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Title: Market efficiency in the arts markets using a combination of long memory, fractal dimension, and approximate entropy measures,
Authors: Assaf, Ata 
Kristoufek, L
Demir, E
Mitra, S.K
Affiliations: Department of Business Management and Administration 
Keywords: Art markets Efficient index
Generalized spectral measure
Hurst exponent
Approximate entropy
Issue Date: 2021
Publisher: Elsevier
Part of: Journal of International Financial Markets, Institutions & Money
Volume: 71
Start page: 101312
In this paper, we investigate the efficiency in the art markets, using a generalized spectral test (GST) in a rolling window approach to detect departure from the martingale difference hypothesis (MDH) and trace the periods of market efficiency over time. Then we complement our results using the approximate entropy, the rescaled range analysis, and fractal dimension. We combine the three measures in an Efficiency Index for each market.
Applying these methods, we find that the Modern Art, Paintings, Post-war, Prints, the
USA market, and the global market in Euro show the largest values for the Approximate
Entropy. Using the rescaled range estimates, we find that all markets are characterized
by persistent behavior and, then using the Efficiency Index, our results indicate overwhelming evidence of market inefficiency in almost all sectors. Finally, we support our findings with some explanation of the reasons behind market inefficiency, related to asymmetrical information, influential galleries power, and differentiated pieces and talents in the art markets.
DOI: 10.1016/j.intfin.2021.101312
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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