Linearity and Stationarity of G7 Government Bond Returns

12 Pages Posted: 10 Sep 2010

See all articles by Zhuo Qiao

Zhuo Qiao

University of Macau

Venus Khim-Sen Liew

Universiti Malaysia Sarawak

Wing-Keung Wong

Asia University, Department of Finance

Date Written: September 8, 2010

Abstract

This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) 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.

Keywords: government bond returns, G7, linearity, stationarity, nonlinear

JEL Classification: G1, C1

Suggested Citation

Qiao, Zhuo and Liew, Venus Khim-Sen and Wong, Wing-Keung, Linearity and Stationarity of G7 Government Bond Returns (September 8, 2010). Available at SSRN: https://ssrn.com/abstract=1673743 or http://dx.doi.org/10.2139/ssrn.1673743

Zhuo Qiao

University of Macau ( email )

P.O. Box 3001
Macau

Venus Khim-Sen Liew

Universiti Malaysia Sarawak ( email )

Faculty of Economics and Business
Kota Samarahan, Sarawak 94300
Malaysia
+6082582415 (Phone)
+6082671794 (Fax)

HOME PAGE: http://www.feb.unimas.my/

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

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