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...

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...

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...

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 article examines the joint dynamics of volatility-volume relation in the high-yield (junk) corporate bond market during the 2007-2008 financial crisis. I propose a new empirical model of three-stage equations to better estimate the volatility-volume relation that helps in alleviating...

In this Appendix, we present the results of four supplementary robustness checks including controlling for various macro risks (Appendix A), different time periods (Appendix B), a different method of forecast construction (Appendix C), and different trading strategy (Appendix D)

This article investigates the informational efficiency of the corporate bond market by examining whether the technical analysis of volume data can help in predicting the bond return volatility as well as the bond returns itself. To this end, the researcher uses prices and volume data obtained...