A Multivariate Nonparametric Test for Return and Volatility Timing

Posted: 4 Jan 2006

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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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: market timing, predictability of stock returns and volatility, nonparametric test

JEL Classification: G14, C12

Suggested Citation

Marquering, Wessel A. and Verbeek, Marno, A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, Vol. 1, pp. 250-260, December 2004 , Available at SSRN: https://ssrn.com/abstract=873527

Wessel A. Marquering

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 (Contact Author)

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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