Joint return and volatility timing in exchange traded funds : evidence from Tokyo market

Abstract

This paper tests the existence of volatility timing skills in the Tokyo ETFs market. The historical daily data on sixty-two ETFs are collected covering the period July 1st, 2003 to July 16 , 2013 from Bloomberg. Two methods are used in this paper, which are OLS- and PLS- regression methods. Regression results are then analyzed to finger out the existence of volatility timing skills of fund managers. The first regression results show that 90% funds confirm the existence of volatility timing skills in the Tokyo ETFs market. The second and third show the same results as the first one. In detail, the efficiency of volatility timing skills on ETFs improved in the Tokyo ETFs market after t[he] September 2008 financial crisis.