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- 저자 : KiHoon Jimmy Hong (검색결과 3 건)
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Time Series Momentum Trading in KOSPI100
KiHoon Jimmy Hong 성균관대학교 경영연구소 2014 자산운용연구 Vol.2 No.1
This paper investigates whether time series momentum could explain the current stock prices. The paper contributes to the existing studies by investigating sector level time series momentum, instead of index level momentum. It intends to overcome potential omitted variable bias by including a latent variable, which represents the index wide common shocks. The paper finds that the short term momentum has statistically significant explanatory power while there is no empirical evidence that the longer term momentum does. Interviews of some Korean practitioners have conducted to provide some potential explanations of the empirical result.
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KiHoon Jimmy Hong 성균관대학교 경영연구소 2013 자산운용연구 Vol.1 No.1
This paper quantifies the conditions of buying and selling according to three criteria (correlation of stock prices, sum of squared price spreads, and parameter estimates of OU process) without relying on charts or intuitions in pairing the pair trading strategy. Profitability was investigated. As a result of empirically analyzing the trading strategies from January 2011 to June 2012 for pairs made up of KOSPI 100 stocks, the pair formation strategy using the parameter estimates of the OU process showed the highest average return and the lowest profit. It showed a downside risk roll. These results suggest that the new pair formation method using the OU process may be more useful for asset managers who frequently use pair trading or managers of newly launched long-short Korean hedge funds. This paper looks into pairs trading strategy. Stocks in KOSPI 100 are matched into pairs using three different pair formation methods. Ornstein Uhlenbeck process is employed to model the normalized price spreads. The parameters of Ornstein Uhlenbeck process are proposed as a new pair formation method. The empirical result supports that the newly proposed method is suited to Korean market where investors are very risk averse.
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KiHoon Jimmy Hong 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.11
This paper investigates the impact of equity return autocorrelation on financial market efficiency via intervalling effect. A simple model is proposed to show that the degree of intervalling effect is related to the security return autocorrelation. A general version of levy and Levhari hypothesis is proposed to find that the degree of the autocorrelations of the security and the market returns determines the existence and the direction of the intervalling effect and The size of the intervalling effect is dependent on the degree of the security autocorrelations. Empirical eveidence of the latter is presented.
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