The Intervaling Effect on Higher-Order Co-Moments
Thomas Conlon (),
John Cotter () and
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Chenglu Jin: Smurfit Graduate Business School, University College Dublin
No 201602, Working Papers from Geary Institute, University College Dublin
This paper investigates the sensitivity of higher-order co-moments for different return measurement intervals. The levels of systematic skewness and kurtosis are found to be significantly influenced by the length of return interval. An asset preferred because of its positive co-skewness and low co-kurtosis when measured in one particular interval may have negative co-skewness or high co-kurtosis for another interval. We find the intervaling effect varies according to the level of price adjustment delay as proxied by market capitalization and illiquidity. Findings persist for intervals of up to twelve months, and are consistent during both volatile and stable periods.
Keywords: Return Interval; Co-Skewness; Co-Kurtosis; Price Delay (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201602
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