Persistence in the Passion Investment Market
CESifo, Munich, 2022
CESifo Working Paper No. 9586
![](https://cesifo.org/DocImg/cesifo1_wp9586.jpg?c=1689236932)
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.
Monetary Policy and International Finance
Empirical and Theoretical Methods