Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test

Title

IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST

Authors

Nikolaos Antonakakis (Department of Business and Management, Webster Vienna Private University, Vienna, Austria)
Mehmet Balcilar (Department of Economics, Eastern Mediterranean University, Famagusta, via Mersin 10, Northern Cyprus, Turkey)
Elie Bouri (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon)
Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

Unlike the extant literature on safe-havens, where one aims to relate the movements in an assetconsidered with extreme episodes in equity markets, we test this property for fine wine, by relatingit to global uncertainty. Using a nonparametric k-th order causality-in-quantiles test, we show that,while uncertainty does affect returns and/or variance of the alternative wine indices considered,this effect is restricted to only certain parts of the conditional distribution. In particular, wine seemsto be unaffected by global uncertainty, and hence, acts as a safe-haven at extreme ends of themarket, i.e., during bear or bullish times; but not during normal times (around the median of theconditional distribution of returns and/or volatility).

Keywords

Wine Returns and Volatility, Global Uncertainty, Safe-Haven, Nonparametric, Quantile Causality

Classification-JEL

C22, G11, Q02

Pages

95-114

https://doi.org/10.47654/v22y2018i1p95-114