DOI QR코드

DOI QR Code

외국인 거래정보를 이용한 트레이딩시스템의 성과분석

Performance Analysis on Trading System using Foreign Investors' Trading Information

  • 김선웅 (국민대학교 비즈니스IT전문대학원) ;
  • 최흥식 (국민대학교 비즈니스IT전문대학원)
  • Kim, Sunwoong (The Graduate School of Business IT, Kookmin University) ;
  • Choi, Heungsik (The Graduate School of Business IT, Kookmin University)
  • 투고 : 2015.07.27
  • 심사 : 2015.10.01
  • 발행 : 2015.12.31

초록

It is a familiar Wall Street adage that "It takes volume to make prices move." Numerous researches have found the positive correlation between trading volume and price changes. Recent studies have documented that informed traders have strong influences on stock market prices through their trading with distinctive information power. Ever since 1992 capital market liberalization in Korea, it is said that foreign investors make consistent profits with their superior information and analytical skills. This study aims at whether we can make a profitable trading strategy by using the foreign investors' trading information. We analyse the relation between the KOSPI index returns and the foreign investors trading volume using GARCH models and VAR models. This study suggests the profitable trading strategies based on the documented relation between the foreign investors' trading volume and KOSPI index returns. We simulate the trading system with the real stock market data. The data include the daily KOSPI index returns and foreign investors' trading volume for 2001~2013. We estimate the GARCH and VAR models using 2001~2011 data and simulate the suggested trading system with the remaining out-of-sample data. Empirical results are as follows. First, we found the significant positive relation between the KOSPI index returns and contemporaneous foreign investors' trading volume. Second, we also found the positive relation between the KOSPI index returns and lagged foreign investors' trading volume. But the relation showed no statistical significance. Third, our suggested trading system showed better trading performance than B&H strategy, especially trading system 2. Our results provide good information for uninformed traders in the Korean stock market.

키워드

참고문헌

  1. 고광수, 김광호, "주가와 투자주체의 상호관계에 관한 연구 : 거래 시간대와 비거래 시간대 수익률 분석", 재무관리연구, 제27권(2010), pp.145-167.
  2. 고광수, 이준행, "외국인 거래정보와 주식시장 : 개방 10년의 경험", 재무연구, 제16권(2003), pp.159-192.
  3. 구본일, "주식시장에서의 주가변동성의 비대칭성에 관한 연구", 재무연구, 제13권(2000), pp.129-159.
  4. 권순창, "추세 반전형 패턴 인식을 이용한 주식거래", 경영과학, 제30권(2013), pp.43-58.
  5. 김동순, 전영순, "외국인투자자 대 국내 투자자의 정보우위", 한국증권학회지, 제33권(2004), pp.1-44.
  6. 김성문, 김홍선, "한국 주식시장에서 비선형계획법을 이용한 마코위츠의 포트폴리오 선정 모형의 투자 성과에 관한 연구", 경영과학, 제26권(2009), pp.19-35.
  7. 김종희, "투자주체별 정보력 우위 및 추세역추종거래행위가 주식시장의 수익률에 미치는 영향 분석", 한국증권학회지, 제42권(2013), pp.667-698.
  8. 김희경, "서브프라임 사태 이후 외국인 주식투자의 변동성 분석", 국제통상연구, 제14권(2009), pp.103-129.
  9. 정현철, 정영우, "외국인 순투자가 주가에 미치는 영향", 국제경영연구, 제22권(2011), pp.1-28.
  10. 조한용, 이필상, "선물시장의 가격변동성과 거래량의 관계에 관한 연구", 한국증권학회지, 제29권(2001), pp.373-405.
  11. 최재호, 정종빈, 김성문, "마코위츠 포트폴리오 선정 모형을 기반으로 한 투자 알고리즘 개발 및 성과평가 : 미국 및 홍콩 주식시장을 중심으로", 경영과학, 제30권(2013), pp.73-89.
  12. Blume, L., D. Easley, and M. O'Hara, "Market statistics and technical analysis : The role of volume," Journal of Finance, Vol.49(1994), pp.153-181. https://doi.org/10.1111/j.1540-6261.1994.tb04424.x
  13. Bollerslev, T., "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Vol.31(1986), pp.307-327. https://doi.org/10.1016/0304-4076(86)90063-1
  14. Daigler, R. and M. Wiley, "The impact of trader type on the futures volatility-volume relation," The Journal of Finance, Vol.54(1999), pp.2297-2316. https://doi.org/10.1111/0022-1082.00189
  15. Dickey, D.A. and W.A. Fuller, "Distribution of the estimators for autoregressive time series with a unit root," Journal of the American Statistical Association, Vol.74(1979), pp.427-431.
  16. Engle, R., "Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation," Econometrica, Vol.50(1982), pp.987-1007. https://doi.org/10.2307/1912773
  17. Gebka, B. and M. Wohar, "Causality between trading volume and returns : Evidence from quantile regressions," International Review of Economics and Finance, Vol.27(2013), pp.144-159. https://doi.org/10.1016/j.iref.2012.09.009
  18. Glosten, L.R., R. Jagannathan, and D.E. Runkle, "On the relation between the expected value and the volatility of the nominal excess return on stocks," Journal of Finance, Vol.48(1993), pp.1779-1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
  19. Granger, C.W.J., "Investigating causal relations by econometric models and cross-spectral methods," Econometrica, Vol.37(1969), pp.424-438. https://doi.org/10.2307/1912791
  20. Jaekle, U. and Tomasini, E., Trading Systems, Harriman House, 2009.
  21. Karpoff, J.M., "The relation between price changes and trading volume : A survey," Journal of Financial and Quantitative Analysis, Vol. 22(1987), pp.109-126. https://doi.org/10.2307/2330874
  22. Wang, C., "The effect of net positions by types of trader on volatility in Foreign Currency Futures Market," Journal of Futures Market, Vol.22(2002), pp.427-450. https://doi.org/10.1002/fut.10021