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Short-term volatility timing: a cross-country study

Author

Listed:
  • Marta Vidal

    (European University of Madrid)

  • Javier Vidal-García

    (Complutense University of Madrid)

  • Sabri Boubaker

    (EM Normandie Business School
    Vietnam National University
    Swansea University)

  • Stelios Bekiros

    (IPAG Business School
    University of Malta)

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.

Suggested Citation

  • Marta Vidal & Javier Vidal-García & Sabri Boubaker & Stelios Bekiros, 2024. "Short-term volatility timing: a cross-country study," Annals of Operations Research, Springer, vol. 336(3), pages 1681-1706, May.
    • Handle: RePEc:spr:annopr:v:336:y:2024:i:3:d:10.1007_s10479-022-04998-5
    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; Volatility timing; Portfolio management; Short-term performance;
    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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