The financialization of the bulk wine market: towards the launch of a futures market?

Can bulk wine be treated as a commodity and support an organized futures contract? Using weekly prices (2000–2020) for bulk red and rosé wines without geographical indication in France, Italy and Spain, we test two prerequisites for a viable regional contract: persistent spot-price volatility and sufficient market integration across origins. Volatility is modelled with country-specific ARMA – GARCH specifications, while integration is assessed with Johansen tests, VECM dynamics and Dynamic OLS. Conditional heteroskedasticity is pronounced in all three markets, with near-unit volatility persistence in Spain. The trivariate system is not cointegrated; the Italy – Spain pair provides marginal evidence of one cointegrating vector at the 5% level. The estimated long-run elasticity from Italy to Spain is above unity (1.162), rather than one-to-one. These results support the economic plausibility of an Italy – Spain contract but do not by themselves establish market feasibility.