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Opis
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.
Plik z danymi badawczymi
hexmd5(md5(part1)+md5(part2)+...)-{parts_count} gdzie pojedyncza część pliku jest wielkości 512 MBPrzykładowy skrypt do wyliczenia:
https://github.com/antespi/s3md5
Informacje szczegółowe o pliku
- Licencja:
-
otwiera się w nowej karcie
CC BYUznanie autorstwa - Oprogramowanie:
- MS EXCEL
Informacje szczegółowe
- Rok publikacji:
- 2025
- Data zatwierdzenia:
- 2025-05-28
- Język danych badawczych:
- angielski
- Dyscypliny:
-
- ekonomia i finanse (Dziedzina nauk społecznych)
- DOI:
- Identyfikator DOI 10.34808/5h6j-xf27 otwiera się w nowej karcie
- Finansowanie:
- Weryfikacja:
- Politechnika Gdańska
Słowa kluczowe
- GSADF test
- price explosivity
- art markets
- co-explosivity
- phi correlation coefficient
- logistic regression
- stock markets
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