Analysing art as a safe-haven asset in times of crisis
使用TVP-VAR方法研究艺术投资在金融危机期间的避险属性，发现艺术指数与标普500短期近零相关、长期正相关，但与黄金始终低相关，为组合分散提供独特机会。
This study investigates the hedging and safe-haven properties of art investments relative to traditional financial assets, employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) approach across major art market sub-indices during several periods of financial crises, including the collapse of the dot-com bubble, the Global Financial Crisis, and the COVID-19 pandemic. Art indices are found to exhibit near-zero correlation with the S&P 500 in the short term, suggesting substantial hedging benefits without evidence of safe-haven characteristics. Over medium to long-term horizons, this same correlation becomes significantly positive, presenting evidence of diminishing hedging benefits with the exception of the painting and sculpture sub-indices, which maintain strong hedging utility. Interestingly, art indices and gold show a near-zero relationship across all examined time and frequency domains, pointing to the existence of unique diversification opportunities. These results highlight the role of art as an alternative investment, offering insights into its potential for enhancing portfolio diversification strategies during episodes of financial crises. • We examines art’s hedging potential during crises using TVP-VAR and wavelet analyses • Results indicate that art indices provide significant diversification benefits • Paintings and sculptures are strongest diversifiers over longer periods • Art shows minimal correlation with gold, providing unique diversification • Contemporary art is highly sensitive to market conditions, 19th-century art more stable