The Volatility Transmission Effect Between Art Finance Market And The Stock Market

With the rapid development of China’s art market and the deepening of the integration of the art market and the financial market,the financial market of artwork has been developed rapidly.Especially with the cultural property exchange model which is the China’s unique form of art financial since 2009,and cultural property exchange experienced two rounds of investment boom by art share trading and Post card trading.And Cultural Property Exchange has become an important market for art finance.Nanjing cultural property exchange is the representative of China’s cultural property exchange and the transaction volume of Nanjing cultural property exchange have reached 783 billion yuan in 2015 which is nearly 27 times of the trading volume of traditional form art auction.The close combination of art market and financial market makes the correlation effect between the art financial market and the stock become more significant,the volatility of the stock market will have an impact on the art market.This paper reviews the study of art investment,correlation effect between the art finance market and the financial market.Combined with China’s art and the stock market situation analysis,establish the art and stock pricing model which based on the consumption-based capital asset pricing model.Finally,the empirical study on the volatility transmission effect between the Shanghai and Shenzhen stock index and the art market in China by using GARCH-BEKK and DCC-GARCH model and impulse response analysis.Based on theoretical analysis and empirical research,this paper draws the following conclusions:(1)It is proved that the art finance market is influenced by the stock market;(2)Confirmed that the returns volatility of China’s art finance market and the stock market are significantly constrained by their early fluctuations,and the effect of this fluctuation is persistent.;(3)There is a volatility spillover effect between the art finance market and the stock market,and between the market have a dynamic positive correlation.The innovation of this paper is the introduction of the price fluctuation relationship between China’s stock market and the art finance market based on the consumption-based capital asset pricing model;Use the Nanjing cultural property exchange index as a representative of the art finance market yields which can better reflects the development of art finance;The use of GARCH-BEKK and DCC-GARCH model for Volatility Spillover the effect between the two markets.The empirical analysis and policy recommendations.