dc.contributor.author |
Antonakakis, Nikolaos
|
|
dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2019-10-25T13:38:58Z |
|
dc.date.available |
2019-10-25T13:38:58Z |
|
dc.date.issued |
2018-09 |
|
dc.description.abstract |
Unlike the extant literature on safe-havens, where one aims to relate the movements in an asset
considered with extreme episodes in equity markets, we test this property for fine wine, by relating
it to global uncertainty. Using a nonparametric k-th order causality-in-quantiles test, we show that,
while uncertainty does affect returns and/or variance of the alternative wine indices considered,
this effect is restricted to only certain parts of the conditional distribution. In particular, wine seems
to be unaffected by global uncertainty, and hence, acts as a safe-haven at extreme ends of the
market, i.e., during bear or bullish times; but not during normal times (around the median of the
conditional distribution of returns and/or volatility). |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
am2019 |
en_ZA |
dc.description.uri |
http://journal.asia.edu.tw/ADS |
en_ZA |
dc.identifier.citation |
Antonakakis, N., Balcilar, M., Bouri, E. et al. 2018, 'Is wine a safe-haven? Evidence from a nonparametric causality-in-quantiles test', Advances in Decision Sciences, vol. 22, 22nd anniversary special issue, pp. 1-19. |
en_ZA |
dc.identifier.issn |
2090-3359 (print) |
|
dc.identifier.issn |
2090-3367 (online) |
|
dc.identifier.uri |
http://hdl.handle.net/2263/72021 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Asia University, Taiwan |
en_ZA |
dc.rights |
Advances in Decision Sciences is a peer-reviewed, Open Access journal. |
en_ZA |
dc.subject |
Wine returns and volatility |
en_ZA |
dc.subject |
Global uncertainty |
en_ZA |
dc.subject |
Safe-haven |
en_ZA |
dc.subject |
Nonparametric quantile causality |
en_ZA |
dc.title |
Is wine a safe-haven? Evidence from a nonparametric causality-in-quantiles test |
en_ZA |
dc.type |
Article |
en_ZA |