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Borok mint alternatív befektetési lehetőségek
[Wines as an alternative investment]

Author

Listed:
  • Ormos, Mihály
  • Erdős, Péter
Abstract
A minőségi borokba történő befektetés mint valós befektetési alternatíva az utóbbi évtizedekben virágkorát éli, mára a borok több indexét is jegyzik a Bloomberg és más adatszolgáltatók platformjain. A Liv-ex (London International Vintners Exchange) a globális minőség borpiacot 2009-ben hárommilliárd dollárra becsülte. Írásunkban a minőségi borárakat vizsgáljuk a Liv-ex 50 és Liv-ex 500 index segítségével pénzügyi közgazdaságtani, befektetéselméleti szempontból. Méréseink alapján a borárak gyenge szintű hatékonysága elvethető, amennyiben azt az árak véletlen bolyongásával azonosítjuk. ARMA spektrálalapú varianciahányados-próbák alapján mind a tiszta véletlen bolyongás, mind pedig a tisztán stacioner árképződés elvethető. A hatékonyság sérülése arbitrázslehetőségeket rejthet magában, azonban ezt egyensúlyi árazási modellek alkalmazásával nem tudjuk alátámasztani. A "mesterborok" - a legdrágább minőségi borok - teljesítménye nem különbözik szignifikánsan a piac egészétől, azaz ez alapján a gyűjthető eszközök (collectibles) piacán megfigyelt "mesterművekre" jellemző alulárazottság elvethető. A befektetési kategóriájú boroknak kitüntetett szerepe lehet a portfóliódiverzifikációban, mivel alacsony a korrelációjuk a részvénypiaccal, és hosszú távon a két piac független egymástól. A diverzifikációs szerepet erősíti, hogy a minőségi borok még recessziós időszakban is értékállók, és menedéket jelenthetnek a volatilis részvénypiacokkal szemben. Journal of Economic Literature (JEL) kód: G12; G14.

Suggested Citation

  • Ormos, Mihály & Erdős, Péter, 2011. "Borok mint alternatív befektetési lehetőségek [Wines as an alternative investment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 158-172.
    • Handle: RePEc:ksa:szemle:1223
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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