中国艺术品市场的“一价定律”研究——书画拍卖市场的证据

Research on the “Law of One Price” in the Chinese Art Market:Evidence from the Calligraphy and Painting Auction Market

文化的传承与积淀使得中国艺术品市场和艺术品金融化具有独特的发展历程与研究价值。本文基于2000—2017年中国书画拍卖市场的微观数据,利用重复交易法构建了多样性的价格指数,同时基于拍卖行与区位的差异检验了中国艺术品市场的一价定律问题。研究发现:(1)中国艺术品市场的年化收益高达7.96%,同时价格指数波动较大,高收益伴随着高风险;(2)中国艺术品市场并不满足一价定律,拍卖行效应与区位效应十分显著;(3)市场中的投机套利者多为短期投资者,其更注重在明清和当代、低价以及非名家作品中进行套利;(4)在危机期间市场是遵循一价定律的,艺术品的避险属性突显。本研究对于规范艺术品市场投资行为,丰富资产配置选择,提升中国文化软实力具有重要意义。

Cultural heritage and accumulation bestow China’s art market and art financialization with a unique development history and research value.Based on the micro data of China’s painting and calligraphy auction market from 2000 to 2017,this paper constructs a price index of diversity using the repeated sales method,and also tests the problem with the law of one price in China’s art market based on the differences between auction houses and districts.The study finds that:(1)The annualized return of China’s art market is as high as 7.96%while the price index is highly volatile,with high returns accompanied by high risks;(2)China’s art market does not satisfy the law of one price,and the auction house effect and location effect are significant;(3)Speculative arbitrageurs in the market are mostly short-term investors who focus more on Ming and Qing dynasties and contemporary works,low-priced works and non-masterpieces;(4)During a crisis the market follows the law of one price,and the safe-haven properties of artwork come to the fore.This study is important for regulating investment behavior in the art market,enriching asset allocation options,and enhancing China’s cultural soft power.