Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
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An Investigation of Trading Strategies using Korean Stocks and U.S. Dollar

국내 주식과 미 달러를 이용한 투자전략에 관한 연구

  • Park, Chan (Program in Financial Technology Convergence, Soongsil University) ;
  • Yang, Ki-Sung (School of Finance, Soongsil University)
  • 박찬 (숭실대학교 금융기술융합학과) ;
  • 양기성 (숭실대학교 금융학부)
  • Received : 2022.03.24
  • Accepted : 2022.04.24
  • Published : 2022.06.30
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Abstract

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.

Keywords

Acknowledgement

이 연구는 2020년도 숭실대학교 교내연구비 지원(신임교원지원연구)에 의한 연구임

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