1. Time-varying causality among whisky, wine, and equity markets.
- Author
-
Fromentin, Vincent, Pecchioli, Bruno, and Moroz, David
- Abstract
• We complete the literature with the first causality analysis between rare whisky market and other markets, using a recent time-varying Granger causality approach. • Rare whisky and fine wine respectively provide attractive diversification opportunities with stocks, except in hectic periods. Conversely, the combination of whisky and wine is riskier, especially in the recent period since their causal relationship becomes increasingly significant over time. • Our findings give useful insights for whisky and wine investors, and more generally for those that could benefit from the addition of a collectible asset in their portfolio. Whisky has entered the category of alternative investment assets, with particularly attractive returns on certain bottles. The literature has shown the diversification benefits of investing in collectible assets, such as fine wine, but analyses dedicated to whisky investment remain scarce. Using different causality tests – parametric, non-parametric, and time-varying – applied to whisky, wine, and the MSCI World indices, we analyze the connection/disconnection between rare whisky, fine wine, and financial markets over a 13-Year period, from January 2010 to January 2023, in weekly frequency. Our results show that whisky and wine respectively provide attractive diversification opportunities when combined with stocks, except during "hectic" periods. Conversely, the combination of whisky and wine appears to be riskier in terms of portfolio diversification, especially since the COVID-19 pandemic. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF