The Intervaling Effect on Higher-Order Co-Moments

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Title: The Intervaling Effect on Higher-Order Co-Moments
Authors: Conlon, Thomas
Cotter, John
Jin, Chenglu
Permanent link: http://hdl.handle.net/10197/7468
Date: 14-Jan-2016
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.
Funding Details: Science Foundation Ireland
Type of material: Working Paper
Publisher: University College Dublin. Geary Institute
Keywords: Return interval;Co-skewness;Co-kurtosis;Price delay
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Geary Institute Working Papers
Business Research Collection

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