A Multivariate Nonparametric Test for Return and Volatility Timing

14 Pages Posted: 4 Oct 2004

See all articles by Wessel Marquering

Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

Marno Verbeek

Erasmus University - Rotterdam School of Management; Erasmus Research Institute of Management (ERIM); Netspar

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Date Written: July 5, 2004

Abstract

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

Suggested Citation

Marquering, Wessel A. and Verbeek, Marno, A Multivariate Nonparametric Test for Return and Volatility Timing (July 5, 2004). Available at SSRN: https://ssrn.com/abstract=598862 or http://dx.doi.org/10.2139/ssrn.598862

Wessel A. Marquering (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
F4-26
Rotterdam 3000 DR
Netherlands
+31 10 408 2786 (Phone)
+31 10 408 9017 (Fax)

Marno Verbeek

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Room T09-53
3000 DR Rotterdam
Netherlands
+31 10 408 2790 (Phone)

HOME PAGE: http://www.rsm.nl/mverbeek

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Netspar

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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