거래량과 범위변동성을 이용한 투자전략에 관한 연구

This study investigates the effect of range volatility reflecting trading volume on the change in stock price return which are considered to reflect investor sentiment of market participating investors. The results of the analysis are the following; First, we find that the returns on the day when the volatility is high is higher than the return on the day when the volatility is low. Second, the holding period return of the volatility portfolio excluding the trading volume information has a 5 days holding period that is higher than the 4 days holding period. Third, our study shows that the holding period return of the volatility portfolio including the trading volume shows a higher retention period return than the holding period return of the portfolio not including the trading volume information, and the prediction power increases. Finally, we find that the results of KOSDAQ market has a high return on a highly volatile portfolio, and the same result is obtained when the trading volume information is included. Based on the above results, we reaffirmed the superior predictive power of the range volatility, and the volatility reflecting the trading volume more predicts the stock price change. This result implies that it provides important information for the establishment and implementation of investment strategy based on volatility.