Earticle

본 연구의 목적은 COVID-19 전염병 확산이 투자자들에게 공포로 작용하면서 주가의 방향성과 변동성에 영향을 미치는지를 분석하는 것이다. COVID-19의 국내 확진자 정보를 이용하여 투자자 공포지수를 제안하고 주가에 대한 영향력을 실증 분석하였다. 주가의 방향성과 변동성 모형은 각각 그랜저 인과관계 모형, GARCH 모 형을 이용하였다. 2020년 2월 20일부터 2021년 6월 30일까지의 코스피 주가지수를 이용한 실증 분석 결과는 다음과 같다. 첫째, COVID-19 공포지수는 미래의 주가 수익률에 인과성을 보여주었다. 둘째, COVID-19 공포지 수가 수익률의 변동성에는 오히려 음의 영향을 주고 있다. 향후 연구에서는 주가지수 대신 개별 기업 경영 실적과 주가를 이용하여 그 원인을 파악할 필요가 있다.

The purpose of this study is to analyze whether the spread of COVID-19 infectious diseases acts as a fear to investors and affects the direction and volatility of stock returns. The investor fear index was proposed using the domestic confirmed patient information of COVID-19, and the influence on stock prices was empirically analyzed. The direction and volatility models of stock prices used the Granger causality and GARCH models, respectively. The results of empirical analysis using the KOSPI index from February 20, 2020 to June 30, 2021 are as follows: First, the COVID-19 fear index showed causality to future stock prices. Second, the COVID-19 fear index has a negative effect on the volatility of KOSPI index returns. In future studies, it is necessary to document the cause by using individual business performance and stock price instead of the stock index.

주식 투자에서 매수와 매도의 타이밍을 결정하는 것은 주식 투자의 수익률 올리기 위해 가장 중요한 요인 중에 하나 이다. 주식은 싸게 사서 비싸게 팔면 이익이 되지만, 비싸게 사서 싸게 팔면 손해가 된다. 주식의 가격을 결정하는 매수와 매 도의 물량에 의해 가격이 결정이 되고, 매수와 매도는 기업실적, 경제지표와도 관련이 있다. CNN에서 제공하는 공포와 탐욕 지수는 7가지 요소를 사용하고, 각 요소에 가중치를 부여하여 탐욕과 두려움으로 정의한 가중치 평균을 0~100 사이의 척도 로 계산하여 매일 발표하고 있다. 지수가 0에 가까우면 주식시장 심리가 두려운것이고, 100에 가까우면 탐욕스러운 것이다. 따라서 미국 S&P 500 지수를 CNN 공포와 탐욕지수에 따른 매수와 매도를 할 경우 최대 수익률이 발생하는 매매 기준을 분 석하여 최적의 매수와 매도 타이밍을 제시하여 주식투자에 수익률을 높일 수 있는 방안을 제시하고자 한다.

Determining the timing of buying and selling in stock investment is one of the most important factors to increase the return on stock investment. Buying low and selling high makes a profit, but buying high and selling low makes a loss. The price is determined by the quantity of buying and selling, which determines the price of a stock, and buying and selling is also related to corporate performance and economic indicators. The fear and greed index provided by CNN uses seven factors, and by assigning weights to each element, the weighted average defined as greed and fear is calculated on a scale between 0 and 100 and published every day. When the index is close to 0, the stock market sentiment is fearful, and when the index is close to 100, it is greedy. Therefore, we analyze the trading criteria that generate the maximum return when buying and selling the US S&P 500 index according to CNN fear and greed index, suggesting the optimal buying and selling timing to suggest a way to increase the return on stock investment.

