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Short-term volatility timing: a cross-country study

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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.

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Notes

  1. The U.S. factors are drawn from French’s website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/.

  2. IVolatility.com's database represents the most complete and accurate source of historical implied volatility and correlation data ever developed.

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Author information

Authors and Affiliations

  1. European University of Madrid, Madrid, Spain

    Marta Vidal

  2. Complutense University of Madrid, Madrid, Spain

    Javier Vidal-García

  3. EM Normandie Business School, Métis Lab, France

    Sabri Boubaker

  4. International School, Vietnam National University, Hanoi, France

    Sabri Boubaker

  5. Swansea University, Swansea, UK

    Sabri Boubaker

  6. IPAG Business School, Paris, France

    Stelios Bekiros

  7. University of Malta, Msida, Malta

    Stelios Bekiros

Authors
  1. Marta Vidal
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  2. Javier Vidal-García
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  3. Sabri Boubaker
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  4. Stelios Bekiros
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Corresponding author

Correspondence to Javier Vidal-García.

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Appendix

Appendix

See Tables 1, 2 , 3 , 4, 5, 6, 7, 8, 9, 10.

Table 2 Performance of mutual fund sample and random control sample
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Table 3 Results of Daily Volatility Timing
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Table 4 Results of monthly volatility timing
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Table 5 Conditional monthly volatility timing models
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Table 6 Relation between volatility timing and performance
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Table 7 Conditional alphas
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Table 8 Performance of homogenous samples and random control sample
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Table 9 Results of daily volatility timing for homogenous samples
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Table 10 Results of monthly volatility timing for homogenous samples
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Vidal, M., Vidal-García, J., Boubaker, S. et al. Short-term volatility timing: a cross-country study. Ann Oper Res 336, 1681–1706 (2024). https://doi.org/10.1007/s10479-022-04998-5

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