Short-term volatility timing: a cross-country study

Marta Vidal, Javier Vidal-García (), Sabri Boubaker and Stelios Bekiros
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Marta Vidal: European University of Madrid
Javier Vidal-García: Complutense University of Madrid

Annals of Operations Research, 2024, vol. 336, issue 3, No 15, 1706 pages

Abstract: Abstract In this paper, we examine how mutual fund managers behave to fluctuations in market volatility. We use a sample of daily return from countries around the world to evaluate how manager perform to publicly available information. There is a lack of empirical studies that examine the relation between conditional market returns and conditional volatility on a global scale; we provide evidence across countries to answer this question. Our study provides new evidence about conditional mutual fund performance across countries. We find that during periods of high market volatility mutual funds reduce market exposure across all countries; this implies that systemic risk is particularly sensitive to changes in market volatility around the world.

Keywords: Mutual funds; Volatility timing; Portfolio management; Short-term performance (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Short-Term Volatility Timing: A Cross-Country Study (2022)
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DOI: 10.1007/s10479-022-04998-5

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