Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market

ABSTRACT

This study examines the nonlinear dynamics in the price series of Chinese art market segments between 2000 and 2019. We employ a hedonic price model to construct price indices of Chinese art market segments and analyze the nonlinearities and regime-switching properties of the individual segment using a series of Markov switching model specifications. We argue that occasional shocks would only temporarily alter their data-generating processes and have transitory effects. Moreover, we investigate the impact of COVID-19 on Chinese art market segments. Our findings have implications for market participants in identifying the price characteristics and dynamic behavior of art market segments.