GSADF test results for the art market and 25 stock exchange indices - Open Research Data - Bridge of Knowledge

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GSADF test results for the art market and 25 stock exchange indices

Description

The dataset contains data illustrating the results of detecting and data-stamping price explosivity periods in the art market, represented by 35 indices from Art Market Research and 25 stock exchange indices (LSEG). 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 the 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, 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.

•    Corr.jpg – correlation heatmap.
•    GSADF_Results.jpg – value for the GSADF test and critical values.
•    GSADF_STAMPS.jpg – price bubbles periods on a timeline.

•    Subdirectory 'Logit' – Logistic regression results.

The primary sources of information for the study are:
•    Art Market Research.
•    LSEG (Refinitiv).

The dataset doesn't contain raw data. All calculations were made using monthly data from the research period from December 1999 to June 2024. 

The cost for raw data (art market indices) was funded in whole by the Polish 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

ART + SE Price bubbles.zip
743.1 kB, S3 ETag 84d3081a94af8d9e90f8278905401a9e-1, downloads: 0
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
download file ART + SE Price bubbles.zip

File details

License:
Creative Commons: by 4.0 open in new tab
CC BY
Attribution
Software:
MS EXCEL

Details

Year of publication:
2025
Verification date:
2025-05-28
Dataset language:
English
Fields of science:
  • economics and finance (Social studies)
DOI:
DOI ID 10.34808/5h6j-xf27 open in new tab
Funding:
Verified by:
Gdańsk University of Technology

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