Investment Behavior And Bubbles Analysis Of The Chinsese Paintings Market

With the development of art market and the push of external environment,paintings have become an important part of art as well as reliable means of investment.Different from traditional financial assets or real estate investment,artworks not only provide financial and consumer services,but also carry the aesthetic value along with promoting the development of the art market.With the auction prices in the Chinese painting market continuing to hit new highs in recent years,the research enthusiasm of academics and investors has gradually warmed up.However,in such complicated Chinese painting market,how to correctly select the appropriate price construction model to effectively predict the rate of return and risk? What are the difference between the Chinese paintings market and other domestic financial assets? Whether it performs the same as foreign paintings markets,which not only provides a high rate of return,but also plays the role of risk diversification? Furthermore,considering the possibility of market segments,different price ranges imply what different characteristics? To investors and speculators,what price range of art investment brings the highest return? Finally,after more than 20 years of continuous development,is there a bubble phenomenon in the Chinese painting market? If these problems can be explained or solved reasonably,it will be of great practical significance to analyze the Chinese painting market in depth.The third chapter compares and analyzes the performance of the most commonly used price index models in the paintings market.We illustrate the theoretical basis and assumptions of the hedonic model,the repeated sales model and the hybrid model,and explain their construction methods and estimations respectively.By testing the null hypothesis of the repeated sales model,we get the conclusion that the repeated sales model is affected by sample selection bias.In the comparison of model accuracy,the hybrid model provides the highest mean squared error(MSE).In contrast,the hedonic model provides a more accurate price index estimation.Therefore,we choose the hedonic model to construct the Chinese paintings market price index,which lays a theoretical foundation for further research.The fourth chapter mainly studies the return performance of the oil painting market and the diversification of investment portfolios.We examine the following aspects: firstly,we use the hedonic model to construct the Chinese oil paintings price index based on the data of 12,701 auction records from the period of 2000 to 2014.Second,we investigate the risk and return characteristics of Chinese oil paintings overall market as well as different price distribution ranges.In terms of the overall market,compared with other financial assets in the same period,the 7.89% semi-annual return shows that Chinese oil paintings are an attractive asset.For various price distribution ranges,the empirical evidence suggests that significant differences exist both in the way that price responds to characteristics and in the rate of return across different price ranges.Especially,the high-level Chinese oil paintings have both higher returns and less risk than those of low-level markets,which seem to be superior investment objects.Finally,we eximane the performance of oil paintings as investment vehicle for portfolio diversification.Empirical results of CAPM model as well as the downside beta show low correlations between paintings and other traditional financial assets,implying that paintings might be a favorable asset for hedge purposes.Meanwhile,the utility maximization portfolio based on different risk aversion levels shows that under the condition of certain weight restrictions,investing in Chinese oil painting works will bring higher utility,thus achieving the purpose of diversifying the portfolio.The fifth chapter analyze the possibility of speculative bubble in Chinese traditional paintings market.Specifically,we apply Markov-switching ADF(MSADF)and the right tail unit root test to detect the bubble phenomenon of the overall market as well as different paintings categories based on the data of 164,131 paintings from 2000 to 2016.In addition,given the impact of possible non-stationary fluctuations and small sample sizes,we further verify our results by using bootstrapping methods to ensure the accuracy and robustness of our tests.Empirical evidence shows that under the test of a series of models,“Beijing and Tianjin”,“Changan”,“Lingnan”,“Shanghai” and “the overall market” have significant explosive evidences during two periods of 2005-2006 and 2010-2011,while “New Jinling” has no powerful proofs of the possibility of bubbles in the sample period.Linking to the fast-growing economic background of these two periods,we conclude that the rise in the price of paintings can be explained by the wealth effect.