상관계수 정보를 이용한 투자전략의 유효성에 관한 연구 - 한국 주식시장에서의 실증분석

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This study conducted empirical tests on the effectiveness of the portfolio strategy based on correlation coefficient information. The objective of this study is to demonstrate that a part of the factor structure in stock returns reflects variations in correlation coefficient information.
This study collected data from the KSRI, KIS-FAS, and ECOS to construct portfolios of stocks sorted by various characteristics of returns. Sample firms were selected from common stocks listed on the Korean Stock Exchange (KSE) for the period from January 1, 1981 to December 31, 2002. Initially, 511 companies were chosen for the empirical analysis.
Ang et al. (2001) found that stocks with higher correlations with the market have higher expected returns in the declining U.S. stock market. To compare the U.S. stock market, this study tries to test the effectiveness of correlation information in the Korean Stock Market by portfolios based on the correlation information.
Main results are summarized as follows.
First, the expected return on a portfolio of stocks with the lowest correlation has the highest expected returns among 10 portfolios in the declining Korean Stock market. This study also focuses on the observation period to calculate the correlation, because previous works found that the length of the observation period determines the characteristics of time-varying correlations. The finding of this study is that the 6-month observation period gives more effective information than other observation periods.
Second, to compare the performance of the investment strategy based on the correlation information, this study investigates the performance of the portfolios sorted by betas and non-systematic risks. In the declining Korean Stock market, an investment strategy based on the correlation information shows better performance than others.
Third, controlling for the market beta, the size effect, the book-to-market effect, and the momentum effect, the correlation coefficient information has some explanatory power for the returns of stocks. Finally, this study constructs a correlation premium factor that goes long stocks with low correlations and goes short stocks with high correlations. The correlation premium results in a statistically significant average return of 1.38% per month.
Alternative Title
A Study of the Effectiveness on the Investment Strategy Based on Correlation Coefficient Information - An Empirical Analysis in the Korean Stock Market
Alternative Author(s)
Lee, Kyoung-Joo
조선대학교 대학원
일반대학원 경영학과
Awarded Date
Table Of Contents
제 1 장 서론 = 1
제 1 절 연구동기와 목적 = 1
제 2 절 연구내용 및 구성 = 3
제 2 장 선행연구 = 6
제 3 장 자료와 연구방법 = 11
제 1 절 자료 = 11
제 2 절 연구방법 = 12
제 4 장 실증분석 = 19
제 1 절 상관계수정보를 이용한 투자전략의 유효성분석 = 19
1. 포트폴리오의 구성 = 19
2. 구성기간별 성과분석 = 23
제 2 절 상관계수정보와의 비교분석 = 28
1. 베타를 이용한 투자전략의 성과분석 = 28
2. 비체계적 위험을 이용한 투자전략의 성과분석 = 30
3. Fama and French 시계열회귀분석 = 35
제 3 절 상관계수정보의 기대수익률 설명력검증 = 39
1. 횡단면 회귀분석에 의한 검증 = 39
2. 상관계수 프리미엄에 의한 검증 = 41
제 5 장 결론 = 45
제 1 절 요약 및 결론 = 45
제 2 절 연구의 한계 = 46
참고문헌 = 48
부록 = 52
조선대학교 대학원
이경주. (2004). 상관계수 정보를 이용한 투자전략의 유효성에 관한 연구 - 한국 주식시장에서의 실증분석.
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General Graduate School > 4. Theses(Ph.D)
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