This piece of research uses GSADF to determine asset pricing bubbles within the art market. The data has come from the statistical indexes of the global art market, the great masters’ art market, the modern art market and the nineteenth century art market. Data from the first quarter of 1998 to the second quarter of 2016 was used. 74 items of data were used to undergo the GSADF asset pricing bubble test. Results of the GSADF tests on the four different art markets showed that only the modern art market had statistically significant asset pricing bubbles. By analyzing the graphs of the results of the GSADF tests, it was discovered that there were statistically significant asset pricing bubbles in the modern art market from the second quarter of 2003 to the fourth quarter of 2008, as well as from the first quarter of 2015 to the second quarter of 2016. Although there were some time periods within the three other art markets where the GDSAF statistical value exceeded 95% of the critical value, there wasn’t a statistically significant test value which exceeded 1. Therefore, there were no statistically significant asset pricing bubbles in these cases. Thus, this research validates that asset pricing bubbles exist within the art market, just as it does in other economic markets. Moreover, there exists the possibility of multiple asset pricing bubbles, which furthermore recur in the cycle of history. However, asset pricing bubbles do not exist in all art markets, and have occurred easily within the modern art market in recent times.
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