시계열 모멘텀과 기술적 분석에 관한 연구

Abstract

This study comprehensively analyzes time series momentum and moving average strategies for the Korean stock market. The results of the empirical analysis are as follows. The correlation coefficients between the returns of time series momentum and moving average strategies are on average above 0.8, indicating that the two strategies are closely related. When calculating risk-adjusted returns and abnormal returns, Sharpe ratios and Jensen alphas were generally higher for the moving average strategy compared to the time series momentum strategy. Decomposing the difference in returns between time-series momentum and moving average strategies, we found that moving average strategies tend to run earlier and time-series momentum later, with earlier strategies generating positive returns and later strategies generating negative returns. When analyzing stock price crash risk, we found that unlike cross-sectional momentum, neither time series momentum nor moving average strategies were sensitive to stock price crash risk.