LSTM 기반 COVID-19 공포지수의 주가 예측 성과: 언택트 주식과 콘택트 주식 = LSTM-based Prediction Performance of COVID-19 Fear Index on Stock Prices: Untact Stocks versus Contact Stocks

다국어 초록 (Multilingual Abstract)

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.

국문 초록 (Abstract)

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 투자성과는 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.

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