Fine Wines and Stocks from the Perspective of UK Investors: Hedge or Safe Haven?

• Autores: Elie Bouri, David Roubaud
• Localización: Journal of Wine Economics, ISSN-e 1931-437X, Vol. 11, Nº. 2, 2016, págs. 233-248
• Idioma: inglés
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• Resumen

  • The prior literature disregards the time-varying conditional correlation and its importance for portfolio diversification when it assesses the risk-return profile of fine wine with that of stocks. To address this limitation, this paper applies a dynamic conditional correlation model and ex- amines the co-movements between fine wine and stock prices in the United Kingdom (UK). Based on monthly data from January 2001 to February 2014, we find that fine wine is a hedge against movements in UK stocks. Nevertheless, it cannot act as an effective safe haven during market turmoil. Those findings have noteworthy implications for financial advisors and port- folio managers who are interested in alternative investments.