Indian Journal of Science and Technology

Abstract

This paper proposes systematic investment strategies for composite stock index using volatility index of KOSPI (VKOSPI) as a leading indicator. Systematic strategies adopt a monitoring system that is widely used to detect abnormality of production line, and employed to decide when to take a position as well as what position out of long and short should be taken. It is accomplished by monitoring whether VKOSPI touches the control limit lines. Computational experiments using KOSPI (Korea Composite Stock Price Index) 200 for recent three years are conducted to show the excellent performance of the proposed investment strategies under systematic monitoring framework in terms of rate of return. 
Keywords : Leading Indicator, Monitoring, Stock Index Investment, Systematic Framework