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A multivariate nonparametric test for return and volatility timing |
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| Authors: | Wessel Marquering Marno Verbeek |
| Affiliation: | aDepartment of Financial Management, Erasmus University Rotterdam, F4-26, PO Box 1738, 3000 DR Rotterdam, The Netherlands bDepartment of Financial Management and Econometric Institute, Erasmus University Rotterdam, F4-36, PO Box 1738, 3000 DR Rotterdam, The Netherlands |
| 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 |
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