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.

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ERIM Article Series (EAS)
Finance Research Letters
Erasmus Research Institute of Management

Marquering, W., & Verbeek, M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(4), 250–260. doi:10.1016/