Price Bubbles and Their Persistence in the Art Market: Evidence from China

Li Wu; Yang Yi

doi:10.6981/FEM.202411_5(11).0004

Authors

Li Wu
Yang Yi

DOI:

https://doi.org/10.6981/FEM.202411_5(11).0004

Keywords:

Chinese Art Market; Price Bubbles; Right-tailed Tests; Quantile Nonlinear Unit Root Test.

Abstract

This study investigates price bubbles in the Chinese art market and their persistence from 2000 to spring 2022. We first use the hedonic pricing model to construct price indices and then apply sup ADF (SADF) and generalized sup ADF (GSADF) tests to examine bubbles during the study period. Furthermore, we use the quantile nonlinear unit root test (QKSS test) to identify mean-reverting behavior. The results indicate the presence of price bubbles in the Chinese art market. In terms of persistence, the Chinese art market is in general persistent in most quantiles, while contemporary artworks show evidence of mean-reverting behavior in lower quantiles, implying the existence of market inefficiency.

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