한국 주식시장에서 손절매 전략의 활용 효과: 국민연금기금의 액티브 위험 관리 규정을 중심으로 (Stop-Loss Strategies and National Pension Fund Active-Risk Management in Korean Stocks)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 31권 / 4호 / 477 ~ 519페이지
· 저자명 : 박종호, 강대일, 엄경식

초록

본 논문은 한국 주식시장에서 손절매 전략을 수행할 경우 얻게 되는 성과와 유효성을 논의한다. 방법론으로는 Lei and Li(2009)의 일반적 전략(1996. 7~2016. 6. KRX 상장종목)과 국민연금기금의 특정 전략(2011. 1~2017. 12. 우량종목, “액티브 위험 관리 3단계” 조치)을 시뮬레이션을 통해 매입보유 전략과 비교한다. 분석 결과, 첫째, Lei and Li(2009)의 일반적 손절매 전략은 성과 측면에서 매입보유 전략과 비교해 우열을 가릴 수는 없지만, 위험 감소 측면에서는 보다 효과적이다. 둘째, 국민연금기금의 액티브 위험 관리 3단계 전략은 현행처럼 제3단계 진입 시 손절매를 고려하는 것보다 제2단계 진입과 동시에 단기수익률의 안정성을 체크해가며 손절매하는 것이 바람직하다. 두 전략의 분석 결과가 상이한 데에는 시뮬레이션에 사용한 손절매 전략 자체의 차이가 주요인이라 판단된다. 손절매 전략이 실효성을 가지려면 일반적 손절매 전략을 현실의 한국 주식시장에 어떻게 구현하느냐가 관건임을 시사한다.

영어초록

A stop-loss strategy is an investment strategy that automatically sells a stock that is suffering a loss when its price reaches a stop price. It is well known that investors actively use these strategies to protect against downward risk in the face of (ultra-) short-term volatility and drastically dropping stock prices. Since a stop-loss strategy uses algorithms to determine when the stock should be sold, investors do not have to follow the market constantly. Therefore, investors can control their behavioral biases and prevent losses in advance, and in practice this strategy is generally known to be useful in improving returns on investment. However, according to Kaminski and Lo (2014), the stop-loss strategy has different effects depending on the return-generating process the stocks follow. If stock returns follow a momentum or a regime-switching process, then a stop-loss strategy can increase portfolio profits and/or reduce volatility. However, if they follow a random-walk or a mean-reverting process, then a stop-loss strategy can lower portfolio profits.
This paper analyzes the performance and effectiveness of stop-loss strategies in the Korean stock market by analyzing a general stop-loss strategy and a specific stop-loss strategy. For the general stop-loss strategy, we use the one studied by Lei and Li (2009). For the specific stop-loss strategy, we use the Active Risk-Management Phase 3 of the Korea National Pension Service (NPS). We analyze the effects of the general stop-loss strategy on the stocks listed on the KOSPI and KOSDAQ markets from July 1996 to June 2016. We use block bootstrapping to compare the performances of the stop-loss strategy to the buy-hold strategy, and calculate the efficiency of the stop-loss strategy by calculating the stop-loss premium. To analyze the specific stop-loss strategy embedded in the NPS’s Active Risk-Management Phase 3, we analyze the NPS’s investment universe from January 2011 to December 2017. We compute the cumulative rate of returns after the entry of the Active Risk-Management Phase 3 under an algorithm simulation.
Ever since the 2008 global financial crisis, the Korean stock market, like other leading global markets, has experienced ultra-short-term volatility and sudden liquidity droughts in the absence of any material news. Stop-loss orders are a basic risk-management tool under these circumstances. Despite these structural market conditions, the Korea Exchange (KRX) does not offer stop orders or stop-loss orders to investors. Therefore, it is important to determine whether stop-loss strategies can help control the downside risk to investors. This study also addresses how the interaction between the structural conditions of the Korean stock market and the implementation of mandatory stock trading under the risk-management rules affect the investment strategy of the NPS, which is a timely and important topic.
The results of our analyses are as follows. First, in terms of performance, we cannot confirm that a general stop-loss strategy is statistically superior to a buy-hold strategy, or vice versa. However, in terms of risk management, a general stop-loss strategy is more effective at reducing volatility than a buy-hold strategy.
Second, 75% of the stocks that enter Phase 1 exit and return to a normal status within fourteen trading days. Phase 1 only involves enhanced monitoring of the stock, and stop-loss orders are not applied to these. When a stock enters Phase 2, a report is generated, but no specific action is mandated. Once a stock enters Phase 3, NPS is mandated to consider placing a stop-loss order. We find that in Phase 2 it is beneficial to observe whether the stock return becomes positive or remains stable over the ensuing 2~3 months (60 trading days) or 4~5 months (120 trading days). If the return continues to be positive or stable, NPS should continue to hold the stock and not place a stop-loss order. However, if the return remains negative in Phase 2, it is desirable to sell the stock without waiting for it to enter Phase 3. If a stock enters Phase 3 and NPS still holds it, it is desirable to sell the stock and to invest the sales proceeds in safe assets, and then repurchase the stock if and when it meets the re-entry threshold.
Third, as the cumulative return after entering Phase 3 is often negative for up to 240 trading days, the stop-loss strategy does not seem to hurt returns by realizing transitory losses. Any possible increase in volatility, which results from the introduction of static VI or the increase of the price limit, does not appear to adversely affect the stop-loss strategy.
Fourth, we find that the general stop-loss strategy in the Korean stock market does not improve performance. However, in the case of active risk management of NPS, it is desirable to sell the stocks prior to or on entering Phase 3. The difference between the two results appears to be largely due to the differences of the specific parameters of the stop-loss strategies. In the end, the effectiveness of stop-loss strategies critically depends on matching the parameters of the strategy to the conditions in the Korean stock market.

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