This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stock market indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investments in the wine sector play a role in determining financial risk and return to investors who include it in their portfolio. Whilst in most of the literature analyses the return of investments of fine wine, this paper places the focus to “normal” (i.e. non‐fine) wine, using data from the Mediobanca database covering companies in the wine industry listed on regulated stock market in France, US, Australia, Chile and China . The dataset cover the time period going from January 1, 2001, to the end of February 2009. The estimates of the TVECM lead to the following results: i) in more mature markets, like France and the US, the presence of a threshold in the relationship between wine index and composite index permit informed investors to make gainful investments; ii) in less mature markets, like Chile and China, there is evidence suggest that wine is not used as a financial parachute.