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.

market timing, nonparametric, predictability of stock returns and volatility, realized volatility
Semiparametric and Nonparametric Methods (jel C14), Time-Series Models; Dynamic Quantile Regressions (jel C22), Model Evaluation and Testing (jel C52), Forecasting and Other Model Applications (jel C53), Asset Pricing (jel G12), Information and Market Efficiency; Event Studies (jel G14)
hdl.handle.net/1765/12675
Rotterdam School of Management (RSM), Erasmus University

Marquering, W.A, & Verbeek, M.J.C.M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Retrieved from http://hdl.handle.net/1765/12675