Sep 21, 1999

Articles in journals

Brito, P.

89

19

This paper investigates the existence of non-linear dependence in 10-years government bonds price quotes for the period 1995:08-1998:10, for 12 countries. If present, non-linear dependence would contradict the random walk model and the financial markets weak form efficiency hypothesis. Using daily observations non-linearity tests (namely the BDS test, the Hinich bispectrum, and the Lyapunov exponent) are performed in order to decide whether it is possible to accept the weak form efficiency hypothesis. The results seem to imply that daily returns can not easily be viewed as independent random variables.

Government bonds,Efficiency,Non-linear tests,EU