A Multivariate Nonparametric Test for Return and Volatility Timing
Posted: 4 Jan 2006
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, C12
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