the COVID-19 pandemic.
Fichier sous embargo
Fichier sous embargo
0 11 3
Année Mois Jours
Avant la publication
jeudi 3 avril 2025
Fichier sous embargo
jeudi 3 avril 2025
Connectez-vous pour demander l'accès au fichier

Dates et versions

hal-04530296 , version 1 (11-04-2024)

Licence

Paternité - Pas d'utilisation commerciale - Pas de modification

Identifiants

Citer

Vincent Fromentin, Bruno Pecchioli, David Moroz. Time-varying Causality among Whisky, Wine, and Equity Markets. Finance Research Letters, 2024, pp.105345. ⟨10.1016/j.frl.2024.105345⟩. ⟨hal-04530296⟩
0 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More