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Short-Term Volatility Timing: A Cross-Country Study

Author

Listed:
  • M. Vidal
  • J. Vidal-Garcia
  • S. Boubaker

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie = EM Normandie Business School)

  • S. Bekiros

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.

Suggested Citation

  • M. Vidal & J. Vidal-Garcia & S. Boubaker & S. Bekiros, 2022. "Short-Term Volatility Timing: A Cross-Country Study," Post-Print hal-04445062, HAL.
    • Handle: RePEc:hal:journl:hal-04445062
    DOI: 10.1007/s10479-022-04998-5
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    References listed on IDEAS

    as
    1. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
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    Cited by:

    1. Alsubaiei, Bader Jawid & Calice, Giovanni & Vivian, Andrew, 2024. "How does oil market volatility impact mutual fund performance?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1601-1621.

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    More about this item

    Keywords

    Mutual funds; Portfolio management; Short-term performance; Volatility timing;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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