This thesis focuses on the blooming market of Chinese 20th Century Art. The study object is one category of Christie’s Auction house, Chinese 20th Century Art, before 2009. Eight artists’ auction results are selected to the dataset for the research. We find that the previous researches based on the collection of Western arts cannot explain the whole situation of Chinese 20th Century Art. It has speculative character as an invest option in global art market. And some factors would affect the price changing in the auction activities. The Capital Asset Pricing Model is applied to study the investment condition of Chinese 20th Century Art as a capital asset. The result we get from our dataset presents that Chinese 20th Century Art is with high risks and high returns, which is quite different from the previous studies based on Western Artworks. Regression analysis reveals that some factors do affect the rate of price changes. We find that young Chinese artists who born after 1950 achieve better sale results than older ones. Their artworks are always sold on high realized prices. In addition, the high price sale more often happened in the auction house of Hong Kong and the market of Chinese 20th Century Art is enlarging these years. The rate of price change is increasing by the sale year growing. The prices of the artworks are growing higher and higher recently. However, the findings above just explain parts of the price increasing. All the reasons for the price increasing are not clear in this thesis.

隨著金融市場自由化、國際化腳步的加快，新金融商品不斷推陳出新。然而，屬於非傳統性資產的「藝術投資」卻往往被人們所忽略。2006年，以目前世界最高價格成交的藝術品—美國抽象表現主義大師波洛克(Jackson Pollock)的作品《No.5, 1948》，以大約新台幣46億元成交。一幅畫比一棟世界最頂級的豪宅還昂貴，令人側目。據統計，全世界約有5兆美元投入藝術市場，每年成交量220億美元。但在台灣，這樣龐大的產業卻不像金融市場，至今猶未能發展出完整的理論架構。無論何種投資，成功投資的關鍵必須掌握四大金律：一是懂理論，二是懂歷史，三是懂心理，四是懂交易。本研究亦希望涵蓋藝術投資的這四個面向。 藝術品評價困難：不似一般商品，藝術品的價格並無所謂公定價，也不似股票淨值或共同基金有淨資產價值(NAV)可以計算。究詰其故，至少有下列九個原因：1、傳統評價模型難以直接應用2、藝術品與private equity皆有兩個特色：有liquidity risk、無市價，評價上較為困難3、流動性差4、透明度低5、炒作6、非理性驅動力7、專家偏誤8、市場風險9、其它變數。