IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST
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).
Wine Returns and Volatility, Global Uncertainty, Safe-Haven, Nonparametric, Quantile Causality
C22, G11, Q02