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Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles
Abstract
This paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed. The research period adopted in the study was December 2003 to March 2022, and the data were examined at a monthly frequency. Based on the results, it was concluded that the periods of price bubbles in the investment wine market, relative to the other investments studied, are long and amount to a maximum of 50% of the time studied. Price bubble periods for investments in the DAX index and the Rhone 100 index or the Rest of the World 60 index will lower the risk of an investment portfolio in times of greatest turbulence in these markets. In addition, the co-occurrence of price bubbles was not confirmed for the S&P500 index and the Bordeaux Legends 40 investment. Moreover, no co-occurrence of price bubbles was identified between investments in most of the wine indices studied and investments in silver and gold. However, the same phenomenon was not confirmed for platinum investments.
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- Category:
- Articles
- Type:
- artykuły w czasopismach
- Published in:
-
International Review of Financial Analysis
no. 87,
ISSN: 1057-5219 - Language:
- English
- Publication year:
- 2023
- Bibliographic description:
- Potrykus M.: Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles// International Review of Financial Analysis -Vol. 87,iss. May 2023 (2023), s.102637-
- DOI:
- Digital Object Identifier (open in new tab) 10.1016/j.irfa.2023.102637
- Sources of funding:
-
- COST_FREE
- Verified by:
- Gdańsk University of Technology
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