Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis
Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian collectors. This market can thus be viewed as almost exclusively local, and it is therefore not clear that there should be any linkage between price movements for Canadian art and those for the mainstream international market in old master, impressionist, and modern art. This paper investigates the presence and nature of such time series dependence econometrically, both in terms of long term trends as reflected in the co-integrating relationship between Canadian and the international market, and in terms of short-run co-movements as represented in correlations. The possibility that the local market "follows"" the international one is also considered through an analysis of Granger-Causality. For Canadian art prices we use a new hedonic index that has been computed using an updated version of the data set of Hodgson and Vorkink (2004), while for the international prices, we use an index provided by Mei and Moses."
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