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http://bura.brunel.ac.uk/handle/2438/25814
Title: | Persistence in the passion investment market |
Authors: | Caporale, GM Gil-Alana, LA Alex, P |
Keywords: | passion investment;persistence;long memory;R/S analysis;fractional integration |
Issue Date: | 26-Dec-2022 |
Publisher: | Elsevier |
Citation: | Caporale, G.M., Gil-Alana, L.A. and Alex, P. (2022) ‘Persistence in the passion investment market’ in Heliyon. Vol 8 (12), e12555, pp.1 - 11. doi: 10.1016/j.heliyon.2022.e12555. |
Abstract: | Copyright © 2022 The Author(s). Research on the passion investment market is still limited, especially on the issue of persistence. This paper is the first to investigate it using both R/S analysis and fractional integration in the case of 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly frequency. The results can be summarised as follows: wine prices are found to be highly persistent, whilst stamp prices appear to be only weakly persistent, though they can still be characterised as a long-memory process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds Carat indices) or even random (Polished Prices Diamond Index). The dynamic R/S analysis also shows that persistence is time-varying and tends to fluctuate around the average. These findings can be explained by the different degree of liquidity of the assets examined and have implications for both academics investigating market efficiency and practitioners interested in forecasting prices. |
URI: | https://bura.brunel.ac.uk/handle/2438/25814 |
DOI: | https://doi.org/10.1016/j.heliyon.2022.e12555 |
Other Identifiers: | ORCID iD: Guglielmo Caporale https://orcid.org/0000-0002-0144-4135 e12555 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2022 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 471.12 kB | Adobe PDF | View/Open |
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