Objective: To evaluate the reliability and validity of this new measure, called the caregivers’ fear of falling index (CFFI).Methods: The study surveyed home-based rehabilitation patients with fall-related fracture, and their primary caregivers. The characteristics of these patients were evaluated, and the caregivers were surveyed using the CFFI and Falls Efficacy Scale-International (FES-I). The reliability of the CFFI was assessed using item-total correlation, while the validity of the CFFI was evaluated through correlation coefficients calculated between the CFFI and the FES-I.Results: The participants were 51 patient-caregiver pairs. The internal consistency of the CFFI showed an alpha coefficient of 0.904. No items were excluded in the corrected item-total correlations. The CFFI showed a moderate correlation with FES-I (r=0.432, p=0.002).Conclusion: This study found the CFFI to be a reliable and valid tool for measuring the primary caregivers’ fear. The CFFI may be a useful tool for healthcare professionals to identify and supporting these primary caregivers.

This study was conducted in order to determine the relationship among fear-avoidance beliefs, pain and disability index in patients with low back pain as well as to identify factors having an influence on fear-avoid-ance beliefs, pain and disability index. The subjects used in this study were 55 patients with low back pain. All subjects completed a fear-avoid-ance beliefs questionnaire (FABQ) which was divided into two subscales, FABQ for physical activity (FABQ-P) and FABQ for work (FABQ-W), Vi-sual Analog Scale (VAS), Oswestry Disability Index (ODI) and Roland- Morris Disability Questionnaire (RMDQ). In correlation analysis, FABQ-P appeared to show significant correlation with FABQ-W, FABQ-total, VAS and RMDQ, and all variables showed significant correlation with each other. Findings of this study suggest that screening for fear-avoidance beliefs may be useful for identification of patients at risk of psychosocial problems as well as pain intensity and physical impairment.

본 연구에서는 변동성 전략과 Fear and Greed 지수를 통하여 미국 주식의 매매를 자동으로 하는 연구를 진행하였다. 주식 시장의 변동성은 주가 변동을 유발할 수 있는 일반적인 현상이다. 투자자는 예상되는 변동성 수준에 따라 주식을 사고 파는 변동성 전략을 구현함으로써 이러한 변동성을 이용할 수 있다. 이 논문의 목적은 주식 시장에서 수익을 창출하는 변동성 전략의 효과를 탐구한다. 본 연구는 주식시장의 2차 데이터를 활용한 정량적 연구 방법론을 채택하여, 데이터에는 2016년부터 2020년까지 5년 동안 뉴욕증권거래소(NYSE)에 상장된 S&P 500 인텍스 주식에 대한 일일 주가 및 일일 변동성 측정치가 포함 하였다. 전략은 변동성이 낮은 기간에서 주식을 사고 높은 변동성 기간에서 주식을 매도하는 것을 포함하였다. 결과는 변동성 전략이 샘플 기간 동안의 벤치마크 수익률 7.5%에 비해 연평균 9.2%의 긍정적인 수익률을 창출하였다. 따라서 전략이 샘플 기간의 5년 중 4년에서 벤치마크 수익률을 능가한다는 것을 나타났다. 이 전략은 2020년 COVID-19 대유행과 같이 시장 변동 성이 높은 기간 동안 특히 잘 수행되어 벤치마크 수익률 5.5%에 비해 14.6%의 수익률을 기록하였다.

In this study, we conducted research on the automated trading of U.S. stocks through a volatility strategy using the Fear and Greed index. Volatility in the stock market is a common phenomenon that can lead to fluctuations in stock prices. Investors can capitalize on this volatility by implementing a strategy based on it, involving the buying and selling of stocks based on their expected level of volatility. The goal of this thesis is to investigate the effectiveness of the volatility strategy in generating profits in the stock market.This study employs a quantitative research methodology using secondary data from the stock market. The dataset comprises daily stock prices and daily volatility measures for the S&P 500 index stocks. Over a five-year period spanning from 2016 to 2020, the stocks were listed on the New York Stock Exchange (NYSE). The strategy involves purchasing stocks from the low volatility group and selling stocks from the high volatility group. The results indicate that the volatility strategy yields positive returns, with an average annual return of 9.2%, compared to the benchmark return of 7.5% for the sample period. Furthermore, the findings demonstrate that the strategy outperforms the benchmark return in four out of the five years within the sample period. Particularly noteworthy is the strategy's performance during periods of high market volatility, such as the COVID-19 pandemic in 2020, where it generated a return of 14.6%, as opposed to the benchmark return of 5.5%.

