New Test Statistics for Market Timing with Application to Emerging markets

Alessio Sancetta and S. E. Satchell

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: We provide a new framework for identifying timing. Our analysis focuses on the smoothed joint history of the fund with the benchmark. The approach is fully non-parametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test statistic is some rank preserving function of a second order U-process. This empirical process allows us to define a set of statistics for market timing. We state the relevant asymptotic distribution. Some of these statistics are used to study the timing component of emerging markets funds using the dataset of Hwang and Satchell (1999).

Keywords: market timing; emerging markets; U-process; Kendall’s Tau; invariance principle; strong mixing (search for similar items in EconPapers)
JEL-codes: C14 G11 (search for similar items in EconPapers)
Pages: 37
Date: 2002-09
New Economics Papers: this item is included in nep-ecm, nep-fmk and nep-rmg
Note: EM
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0222

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