Are Port wine export markets integrated? Evidence from price transmission across countries

Abstract Given the relevance of studies on pricing in international transactions, this paper investigated the extent of market integration among the five most important Port wine export markets, as well as how price changes in one market are transmitted to others globally. This paper analyzed cointegration and price transmission among the five largest export markets for Port wine: Belgium, France, the Netherlands, the United Kingdom, and the United States, based on monthly export data from 1995 to 2017. An ARDL-ECM model is employed to examine price co-movements and market integration using 22 years of data. The results indicated that these markets are not fully integrated, but rather partially integrated. Two main groups emerge: (i) the continental European markets and (ii) the Anglo-Saxon markets. Within each group, markets are reasonably connected. Long-run price transmission is imperfect and nonlinear, while short-run effects are limited, suggesting market segmentation. The France, Netherlands – UK axis shows relatively strong spillover effects. This paper provided an initial contribution to understanding the structure and behavior of Port wine export markets in the global economy, offering insights for both trade strategy and policy formulation.