The implied volatility index is the composite index of volatilities of all the options listed on an exchange. The implied volatility index is found to be more sensitive to underlying asset’s price decrease than increase. So it is called ‘fear gauge’ of the stock market. The behavioral finance attributes the existence of asset pricing anomalies to two factors: investors' sentiment and arbitrage constraints. This paper attempts to test the effect of investors' sentiment and arbitrage constraints on the implied volatility of KOSPI200 (VKOSPI). In order to measure investor sentiment (limits to arbitrage), we constructed the sentiment (arbitrage constraint) index using principal component of ten (nine) sentiment (limits to arbitrage) variables. After controlling the macro economy effects, the new sentiment index and arbitrage constraint index are reestimated. Main results found are as follows: 1) VKOSPI has very significant impacts on KOSPI200 returns. 2) The empirical results are consistent with behavioral explanations. Both investor sentiment and arbitrage constraints derived from the principal component analysis have meaningful effects on VKOSPI. 3) After controlling the macro economy effects, the pure sentiment index has an insignificant effect, but the pure arbitrage constraint index shows significant impacts on VKOSPI variation. 4) The negative effects of pure arbitrage constraints turn out to be more prominent during the period of high VKOSPI. Thus, it confirmed that the cause of market fear is pure arbitrage constraints, rather than pure investor sentiment.

External shocks to the stock market make investors highly aware of the risk of asset investment and lead them to expect correspondingly higher returns. As a result, risk in the market increases, causing asset prices to fall. Applying a Granger causality test to data from the COVID-19 pandemic period, this study tested whether the COVID-19 fear index is useful in predicting asset prices in the stock and cryptocurrency markets and assessed the COVID-19 fear index’s Long Short-Term Memory model-based asset price prediction performance. The Long Short-Term Memory model was developed to deal with the vanishing gradient problem that can emerge when training traditional Recurrent Neural Networks using the cell states. Using data spanning the period from early 2020 when COVID-19 began to April 2022, this study’s empirical analysis produced the following results. First, it showed significant negative correlations between the fear index and both stock and cryptocurrency prices. During the COVID-19 pandemic crisis, cryptocurrencies played the role of speculative rather than safe assets. Second, both stock and cryptocurrency prices showed significant Granger causality. Third, the impulse response function indicated that both stocks and cryptocurrencies overreacted to the shock of the COVID-19 pandemic. The degree of overreaction was stronger in the stock market. Fourth, the price prediction performance of the Long Short-Term Memory time series model using price data and the COVID-19 fear index as input variables was excellent. In particular, its forecast performance for medium- and small-sized assets was higher than for large-sized assets such as Bitcoin and large-sized KOSPI. While outbreaks of infectious diseases such as COVID-19 directly impact the economy and the stock market, this study’s results indicate that COVID-19 had less of an impact on the cryptocurrency market, which is also affected by non-economic factors.

COVID-19 팬데믹으로 비대면 경제 상황이 전개되면서 주식시장에서는 언택트 주식 집단이 등장하였다. 본 연구는 COVID-19 팬데믹 상황에서 감염병 확산에 따른 한국 COVID-19 공포지수를 제안하고, 언택트 주식 수익률과 콘택트 주식 수익률에 대한 영향력을 분석하였다. 실증 분석 결과는 다음과 같다. 첫째, 한국 COVID-19 공포지수를 이용한 그랜저 인과관계 분석 결과 대한항공, 하나투어, CJ CGV, 파라다이스와 같은 콘택트 주식의 수익률에서 유의적인 인과성이 나타났다. 둘째, LSTM 모형 기반의 주가 예측 결과 카카오, 대한항공과 네이버의 예측 성과가 높게 나타났다. 셋째, 예측 주가를 이용한 Alexander 필터 진입 전략의 투자 성과는 네이버 선물과 카카오 선물에서 높게 나타났다. 본 연구는 비대면 경제가 본격화된 COVID-19 상황에서 언택트 주식과 콘택트 주식에 대한 COVID-19 팬데믹 확산의 영향력을 분석하였다는 점에서 기존 연구와 차별점을 찾을 수 있다.

