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An Analytical Examination of the Intervaling Effect on Skewness and Other Moments

Published online by Cambridge University Press:  06 April 2009

Extract

The purpose of this paper is to demonstrate mathematically that the skewness of securities' returns--the ratio of the third moment to the standard deviation cubed--is sensitive to the length of the differencing interval over which returns are measured. Empirical observations of this so-called intervaling effect on skewness have been reported in at least three articles in this Journal. There have been no attempts, however, to examine this effect analytically. The empirical evidence presented in the literature is often contradictory and remains unexplained because of a lack of an analytical insight into the causes of the intervaling effect.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

REFERENCES

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