Latent Factor Analysis of KOSDAQ Markets
Kook‐Hyun Chang, Myung-Jig Kim · Journal of Derivatives and Quantitative Studies 선물연구 · 2009
This paper tries to estimate multivariate latent factor model with jump in order to find common factor and jump risk of KOSDAQ markets. Using five major daily KOSDAQ indexes such as construction, wholesale, transportation, finance, and IT/SW/SVC from January 2 2003 to August 29 2008, this study finds the evidence of significant systematic jump risk in addition to industry-specific idiosyncratic risk. According to the main estimated results of this paper, jump risk comes every 31 trading days in KOSDAQ markets and approximately twenty percent of the common factor of the KOSDAQ market can be explained by the KOSPI market risk.