As the non-face-to-face economic situation developed due to the COVID-19 pandemic, untact stock groups appeared in the stock market. This study proposed the Korea COVID-19 fear index following the spread of infectious diseases in the COVID-19 pandemic situation and analyzed the influence on the untact stock and contact stock returns. The results of the empirical analysis are as follows. First, as a result of the Granger causality analysis using the Korea COVID-19 fear index, significant causality was found in the return of contact stocks such as Korean Air, Hana Tour, CJ CGV, and Paradise. Second, as a result of stock price prediction based on the LSTM model, Kakao, Korean Air, and Naver's prediction performance was high. Third, the investment performances of the Alexander filter entry rule using the predicted stock price were high in Naver futures and Kakao futures. This study can find a difference from previous studies in that it analyzed the influence of the spread of the COVID-19 pandemic on untact and contact stocks in the COVID-19 situation where the non-face-to-face economy is in full swing.

Objectives : This study aimed to investigate the correlation between fear-avoidance beliefs and neck pain/neck disability caused by traffic accidents. Methods : We surveyed 52 patients who were injured in traffic accidents. The patients completed baseline measures of pain, disability, fear-avoidance beliefs according to the visual analogue scale(VAS), neck disability index(NDI) and a fear-avoidance beliefs questionnaire (FABQ). At the end of medical treatment, VAS and NDI were reassessed. In order to determine the relationship between FABQ(including its subscales), change of VAS and NDI, Pearson correlation coefficients were used. To examine the accuracy of previously reported cut-off scores, we classified the patients into low and high groups and analyzed the change of VAS and NDI. The relationship was measured by Mann-Whitney U-test and a student's T-test. Results : FABQ and its subscales(total, physical activity and work) were significantly correlated with final VAS and NDI. FABQ-T showed low significant negative correlation with change of NDI. Previously reported cut-off scores did not show a statistical significance in this study Conclusions : This study suggests that screening for fear-avoidance beliefs may be useful for identifying patients at risk of prolonged pain after traffic accidents.

본 연구에서는 원유시장을 대상으로 위험-수익 관계와 시장 공포, 불확실성, 주식시장, 해상운임지수 사이의 연관성을 검증하기 위해 2002년 1월부터 2022년 6월까지 일별자료를 이용하여 분석하였다. 본 연구를 위해 위험-수익 관계는 TVP-EGARCH-M 모형을 적용하였으며, 시장 공포, 불확실성, 주식시장, 해상운임지수와의 관계를 분석하기 위해 웨이블릿 일치성 모형을 이용하였다. 본 연구의 분석결과는 다음과 같다. 첫째, 시간 가변적 위험-수익 관계 결과에 따르면, 원유시장도 높은 수익률과 높은 위험과 관련이 있는 것으로 나타났다. 둘째, 상관관계와 그랜져 인과관계 분석결과, 위험-수익 관계와 VIX, EPU, S&P500, BDI 사이에서 약한 상관관계가 존재하는 것으로 나타났다. 그리고 EPU, S&P500과 위험-수익 관계에서 양방향 인과관계가 존재하지 않는 것으로 나타났지만 VIX와 BDI는 위험-수익 관계에 영향을 주는 것으로 나타났다. 셋째, 웨이블릿 일관성 결과를 보면, 위험-수익 관계와 VIX, EPU, S&P500, BDI 간의 관계 정도는 시간 가변적인 것으로 나타났다. 특히, 위기기간(금융위기, 코로나19) 전후에 서로 간의 관계가 높은 것으로 나타났다. 그리고 장기에 연관성이 높은 것으로 나타났다. 또한 위험-수익 관계는 VIX, EPU와는 양(+)의 관계, S&P500, BDI와는 음(-)의 관계가 있는 것으로 나타났다. 따라서 시장참여자가 의사결정을 할 때 경제적인 환경 변화를 잘 인식해야 할 것이다.

