Market timing: recent development and a new test

DOI10.1016/J.ECONLET.2011.01.006MaRDI QIDQ547079zbMATH OpenOpenAlexFDO

Authors Cheng Chou, Chia-Shang James Chu

Publication date 30 June 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.01.006

zbMATH Keywords

discrete autoregressionevent forecastmarket timing test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Testing independence of two autocorrelated binary time series
• Pitfalls in market timing test
• A generalization of the non-parametric Henriksson-Merton test of market timing
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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• scientific article; zbMATH DE number 3583162 (Why is no real title available?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Pitfalls in market timing test
• Some Aspects of the Time-Correlation Problem in Regard to Tests of Significance
• Testing dependence among serially correlated multicategory variables
• Testing independence of two autocorrelated binary time series

Cited in

(3)

• Pitfalls in market timing test
• Nonparametric tests for market timing ability using daily mutual fund returns
• A generalization of the non-parametric Henriksson-Merton test of market timing

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