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

Author

Listed:
  • Sangbae Kim

    (Kyungpook National University)

  • Taehun Jung

    (Kyungpook National University)

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).

Suggested Citation

  • Sangbae Kim & Taehun Jung, 2010. "On Return and Volatility Timing Abilities in Korean Equity Funds (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 16(2), pages 87-116, June.
    • Handle: RePEc:bok:journl:v:16:y:2010:i:2:p:87-116
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    More about this item

    Keywords

    Korean equity fund; Return timing; Volatility timing; Bootstrap; Cross-sectional luck distribution;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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