In this study, daily data from January 2002 to June 2022 were used to investigate the relationship between risk-return relationship and market fear, uncertainty, stock market, and maritime freight index for the crude oil market. For this study, the time varying EGARCH-M model was applied to the risk-return relationship, and the wavelet consistency model was used to analyze the relationship between market fear, uncertainty, stock market, and maritime freight index. The analysis results of this study are as follows. First, according to the results of the time-varying risk-return relationship, the crude oil market was found to be related to high returns and high risks. Second, the results of correlation and Granger causality test, it was found that there was a weak correlation between the risk-return relationship and VIX, EPU, S&P500, and BDI. In addition, it was found that there was no two-way causal relationship in the risk-return relationship with EPU and S&P500, but VIX and BDI were found to affect the risk-return relationship. Third, looking at the results of wavelet coherence, it was found that the degree of the risk-return relationship and the relationship between VIX, EPU, S&P500, and BDI was time-varying. In particular, it was found that the relationship between each other was high before and after the crisis period (financial crisis, COVID-19). And it was found to be highly associated with organs. In addition, the risk-return relationship was found to have a positive relationship with VIX and EPU, and a negative relationship with S&P500 and BDI. Therefore, market participants should be well aware of economic environmental changes when making decisions.

본 연구는 거북목증후군 대상자들에게 운동트레이닝과 카이로프랙틱을 복합 처치하고, NDI와 FABQ의변화를 분석하여 상관관계를 분석하는 것이다. X-ray 를 측정하고 TNG(n=9)과 FHPG(n=9)으로 나누어 8주동안 주 1회씩 카이로프랙틱과 운동트레이닝을 복합처치 하였다. 실험 전후 FABQ와 NDI설문지를 작성하였으며 결과분석을 위해서 SPSS PC+ for window (version 23.0)통계프로그램을 이용하였다. 두 집단의종속변인 차이는 two-way ANOVA with repeated measures을 이용하여 분석하였으며, 운동 전후 유의한 차이가 날 경우 대응 표본 t-test를 이용하였다. 모든 통계분석의 유의수준(α)은 .05로 설정하였다. 시기의 주효과가 나타났으며, FHP 그룹의 경우, FABQ-W와 FABQ-total에서 유의한 감소가 나타났고, TNP 그룹의 경우, FABQ-AP, FABQ-W와 FABQ-total 에서 유의하게 감소하였다. 이는 카이로프랙틱과 운동트레이닝 복합 처치가 거북목 증후군 대상자의 공포-회피반응과 목통증 개선에 긍정적인 영향을 미쳤으며, 향후 거북목 증후군 대상자의 사회심리적 요인에 관한 연구와 거북목 증후군과 같은 목뼈 부정렬에 대한 연구에 도움을 줄 수 있을 것으로 사료된다.

The purpose of this study was to compare the changes of NDI and FABQ after combined treatment of chiropractic and exercise program. X-rays were classified according to the measurement results as forward head posture (FHP, n=9) and turtle neck posture (TNP, n=9). And chiropractic and exercise training once a week for 8 weeks. FABQ and NDI questionnaires were prepared before and after the experiment, and SPSS PC + for window (version23.0) statistical program was used to analyze the results. Differences in the dependent variables of the two groups were analyzed using two-way ANOVA with repeated measures. And paired t-test was performed when the main effect of time was shown, . The significance level(α) of all statistical analyzes was set to .05. The main effect of time was shown in the FABQ-PA, FABQ-W, and FABQ-total. There were significant decreases in the FABQ-W, and FABQ-total in the FHP group. and FABQ-PA, FABQ-W, FABQ-total in the TNP group. The combined treatment of chiropractic and exercise programs positively affected the socio-psychological factors in both groups. The results of this study would be helpful for the study of socio-psychological factors in cervical malalignment.