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.

Additional Metadata
Keywords marketing timing, nonparametric, predictability of stock returns and volatility, realized volatility
Persistent URL dx.doi.org/10.1016/j.frl.2004.07.002, hdl.handle.net/1765/12628
Series ERIM Article Series (EAS)
Journal Finance Research Letters
Citation
Marquering, W.A, & Verbeek, M.J.C.M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(4), 250–260. doi:10.1016/j.frl.2004.07.002