Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks
This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional linear u...
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| Format: | Article |
| Language: | English |
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Firenze University Press
2017-12-01
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| Series: | Wine Economics and Policy |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2212977417300108 |
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| _version_ | 1839599759583608832 |
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| author | Elie Bouri Tsangyao Chang Rangan Gupta |
| author_facet | Elie Bouri Tsangyao Chang Rangan Gupta |
| author_sort | Elie Bouri |
| collection | DOAJ |
| description | This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional linear unit root tests, when we account for sharp shifts and smooth breaks, the unit root null for each of the wine indices has been rejected. Overall, our results suggest that the wine market is inefficient when we incorporate breaks. We provide some practical and policy implications of our findings. Keywords: Wine market, Efficiency, Sharp and smooth breaks, Unit root tests |
| format | Article |
| id | doaj-art-97733e67d30c4f85a3b15c1c3db5d45f |
| institution | Matheson Library |
| issn | 2212-9774 |
| language | English |
| publishDate | 2017-12-01 |
| publisher | Firenze University Press |
| record_format | Article |
| series | Wine Economics and Policy |
| spelling | doaj-art-97733e67d30c4f85a3b15c1c3db5d45f2025-08-02T14:31:07ZengFirenze University PressWine Economics and Policy2212-97742017-12-01628087Testing the efficiency of the wine market using unit root tests with sharp and smooth breaksElie Bouri0Tsangyao Chang1Rangan Gupta2USEK Business School, Holy Spirit University of Kaslik, PO BOX 446, Jounieh, Lebanon; Corresponding author.School of Finance, Hubei University of Economics, Hubei, ChinaDepartment of Economics, University of Pretoria, Pretoria 0002, South AfricaThis paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional linear unit root tests, when we account for sharp shifts and smooth breaks, the unit root null for each of the wine indices has been rejected. Overall, our results suggest that the wine market is inefficient when we incorporate breaks. We provide some practical and policy implications of our findings. Keywords: Wine market, Efficiency, Sharp and smooth breaks, Unit root testshttp://www.sciencedirect.com/science/article/pii/S2212977417300108 |
| spellingShingle | Elie Bouri Tsangyao Chang Rangan Gupta Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks Wine Economics and Policy |
| title | Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks |
| title_full | Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks |
| title_fullStr | Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks |
| title_full_unstemmed | Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks |
| title_short | Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks |
| title_sort | testing the efficiency of the wine market using unit root tests with sharp and smooth breaks |
| url | http://www.sciencedirect.com/science/article/pii/S2212977417300108 |
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