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

Published online by Cambridge University Press:  03 May 2016

Elie I. Bouri  and
David Roubaud
Elie I. Bouri
Affiliation:
USEK School of Business, Holy Spirit University of Kaslik, Lebanon, P.O. Box 446, Jounieh, Lebanon; e-mail: [email protected].
David Roubaud
Affiliation:
Montpellier Business School, 2300 Avenue des Moulins, 34080 Montpellier, France; e-mail: [email protected].
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Abstract

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 examines 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 portfolio managers who are interested in alternative investments. (JEL Classifications: G1, G11, Q1, Q14)

Keywords

Dynamic conditional correlationfine wineshedgesafe havenUK stocks
Type
Articles
Information
Journal of Wine Economics , Volume 11 , Issue 2 , August 2016 , pp. 233 - 248
Copyright
Copyright © American Association of Wine Economists 2016 

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Footnotes

*

I acknowledge and thank the editor, Karl Storchmann, and an anonymous referee for their constructive comments. Without their valuable suggestions and time, this paper would not have been possible.

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