Data frequency and dependence structure in stock markets

It has been shown that the univariate distributions and other properties of asset returns are sensitive to the data frequency, but the effects of the data frequency on the dependence among returns have hardly been explored. The paper seeks to fill this gap by analyzing the impact of frequency changes on the dependence structure across the returns of 100 highly-traded American stocks and the market return over the period 2000-2010. It shows that in some cases, the association between stock returns and the market return changes according to the data frequency and, in general, investments based on monthly trades tend to be more conservative than investments made on a daily basis.