Is art market efficient? Evidence from non-linear quantile unit-root tests

作者：Kim, Myeong Jun; Park, Sung Y.^*

来源：Applied Economics Letters, 2023.

DOI：10.1080/13504851.2023.2187022

• Efficient market hypothesis (EMH)
• Art market efficiency
• Non-linear quantile unit root test
• Quantile kolmogorov-Smirnov test

In this paper, we use quarterly stock price index data to test the weak form of the efficient market hypothesis for 13 art market indices. The fact that hypotheses can be efficiently tested by performing unit root tests is well known. The conventional unit root test results show that most art indices have unit roots, which means that these art markets are efficient. However, the results of the non-linear quantile unit root tests we conduct over a range of quantiles lead us to reject the null of the unit root test for several art markets. To acquire more information, we perform the test over sub-quantile intervals, finding asymmetric market efficiency between the low and high quantile intervals: we cannot reject the unit root null in upper quantile intervals for most art price indices.

• 单位
  广州大学