Short-Term Volatility Timing: A Cross-Country Study

M. Vidal, J. Vidal-Garcia, Sabri Boubaker and Stelios Bekiros

Post-Print from HAL

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. \textcopyright 2022, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.

Keywords: Mutual funds; Portfolio management; Short-term performance; Volatility timing (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Annals of Operations Research, 2022, ⟨10.1007/s10479-022-04998-5⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Short-term volatility timing: a cross-country study (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04445062

DOI: 10.1007/s10479-022-04998-5

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().