This study is to investigate the relationship between Liv-ex Fine Wine index and several well-known indices including Dow Jones Luxury Index, Dow Jones Industrial Average, Financial Times Stock Exchange 100 Index, Shanghai Stock Exchange 50 Index, Brent crude price, London Fix price, and Thomson Reuters/ Core Commodity CRB Index. We then derive the following findings as shown below. First, we reveal that either Dow Jones Luxury Index or Dow Jones Industrial Average would Granger-cause Liv-ex Fine Wine index, implying that Liv-ex Fine Wine index would be affected by these stock indices. Second, we show that the volatilities of most of stock indices and commodity indices would affect the volatilities of Liv-ex Fine Wine index, which indicates the volatilities of Liv-ex Fine Wine index would be affected by these well-known indices as well.
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