GSADF test results for national art market (G-7 group) + selected investments - Open Research Data - Bridge of Knowledge

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GSADF test results for national art market (G-7 group) + selected investments

Description

The dataset contains data illustrating the results of detecting and data-stamping price explosivity periods in national art markets in G-7 countries with additional investments from a second group (MSCI, S&P 500, crude oil, gold and silver). The files contain:
•    01_diagnostics_gsadf – summary of results for analysed time series.
•    02_st_value – obtained statistical test value for GSADF procedure.
•    03_st_cv – critical values from Monte Carlo simulation with 2,000 repetitions.
•    04_datestamp_gsadf_results – characteristics for detected price explosivity periods.
•    05_dummy_results_gsadf – base for co-explosivity analysis.
•    06_DS – value for descriptive statistics for logarithmical rates of return, which were calculated based on the raw data.
•    07_mydata.coeff, 08_mydata.p, 09_mydata.n – correlation analysis results, phi coefficient values, p-value and number of observations, respectively. 
The main sources of information for the study are:
•    Art Market Research (national painting markets), 
•    MSCI (MSCI World Index), 
•    World Bank, “Pink Sheet” (other investments).  

Remain files include graphical results for conducted analysis and procedures in R language to obtain all files in the dataset. Data set don't contain raw data. All calculations were made using monthly data from the research period from January 1976 to June 2024. 

The cost for raw data (national art markets) was funded in whole by the Poland National Science Centre [registration number 2024/08/X/HS4/00044]. Title: Characteristics and co-occurrence of price bubbles on the art investment market
and selected capital markets.

Dataset file

Dataset.zip
179.2 kB, S3 ETag 82b5dbcbaba494b01f150a4582efd54f-1, downloads: 5
The file hash is calculated from the formula
hexmd5(md5(part1)+md5(part2)+...)-{parts_count} where a single part of the file is 512 MB in size.

Example script for calculation:
https://github.com/antespi/s3md5

File details

License:
Creative Commons: by 4.0 open in new tab
CC BY
Attribution
File embargo:
2025-05-01
Software:
RStudio

Details

Year of publication:
2024
Verification date:
2024-10-04
Creation date:
2024
Dataset language:
English
Fields of science:
  • economics and finance (Social studies)
DOI:
DOI ID 10.34808/0dt5-6a46 open in new tab
Funding:
Verified by:
Gdańsk University of Technology

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