Random walk theory and the weak-form efficiency of the US art auction prices
Journal
Journal of Banking and Finance
ISSN
0378-4266
Type
journal article
Date Issued
2010-05-01
Author(s)
Erdös, Péter
;
Ormos, Mihaly
Abstract
We perform variance ratio tests based on non-parametric methods to detect the size of the randomwalk component of the USartauctionprices. The past 134 years of the USartprices exhibit large transitory component (72%) and based on this, the randomwalk hypothesis does not hold. However, possibly due to sparse data before 1935 or due to institutional changes of the art market after World War II, we detect structural breakpoints and find that the randomwalk hypothesis and the weak-formefficiency of the USart market cannot be rejected at least for the past 64 years.
Language
English
Keywords
Artprices
Randomwalk
Asset pricing
Spectral density
Variance ratio
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Elsevier
Publisher place
Amsterdam
Volume
34
Number
5
Start page
1062
End page
1076
Pages
15
Subject(s)
Division(s)
Eprints ID
216199