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dc.contributor.convenorProfessor Tim Robinson
dc.contributor.authorJ. Bianchi, Robert
dc.contributor.authorE. Drew, Michael
dc.contributor.authorE. Clements, Adam
dc.contributor.editorCheng-Few Lee
dc.date.accessioned2017-05-03T11:31:19Z
dc.date.available2017-05-03T11:31:19Z
dc.date.issued2008
dc.date.modified2010-07-26T06:50:20Z
dc.identifier.urihttp://hdl.handle.net/10072/32572
dc.description.abstractThe implicit assumption of linearity is an important element in empirical finance. This study presents a hypothesis testing approach which examines the linear behaviour of the conditional mean between stock and bond returns. Conventional tests detect spurious non-linearity in the conditional mean caused by heteroskedasticity and/or autocorrelation. This study re-states these tests in a heteroskedasticity and autocorrelation consistent (HAC) framework and we find that stock and bond returns are indeed linear-in-the-mean in both univariate and bivariate settings. This study contends that previous research has detected spurious non-linearity due to size distortions caused by heteroskedasticity and autocorrelation, rather than the presence of a genuine non-linear relationship between stock and bond returns.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherQueensland University of Technology
dc.publisher.placeBrisbane, QLD
dc.publisher.urihttps://www.qut.edu.au/
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofconferencename16th Annual Conference on Pacific Basin Finance Economics Accounting Management (PBFEAM)
dc.relation.ispartofconferencetitle16th Annual Conference on Pacific Basin Finance Economics Accounting Management (PBFEAM)
dc.relation.ispartofdatefrom2008-07-02
dc.relation.ispartofdateto2008-07-04
dc.relation.ispartoflocationQUT, Brisbane, Australia.
dc.rights.retentionY
dc.subject.fieldofresearchcode350301
dc.titleHACking at Non-Linearity: Evidence from Stocks and Bonds
dc.typeConference output
dc.type.descriptionE1 - Conferences
dc.type.codeE - Conference Publications
gro.date.issued2008
gro.hasfulltextNo Full Text
gro.griffith.authorBianchi, Robert
gro.griffith.authorDrew, Michael E.


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    Contains papers delivered by Griffith authors at national and international conferences.

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