Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266794 
Year of Publication: 
2018
Citation: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 14 [Issue:] 4 [Publisher:] Sciendo [Place:] Warsaw [Year:] 2018 [Pages:] 22-35
Publisher: 
Sciendo, Warsaw
Abstract: 
Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility of fine wines traded on three different trading systems: automated electronic exchange, auctions and over-the-counter agreements (the OTC market). Our findings confirm an important role of a fully automated, cost-effective wine exchange in improving pricing efficiency and reducing market risk. This may constitute useful information for professional wine traders and institutional investors, who might consider shifting from less transparent trading systems into an automated on-book venue. This may also be a valuable indication for the future development of trading infrastructure in wine and other agricultural commodity market.
Subjects: 
wine trading
wine prices
return volatility
electronic exchange
auctions
JEL: 
G12
Q14
L66
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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