The impact of the return interval on common factors in stock returns: Evidence from a thin security market

Teppo Martikainen, Jukka Perttunen, Paavo Yli-Olli, A. Gunasekaran

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

The purpose of this paper is to analyze the effect of the return interval on common factors estimated in Finnish stock returns. Firstly, common factors are identified by factor analysis using daily, weekly and monthly return intervals. The similarity of these factors is then studied applying transformation analysis. It is discovered that the factors produced by alternative return intervals significantly differ from each other. An exception is the first factor representing the market index of securities.

Original languageEnglish (US)
Pages (from-to)659-672
Number of pages14
JournalJournal of Banking and Finance
Volume18
Issue number4
DOIs
StatePublished - Sep 1994

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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