This paper investigates the joint determination of two dimensions of a security: trading volume and return. In much of the existing literature, volume is modeled as being exogenously related to security returns. Our analysis evaluates the extent to which trading activity also depends on security...

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 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...

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 countries during the pandemic. Our central finding is that IMF news exerts a significant impact...