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http://dx.doi.org/10.7465/jkdi.2013.24.2.235

Using correlated volume index to support investment strategies in Kospi200 future market  

Cho, Seong-Hyun (Department of Information and Industrial Engineering, Yonsei University)
Oh, Kyong Joo (Department of Information and Industrial Engineering, Yonsei University)
Publication Information
Journal of the Korean Data and Information Science Society / v.24, no.2, 2013 , pp. 235-244 More about this Journal
Abstract
In this study, we propose a new trading strategy by using a trading volume index in KOSPI200 futures market. Many studies have been conducted with respect to the relationship between volume and price, but none of them is clearly concluded. This study analyzes the economic usefulness of investment strategy, using volume index. This analysis shows that the trading volume is a preceding index. This paper contains two objectives. The first objective is to make an index using Correlated Volume Index (CVI) and second objective is to find an appropriate timing to buy or sell the Kospi200 future index. The results of this study proved the importance of the proposed model in KOSPI200 futures market, and it will help many investors to make the right investment decision.
Keywords
Investment strategies; KOSPI200 futures market; trading volume; volume index;
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Times Cited By KSCI : 4  (Citation Analysis)
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