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The Intervaling Effect on Higher-Order Co-Moments
Author(s)
Date Issued
2016-01-14
Date Available
2016-02-09T11:15:04Z
Abstract
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.
Sponsorship
Science Foundation Ireland
Other Sponsorship
Chinese Scholarship Council
Type of Material
Working Paper
Publisher
University College Dublin. Geary Institute
Series
UCD Geary Institute for Public Policy Discussion Paper Series
WP2016/02
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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