This paper examines volume and volatility dynamics by accounting for market activity measured by the time duration between two consecutive transactions. A time-consistent vector autoregressive model (VAR) is employed to test the dynamic relationship between return volatility and trades using...

The impact of the global financial crisis since 2007 has been deep and broad, blanketing the financial and economic landscape and hammering the hedge fund industry. Using both active and inactive hedge fund return data from the CISDM database from January of 1994 to March of 2009, we measure...

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China-backed stocks that are cross-listed on exchanges in Hong Kong and New York. Results analyzing the dual-listed stocks indicate significant mutual feedback...

Using a vector autoregressive model with monthly data from 1988 through 2001, this study investigates the factors that drive the excess returns on a widely followed mortgage-backed securities (MBS) index. We find that eight important economic variables (industrial productions, new home sales,...