It's quite common. But not everybody recognises it as miscarriage. 1 month miscarriage usually doesn't have any negative implications on future pregnancies. Often even ultrasound technicians won't be able to confirm it was a miscarriage. The embryo doesn't usually have a heartbeat in the first 4 weeks after the last period. It might even be too early to show on a pregnancy stick. Usually these miscarriages happen because the embryo isn't viable. If it becomes a baby, the baby will have serious issues. So it is best that you miscarry. Nature's way. But there are rare cases when you do stuff that can cause a miscarriage in the first month. Like high impact sports.
I am talking of healthy women, with no significant complications, of course. The case will be different for others.