Type

Working Paper

Authors

Chenglu Jin
John Cotter
Thomas Conlon

Subjects

Economics

Topics
price delay co skewness co kurtosis return interval market higher moments measurement

The Intervaling Effect on Higher-Order Co-Moments (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.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> College of Business
Ireland -> University College Dublin -> Geary Institute Working Papers

Full list of authors on original publication

Chenglu Jin, John Cotter, Thomas Conlon

Experts in our system

1
John Cotter
University College Dublin
Total Publications: 93
 
2
Thomas Conlon
University College Dublin
Total Publications: 15