Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10425265" target="_blank" >RIV/00216208:11230/21:10425265 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/21:00561398
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=M0lup6m-pv" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=M0lup6m-pv</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.intfin.2021.101312" target="_blank" >10.1016/j.intfin.2021.101312</a>
Alternative languages
Result language
angličtina
Original language name
Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures
Original language description
In this paper, we investigate the efficiency in the art markets, using a generalized spectral test (GST) in a rolling window approach to detect departure from the martingale difference hypothesis (MDH) and trace the periods of market efficiency over time. Then we complement our results using the approximate entropy, the rescaled range analysis, and fractal dimension. We combine the three measures in an Efficiency Index for each market. Applying these methods, we find that the Modern Art, Paintings, Post-war, Prints, the USA market, and the global market in Euro show the largest values for the Approximate Entropy. Using the rescaled range estimates, we find that all markets are characterized by persistent behavior and, then using the Efficiency Index, our results indicate overwhelming evidence of market inefficiency in almost all sectors. Finally, we support our findings with some explanation of the reasons behind market inefficiency, related to asymmetrical information, influential galleries power, and differentiated pieces and talents in the art markets.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA20-17295S" target="_blank" >GA20-17295S: Cryptoassets: Pricing, Interconnectedness, Mining, and their Interactions</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of International Financial Markets, Institutions and Money
ISSN
1042-4431
e-ISSN
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Volume of the periodical
71
Issue of the periodical within the volume
March
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
15
Pages from-to
1-15
UT code for WoS article
000632284700007
EID of the result in the Scopus database
2-s2.0-85101143043