Market timing: Recent development and a new test

Cheng Chou and Chia-Shang J. Chu

Economics Letters, 2011, vol. 111, issue 2, 105-109

Abstract: Henriksson-Merton's market timing test suffers nontrivial size distortion when the event forecast is autocorrelated. A new test is suggested to detect the dependence of two autocorrelated binary time series. It complements the existing tests due to better test power.

Keywords: Event; forecast; Market; timing; test; Discrete; autoregression (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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