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<p>This study investigates the presence, timing, and economic significance of speculative bubbles in the rare whisky market from 2012 to 2025, employing the Generalized Supremum Augmented Dickey–Fuller (GSADF) test. Analysis of auction-based indices from RareWhisky101 reveals multiple episodes of explosive price behavior across nearly all whisky categories, including distillery-specific, collector, and market-performance segments. The results demonstrate the existence of both short-lived and persistent bubbles, which frequently coincide with periods of heightened investor attention, notable auctions, and structural shifts in market liquidity. These findings highlight the dual function of rare whisky as a collectible good and a speculative asset. Beyond documenting bubble dynamics, the study assesses their implications for market participants, emphasizing the need for informed decision-making amid scarcity, heterogeneous liquidity, and substantial transaction costs.</p>

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Forecasting bubbles in the rare whiskies market from the Generalized Supremum ADF test

  • 期刊论文

  • 发表日期：

    2026年6月29日

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  • Eric Le Fur

摘要

This study investigates the presence, timing, and economic significance of speculative bubbles in the rare whisky market from 2012 to 2025, employing the Generalized Supremum Augmented Dickey–Fuller (GSADF) test. Analysis of auction-based indices from RareWhisky101 reveals multiple episodes of explosive price behavior across nearly all whisky categories, including distillery-specific, collector, and market-performance segments. The results demonstrate the existence of both short-lived and persistent bubbles, which frequently coincide with periods of heightened investor attention, notable auctions, and structural shifts in market liquidity. These findings highlight the dual function of rare whisky as a collectible good and a speculative asset. Beyond documenting bubble dynamics, the study assesses their implications for market participants, emphasizing the need for informed decision-making amid scarcity, heterogeneous liquidity, and substantial transaction costs.