Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/252103 
Year of Publication: 
2022
Series/Report no.: 
CESifo Working Paper No. 9586
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 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.
Subjects: 
passion investment
persistence
long memory
R/S analysis
fractional integration
JEL: 
C22
G12
Document Type: 
Working Paper
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