This paper provides a comprehensive statistical and economic evidence on the forecasting power of local-currency equity and bond returns in predicting exchange rate returns. We first construct out-of-sample (OOS) forecasts using various model specifications of equity and bond returns, and assess...

Framing stock and bond market characteristics as an endogenous and unified system, this paper investigates joint relationships between stock returns, stock trading volume, bond returns, and bond trading volume. Existing literature largely ignores reverse causality by considering an isolated...

This article examines the influence of IMF announcements as a source of news on currency and stock markets in the wake of the coronavirus pandemic. We use a set of IMF-related news for a sample of 14 emerging countries from December, 2019 to December, 2020. Our central finding is that IMF news...

Framing stock and bond market characteristics as an endogenous and unified system, this paper investigates joint relationships between stock returns, stock trading volume, bond returns, and bond trading volume. Existing literature largely ignores reverse causality by considering an isolated...

This study examines if mutual fund flow information can be exploited as a predictor for future fund performance, and if an economically profitable trading strategy can be executed. My central finding is that investors can improve their fund selection ability and beat the market conditional on...

We use an instrumental variables (IV) approach to examine the effects of dynamic endogeneity when estimating the relationship between mutual fund flows and performance. Unlike the one-stage estimation approach commonly used in prior research, the IV approach allows us to address reverse...

We use a sample of 27 countries and 63 currency news announcements in an event study framework to examine the impact of currency news on international government bond markets. Our findings reveal a significant spillover of currency news into bond markets. Specifically, the evidence shows...

This chapter book identifies three crisis warning indicators driven from trading in emerging markets' carry trades, and empirically examines whether these indicators could predict two major financial crises that hit the global financial markets in the last decades – The 1997-1998 Asian crisis...

This paper investigates the relation between stock returns and trading volume (as measured by turnover) in a small emerging market, i.e., the Egyptian Securities Exchange (ESE). We are interested in examining the power of stock trading volume in predicting future return. To this end, we use a...

Using data from G5 developed countries, this paper investigates the impact of the financial crises on the integration of equity markets. To this end, a modified version of the Fama and French two-factor model (1998) such that the currency risk is incorporated as an additional economic risk...