以GSADF檢定資產價格泡沫存在藝術市場狀況之探析

Using the GSADF Test to Explore the Existence of Asset Pricing Bubbles in the Art Market

本研究應用GSADF來檢定藝術市場中的資產價格泡沫，資料為全球藝術市場、大師藝術市場、現代藝術市場和十九世紀藝術市場指數，使用的資料數據從1998年第一季到2016年第二季，共74筆的資料進行GSADF資產價格泡沫檢定。從GSADF檢定的結果發現，只有現代藝術市場具有顯著的資產價格泡沫，再從GSADF檢定圖形發現在現代藝術市場的2003年第二季到2008年第四季和2015年第一季到2016年第二季存在顯著性的資產價格泡沫，而另外三個藝術市場雖然在某些時段的GSADF統計值有超過95%臨界值，但沒有超過1的顯著檢定值，所以不具有顯著性資產價格泡沫。因此本研究驗證了藝術市場如同其他經濟市場一樣是存在著資產價格泡沫，且具有多重資產價格泡沫的可能性，並在歷史循環中重演，但並非所有的藝術市場都存在資產價格泡沫，而距2016年較近的現代藝術市場容易發生資產價格泡沫。

 

This piece of research uses GSADF to determine asset pricing bubbles within the art market. The data has come from the statistical indexes of the global art market, the great masters’ art market, the modern art market and the nineteenth century art market. Data from the first quarter of 1998 to the second quarter of 2016 was used. 74 items of data were used to undergo the GSADF asset pricing bubble test. Results of the GSADF tests on the four different art markets showed that only the modern art market had statistically significant asset pricing bubbles. By analyzing the graphs of the results of the GSADF tests, it was discovered that there were statistically significant asset pricing bubbles in the modern art market from the second quarter of 2003 to the fourth quarter of 2008, as well as from the first quarter of 2015 to the second quarter of 2016. Although there were some time periods within the three other art markets where the GDSAF statistical value exceeded 95% of the critical value, there wasn’t a statistically significant test value which exceeded 1. Therefore, there were no statistically significant asset pricing bubbles in these cases. Thus, this research validates that asset pricing bubbles exist within the art market, just as it does in other economic markets. Moreover, there exists the possibility of multiple asset pricing bubbles, which furthermore recur in the cycle of history. However, asset pricing bubbles do not exist in all art markets, and have occurred easily within the modern art market in recent times.