코넥스(Korea New Exchange) 시장에서 ETF 투자전략에 관한 연구

The KONEX market, opened for financing of SMEs in 2013, has been on a steady decline since 2018. The government and the Korea Exchange are looking for ways to revitalize KONEX to secure liquidity through the direct financial market. This study analyzed the possibility of ETF products in the KONEX market and examined return of the possible ETF products in the KONEX using an investment simulation. Because general investors tend to invest in ETFs at low risk rather than active investment strategies, this study discussed implications for market revitalization through the analysis of the yield using passive investment strategies. This study selected five companies that have been listed in the top 10 market caps in the KONEX market for recent three years, and analyzed four asset allocation strategies through R programming. The performance evaluation was conducted by dividing the three-year period from 2016 to 2019 into three sections and the cumulative returns of each ETF were compared. This study found that the Sharpe Ratio strategy was the highest return compared to other strategies based on the 3-year cumulative rate of return. This results show that the introduction of ETF products into the adventurous market can be an attractive investment strategy and suggest that it is possible to increase the liquidity of KONEX through the inflow of passive investment capital.