Linearity and Stationarity of G7 Government Bond Returns

Abstract

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.

Review of Matrix Theory with Applications in Education and Decision Sciences

“…There are many good empirical applications of the work after applying the theory of matrix, for example, in two-moment model (Broll, et al, 2011(Broll, et al, , 2006(Broll, et al, , 2015Alghalith, et al, 2016Alghalith, et al, , 2017Alghalith, et al, , 2017a, production model (Guo, et al, 2015, Egozcue, et al, 2015, currency model (Agarwal, et al, 2004;Chen, et al, 2011), risk measures (Bai, et al, 2013;Chow, et al 2019), cointegration and causality (Batai, et al, 2017;Chen, et al, 2007Chen, et al, , 2008Cheng, et al, 2019;Chow, et al, 2019, Liew, et al, 2010Lv, et al, 2019;Qiao, et al, 2009;Zheng, et al, 2009), stochastic dominance (Bouri, et al, 2018).…”

“…There are many applications in different financial markets as well, for example, warrant markets (Chan, et al, 2012;, stock markets (Demirer, et al, 2019;Fong, et al, 2008;Qiao, et al, 2008aQiao, et al, ,b, 2011Wong and Bian, 2000;Xu, et al, 2017, future markets (Clark, et al, 2016;Lam, et al, 2016;Qiao, et al, 2012Qiao, et al, , 2013Lean, et al, 2010Lean, et al, , 2015, bond (Kung and Wong, 2006;Liew, et al, 2010;Chow, et al, 2019), currency (Owyong, etala 2015;Agarwal, et al, 2004), and housing markets (Qiao, and Wong, 2015;Tsang, et al, 2016;Lam, et al, 2016;Li, et al, 2014).…”