THE EFFECT OF AN ELECTRONIC EXCHANGE ON PRICES AND RETURN VOLATILITY IN THE FINE WINE MARKET
Journal Title: e-Finanse - Year 2018, Vol 14, Issue 4
Abstract
Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility of fine wines traded on three different trading systems: automated electronic exchange, auctions and over-the-counter agreements (the OTC market). Our findings confirm an important role of a fully automated, cost-effective wine exchange in improving pricing efficiency and reducing market risk. This may constitute useful information for professional wine traders and institutional investors, who might consider shifting from less transparent trading systems into an automated on-book venue. This may also be a valuable indication for the future development of trading infrastructure in wine and other agricultural commodity market.
Authors and Affiliations
Marcin Czupryna, Paweł Oleksy
Keywords
Related Articles
- EP ID EP493871
- DOI 10.2478/fiqf-2018-0025
- Views 112
- Downloads 0
ANALYSIS AND PROFITABILITY ASSESSMENT OF POLISH CONSTRUCTION COMPANIES THREATENED WITH BANKRUPTCY
This paper presents analysis of profitability indicators of Polish construction companies threatened with bankruptcy compared to analogous indicators obtained by Polish construction entities as a whole. The analysis conc...
Financialization and income inequality selected European countries 2004-2013
The article examines the impact of financialization on income inequality between 2004 and 2013, through a panel analysis of seven European countries. Moreover, it attempts to examine differences in the perception of the...
ANALYSIS OF THE ATTRACTIVENESS OF THE POLISH MARKET FOR VENTURE CAPITAL FUNDS
The purpose of this article is to present the factors and phenomena resulting from the interaction of economic entities (entrepreneurs and consumers), which determine the level of investment attractiveness for venture ca...
TRADE CREDIT: A BENEFIT TO GET, A “MUST” TO GIVE? MOTIVES BEHIND TRADE CREDIT USE IN POLAND
The paper analyses the motives behind trade use credit in the Polish enterprise sector, based on the results of the 2016 NBP Annual Survey. It verifies the conclusions stemming from trade credit theories regarding both t...
Selection and assortment of the variables describing the relationship between the economy and the general government sector size by application of the LEM2 algorithm
This paper reverses the relatively frequent examined interrelation that links an impact of the public sector (and within it the general government sector) on the economy of the analyzed countries. The article analyses wh...