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The Intervaling Effect on Higher-Order Co-Moments

Author

Listed:
  • Thomas Conlon

    (Smurfit Graduate Business School, University College Dublin)

  • John Cotter

    (Smurfit Graduate Business School and Geary Institute for Public Policy, University College Dublin)

  • Chenglu Jin

    (Smurfit Graduate Business School, University College Dublin)

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.

Suggested Citation

  • Thomas Conlon & John Cotter & Chenglu Jin, 2016. "The Intervaling Effect on Higher-Order Co-Moments," Working Papers 201602, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:201602
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Return Interval; Co-Skewness; Co-Kurtosis; Price Delay;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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