This study analyzes the ability of fine wine investment via investing the most well-known fine wine indexes—the Liv-ex Fine Wine Bordeaux 500 and 100 indexes—to provide portfolio diversification benefits by examining the interactions of the Liv-ex Fine Wine indexes with the stock market indexes of 21 countries over the 2001–2010 period. Cointegration analysis via the Johansen approach shows that Liv-ex Fine Wine 100 Index has no evidence of cointegration with most of the stock market indexes and indicates the Liv-ex Fine Wine 100 Index may provide a diversification benefit in an investment portfolio. For its part, the Liv-ex Fine Wine Bordeaux 500 Index may not provide diversification benefit because no evidence of cointegration is found for most stock markets. The vector autoregression (VAR) model and error correction model (ECM) are formulated to evaluate the causal relationship between each fine wine index and each stock market index. The Liv-ex Fine Wine 100 Index is found to have a uni-directional causal relationship with most of the stock market indexes; the Liv-ex Fine Wine Bordeaux 500 Index is found not only to have a causal relationship with most of the stock market indexes but is also Granger caused by most of the stock market indexes. This implies that the fine wine investors may anticipate the stock market movements and change the investment amounts in fine wine accordingly and the prices of a broader base of fine wines, which are reflected in the Liv-ex Fine Wine Bordeaux 500 Index, are more affected by the stock market climates than the prices of a narrow base of 100 vintages, the prices of which are reflected in the Liv-ex Fine Wine 100 Index.