On Return and Volatility Timing Abilities in Korean Equity Funds (in Korean)

Sangbae Kim () and Taehun Jung ()
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Sangbae Kim: Kyungpook National University
Taehun Jung: Kyungpook National University

Economic Analysis (Quarterly), 2010, vol. 16, issue 2, 87-116

Abstract: The purpose of this study is to examine return timing and volatility timing abilities in Korean equity funds using daily fund returns. The sample period ranges from January 1, 2001 to December 30, 2008. In this study, we use the funds including live and defunct funds, which exist more than 1-year period and more than 2-year period during sample period. To determine if timing ability is skill or luck, we utilize the cross-sectional luck distribution, which is derived from the non-parametric bootstrap. From our results, it is found that only few Korean equity funds show return and volatility timing abilities from the traditional regression approach. However, based on the cross-sectional luck distributions, it is found that return timing and volatility timing abilities in Korean equity funds are merely from 'luck' rather than 'skill', implying that the Korean stock market is close to the efficiency market. This result is also confirmed by the conditional model, proposed by Ferson and Schadt(1996).

Keywords: Korean equity fund; Return timing; Volatility timing; Bootstrap; Cross-sectional luck distribution (search for similar items in EconPapers)
JEL-codes: G12 G23 (search for similar items in EconPapers)
Date: 2010
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