LONG-TERM COMOVEMENTS IN INTERNATIONAL MARKETS FOR PAINTINGS

We study steady-state relationships between prices for paintings obtai ned by three groups of painters (Impressionist, Modern and Contemporar y European Masters, Other minor European painters, Contemporary US pai nters) at public auctions in New York, London and Paris between 1962 a nd 1991. The analysis is carried out by estimating Vector autoregressi ve models, using the recent techniques developed by Johansen. The resu lts show that the various markets move closely together, and are, even in New York, led by what happens to the group of European Great Maste rs, whose prices are not influenced by other prices. We also examine t he relation between art and stock markets; we find that there is no lo ng-run relation between these two assets, though in the short-run, fin ancial markets do influence art markets.