Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/21:00561398

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA20-17295S" target="_blank" >GA20-17295S: Kryptoaktiva: Cenotvorba, provázanost, těžba a jejich interakce</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of International Financial Markets, Institutions and Money

ISSN

1042-4431

e-ISSN

—

Svazek periodika

71

Číslo periodika v rámci svazku

March

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

15

Strana od-do

1-15

Kód UT WoS článku

000632284700007

EID výsledku v databázi Scopus

2-s2.0-85101143043