Volatility timing in ETFs : evidence from Hong Kong market

Abstract

This paper tests the significance of volatility timing skills in Hong Kong ETFs market. The historical data on thirty-nine ETFs are collected through 2000 to 2012. To study the existence of volatility timing in different periods, this paper separates the dataset into two parts by the year of 2010. The results show that only two funds confirm the existence volatility timing, although one of the coefficient is small. Other funds even keep expanding their market exposure when market volatility increases. In both time periods (before and after 2010), volatility timing does not significantly exist in majority of the funds.