Market timing: Recent development and a new test

Economics Letters

Volumn 111, Issue 2, 2011, Pages 105-109

  Chou, Cheng ^a   Chu, Chia Shang J ^a  

^a PEKING UNIVERSITY   (China)

Author keywords

Discrete autoregression; Event forecast; Market timing test

Indexed keywords

EID: 79951956387     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2011.01.006     Document Type: Article

References (12)

1. Andrews D. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 1991, 59:817-858.
2. Bartlett M.S. Some aspects of the time-correlation problem in regard to tests of significance. Journal of the Royal Statistical Society 1935, 98:536-543.
3. Breen W., Glosten L.R., Jagannathan R. Economic significance of predictable variations in stock index returns. The Journal of Finance 1989, 44:1177-1189.
4. Chou C., Chu C. Testing independence of two autocorrelated binary time series. Statistics and Probability Letters 2010, 80:69-75.
5. Chu C., Lu L., Shi Z. Pitfalls in market timing test. Economics Letters 2009, 103:123-126.
6. Cumby M.E., Modest D.M. Testing for market timing ability: a framework for forecast evaluation. Journal of Finance Economics 1987, 19:169-189.
7. Granger C.W.J., Newbold P. Forecasting Economic Time Series 1986, Academic Press. 2nd ed.
8. Henriksson R.D., Merton R.C. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. The Journal of Business 1981, 54:513-533.
9. Jacobs P.A., Lewis P.A.W. Discrete time series generated by mixtures. I: Correlational and runs properties. Journal of the Royal Statistical Society Series B 1978, 40:94-105.
10. Jiang W. A nonparametric test of market timing. Journal of Empirical Finance 2003, 10:399-425.
11. Marquering W., Verbeek M. A multivariate nonparametric test for return and volatility timing. Finance Research Letters 2004, 1:250-260.
12. Pesaran M.H., Timmermann A.G. Testing dependence among serially correlated multi-category variables. Journal of the American Statistical Association 2009, 485:325-337.