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 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 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...