Хураангуй:
We use monthly data of the Mongolian stock market to examine whether the market timing
strategy filtered by volatility delivers abnormal returns. First of all, we find that 3-month
MA strategy outperforms all other months of MA strategy. However, we cannot identify
the sources that contribute to the abnormal returns of the portfolio. To obtain more robust
results, we need to provide more empirical evidence to support the validity of our
proposition in the future. Second, we contribute to the interactions between TOP20
company stock return, exchange rate (MNT/CNY) return by considering the effects of
economic policy uncertainty. Based on a VAR and vector autoregressive (VEC) models.
Our empirical results show that the short-term and long-term between stock returns and
exchange rate do vary over time. In addition, the relations between stock and exchange rate
have positive sign sensitivity to the short rate and the slope of term structure, while their
sensitivity to exchange rate volatility is negative.
