アート資産の分散投資効果の実証分析

抄録

This study examines the diversification effects of incorporating an "art" asset class into investment portfolios. While numerous studies have examined the inclusion of art assets in portfolios, few have addressed the unique characteristics of these assets, such as their asymmetry, long-term dependencies, and dynamic correlations with other asset classes.Therefore, in this study, we employ a multivariate GARCH model to dynamically capture the correlations between art assets and traditional financial assets, focusing on conditional cross-effects and the volatility spillovers. We also evaluate the extent to which art assets contribute to portfolio diversification, taking into account their liquidity. Furthermore, we calculate the hedge ratios and optimal weights for art assets, offering insights into their strategic significance in investment portfolios.