국내 주식과 미 달러를 이용한 투자전략에 관한 연구

• 영문명: An Investigation of Trading Strategies using Korean Stocks and U.S. Dollar
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 박찬(Chan Park) 양기성(Ki-Sung Yang)
• 간행물 정보: 『아태비즈니스연구』제13권 제2호, 123~138쪽, 전체 16쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2022.06.30

영문 초록

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.

목차

Ⅰ. 서론

Ⅱ. 투자전략

Ⅲ. 실증분석

Ⅳ. 결론

References

키워드

Growth Optimal Portfolio Korean Stocks Minimum Variance Portfolio Risk Parity Portfolio U.S. Dollar