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The Journal of Index Investing

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When to Time in the Stock Market: An International
Examination of Factors that Influence Market Timing

William F. Johnson and Scott W. Barnhart
The Journal of Beta Investment Strategies Spring 2013, 3 (4) 73-83; DOI: https://doi.org/10.3905/jii.2013.3.4.073
William F. Johnson
is an assistant professor at California State University Channel Islands in Camarillo, CA.
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  • For correspondence: williamfjohnson@yahoo.com
Scott W. Barnhart
is an associate professor of finance at Florida Atlantic University in Boca Raton, FL.
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  • For correspondence: sbarnhar@fau.edu
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Abstract

The objective of this study is to determine if readily available finance and macro-economic variables can explain which years have favored market timing strategies versus which years favored buy and hold investing, in order to help traders determine when to allocate funds from passive to active investment strategies. We find that when real GDP growth rates, inflation rates, and PE ratios were low or negative, and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1995–2008. These results are robust to country level of development, negative market return years, and other control variables.

The conditions for pursuing market timing strategies were time-variant and detectable with macro-economic and finance variables. We introduce and test a new metric, Market Timing–Buy and Hold (MTBH), which measures the conditions of pursuing market timing strategies relative to buy and hold investing. The MTBH metric is an ex post measure that allows one to examine when it has been advantageous to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables.

TOPICS: Style investing, statistical methods, global

  • © 2013 Pageant Media Ltd
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The Journal of Index Investing: 3 (4)
The Journal of Beta Investment Strategies
Vol. 3, Issue 4
Spring 2013
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When to Time in the Stock Market: An International
Examination of Factors that Influence Market Timing
William F. Johnson, Scott W. Barnhart
The Journal of Beta Investment Strategies Feb 2013, 3 (4) 73-83; DOI: 10.3905/jii.2013.3.4.073

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When to Time in the Stock Market: An International
Examination of Factors that Influence Market Timing
William F. Johnson, Scott W. Barnhart
The Journal of Beta Investment Strategies Feb 2013, 3 (4) 73-83; DOI: 10.3905/jii.2013.3.4.073
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    • Abstract
    • RELATED LITERATURE
    • THE MARKET TIMING-BUY HOLD METRIC
    • HYPOTHESES
    • DATA AND METHODOLOGY
    • RESULTS
    • CONCLUSIONS
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