摘要：This study evaluates the performance of traditional timing, bull timing (holding the risk-free asset and buying call options to take advantage of expected market rises) and bear timing (holding the market index and buying put options ahead of expected market falls) strategies on the Johannesburg Stock Exchange during bullish and bearish market phases. Potential returns as well as the forecasting ability required to outperform the ALSI are calculated. When the market is in a bullish phase, bear timing is the better strategy. However, in such a market, very high predictive accuracy (above 85 percent) is required from both bull and bear timers. In a bearish phase, however, bull timers perform better than bear timers. The predictive ability required of bear timers is of the order of 65 percent. For bull timers this required predictive accuracy drops below 50 percent, making it an extremely attractive strategy, provided the bear phases of the market can be predicted.
