Analysing Price Dynamics in the Whisky Market: Insights into Price Explosivity and Co-explosivity

The dynamics of price explosivity in the whisky market are crucial for investors seeking portfolio diversification, particularly during periods of global economic instability. This article examines thirty-one whisky indices, grouped into three market groups (Market Performance Indices, Distillery Specific Indices, Collector Specific Indices) in terms of the occurrence of price explosivity periods and their co-explosivity. We use GSADF test to analyze price explosivity periods by using weekly data from December 31, 2012 to March 25, 2024. We find that the period most affected by price explosivity in the whisky market spans from 2016 and 2018. Bowmore, Springbank, Glenfarclas Family Cask, Macallan M18 and Macallan M25 show the highest level of price explosivity. We also confirm the strong co-explosivity effect among studied index groups. However, we find that whisky market does not prone to price explosivity during COVID-19 or the Russian aggression in Ukraine, unlike other markets. This stability makes the whisky market a valuable source of portfolio diversification in times of crisis.The dynamics of price explosivity in the whisky market are crucial for investors seeking portfolio diversification, particularly during periods of global economic instability. This article examines thirty-one whisky indices, grouped into three market groups (Market Performance Indices, Distillery Specific Indices, Collector Specific Indices) in terms of the occurrence of price explosivity periods and their co-explosivity. We use GSADF test to analyze price explosivity periods by using weekly data from December 31, 2012 to March 25, 2024. We find that the period most affected by price explosivity in the whisky market spans from 2016 and 2018. Bowmore, Springbank, Glenfarclas Family Cask, Macallan M18 and Macallan M25 show the highest level of price explosivity. We also confirm the strong co-explosivity effect among studied index groups. However, we find that whisky market does not prone to price explosivity during COVID-19 or the Russian aggression in Ukraine, unlike other markets. This stability makes the whisky market a valuable source of portfolio diversification in times of crisis.