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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Keywords marketing timing, nonparametric, predictability of stock returns and volatility, realized volatility
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Series ERIM Article Series (EAS)
Journal Finance Research Letters
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/