I am investigating some asset allocation strategies and I am wondering about the results I obtain. I am working on monthly and weekly data of the same stock indices (SP500, FTSE 100 etc). And when I compute the summary statistics of the realized returns I observe that for the very same strategy those statistics vary greatly between weekly and monthly data. For the monthly f.e. I obtain skewness = 0.4 and kurtosis = 5, while for the weekly frequency skewness = 1.5 and kurtosis = 25.
Are the results for the weekly data plausible? And is it possible that the difference in the frequency of data results in such differences in the summary statistics? All computations are identical, the only difference is the data frequency.
I hope the question is not too general and it is possible to give some insight based on my description.