A cointegration analysis of wine stock indexes

Article English OPEN
Introvigne, S. ; Bacchiocchi, E. ; Vandone, D. (2017)
  • Publisher: Publishing house "Virtus Interpress"
  • Journal: Risk Governance & Control: Financial Markets & Institutions (issn: 2077-429X, eissn: 2077-4303)
  • Related identifiers: doi: 10.22495/rgc7i4c2art1
  • Subject: commodity market, wine, portfolio diversification, cointegration | HG1-9999 | Settore SECS-P/05 - Econometria | Portfolio Diversification | Cointegration | Commodity Market | Wine | Finance | Settore SECS-P/11 - Economia degli Intermediari Finanziari

This paper analyzes price patterns and long-run relationships for both fine wine and non-fine wine, with the aim to highlight price dynamics and co-movements between series, and to exploit potential diversification benefits. Data are from Liv-Ex 100 Fine Wine for fine w... View more