A Multivariate Nonparametric Test for Return and Volatility Timing
Erasmus University Rotterdam (EUR) - Department of Financial Management
Erasmus University - Rotterdam School of Management; Erasmus Research Institute of Management (ERIM); Netspar
Finance Research Letters, Vol. 1, pp. 250-260, December 2004
This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of alternative market timing components.
Keywords: market timing, predictability of stock returns and volatility, nonparametric test
JEL Classification: G14, C12Accepted Paper Series
Date posted: January 4, 2006
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