글로벌 분산투자와 통화헤지에 관한 실증연구

This study evaluates investment performance by analyzing weekly data of stock index and exchange rate of Korea, G7 countries and BRICs countries from January 2005 to February 2012. Also, the investment performance is evaluated for countries with and without foreign exchange hedging. and KOSPI index performance is compared with the investment performance of four different global portfolio strategies, EQW, MVP, MSP and BSP. The key findings are as follows. First, the relationship between the stock index and exchange rate expressed in Korean won is generally shown to be negative, and the stock index and exchange rate expressed in Korean won somehow have risk-hedging effect. Second, Sharpe ratios in the developing countries are higher than that of the developed countries. Although the standard deviations of developing countries are greater than those of developed countries, Sharpe ratios indicate that developing countries are still attractive market to Korean investors. In the case of foreign exchange hedging, investment performance is increased for developed countries while it is decreased for developing countries. In addition, when using the four types of portfolios, the foreign exchange hedging strategy shows a positive impact on investment performance when the stock market is in a upward trend, while it shows negative impact in a downward trend.