A Multivariate Nonparametric Test for Return and Volatility Timing
14 Pages Posted: 4 Oct 2004
Date Written: July 5, 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: Nonparametric, Market Timing, Predictability of Stock Returns and Volatility, Realized Volatility
JEL Classification: C14, C22, C52, C53, G12, G14
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