Linearity and stationarity of G7 government bond returns

Liew, Venus Khim-Sen and Qiao, Zhuo and Wong, Wing-Keung (2010) Linearity and stationarity of G7 government bond returns. Economics Bulletin, 4 (1). ISSN 1545-2921

[img]
Preview
PDF
Linearity and stationarity of G7 government bond returns.pdf

Download (262kB) | Preview
Official URL: https://www.researchgate.net/publication/228219603

Abstract

This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (198 8) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be concluded that G7 government bond returns are stationary but possess a nonlinear feature. Our findings provide useful information for researchers interested in bond markets

Item Type: Article
Uncontrolled Keywords: government bond returns; G7; linearity, stationarity; nonlinear, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 06 Oct 2017 08:10
Last Modified: 06 Oct 2017 08:10
URI: http://ir.unimas.my/id/eprint/18000

Actions (For repository members only: login required)

View Item View Item