Journal of Financial Markets

1998 - 2021

Current editor(s): B. Lehmann, D. Seppi and A. Subrahmanyam

From Elsevier
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Volume 49, issue C, 2020

Microstructure invariance in U.S. stock market trades

Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun

Biased short: Short sellers' disposition effect and limits to arbitrage

Bastian von Beschwitz and Massimo Massa

Trust and delegation: A case to consider on broker rebates and investor sophistication

Mor M. Haziza and Avner Kalay

Call of duty: Designated market maker participation in call auctions

Erik Theissen and Christian Westheide

Risk premium spillovers among stock markets: Evidence from higher-order moments

Marinela Adriana Finta and Sofiane Aboura

Google search volume and individual investor trading

Dimitrios Kostopoulos, Steffen Meyer and Charline Uhr

Volume 48, issue C, 2020

Volatility-of-volatility and the cross-section of option returns

Xinfeng Ruan

The leverage ratio and liquidity in the gilt and gilt repo markets

Andreea Bicu-Lieb, Louisa Chen and David Elliott

Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes

Haim Kedar-Levy

Tales of tails: Jumps in currency markets

Suzanne S. Lee and Minho Wang

Credit default swaps and market information

Hiroshi Osano

Expected issuance fees and market liquidity

Boyd Buis, Mary Pieterse-Bloem, Willem Verschoor and Remco Zwinkels

Volume 47, issue C, 2020

Trading aggressiveness and market efficiency

Olga Klein

The memory of stock return volatility: Asset pricing implications

Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen

Too much of a good thing? Speculative effects on commodity futures curves

Sophie van Huellen

Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model

Kristyna Ters and Jörg Urban

Price discovery in stock and options markets

Vinay Patel, Talis Putnins, David Michayluk and Sean Foley

The network nature of over-the-counter interest rates

Edoardo Rainone

Volume 46, issue C, 2019

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market

George Kapetanios, Eirini Konstantinidi, Michael Neumann and George Skiadopoulos

Market anomalies and disaster risk: Evidence from extreme weather events

Matthew G. Lanfear, Abraham Lioui and Mark G. Siebert

A state-space modeling of the information content of trading volume

Khaladdin Rzayev and Gbenga Ibikunle

The information content of short-term options

Ioannis Oikonomou, Andrei Stancu, Lazaros Symeonidis and Chardin Wese Simen

How much do investors trade because of name/ticker confusion?

Vadim S. Balashov and Andrei Nikiforov

Short selling and market anomalies

Wu, Juan (Julie) and Zhang, Jianzhong (Andrew)

Volume 45, issue C, 2019

Make-take decisions under high-frequency trading competition pp. 1-18

Alejandro Bernales

Disposition sales and stock market liquidity pp. 19-36

Darwin Choi

How rigged are stock markets? Evidence from microsecond timestamps pp. 37-60

Robert P. Bartlett and Justin McCrary

The preholiday corporate announcement effect pp. 61-82

Don M. Autore and Danling Jiang

Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach pp. 83-114

Massimo Guidolin, Erwin Hansen and Manuela Pedio

The long-term impact of sovereign wealth fund investments pp. 115-138

Raphael Jonghyeon Park, Simon Xu, Francis In and Philip Inyeob Ji

Volume 44, issue C, 2019

Strategic trading with risk aversion and information flow pp. 1-16

Ravi Sastry and Rex Thompson

Agreeing on disagreement: Heterogeneity or uncertainty? pp. 17-30

Saskia ter Ellen, Willem Verschoor and Remco Zwinkels

Nominal stock price anchors: A global phenomenon? pp. 31-41

Kee-Hong Bae, Utpal Bhattacharya, Jisok Kang and S. Ghon Rhee

Beauties of the emperor: An investigation of a Chinese government bailout pp. 42-70

Yeguang Chi and Xiaoming Li

Extreme absolute strength of stocks and performance of momentum strategies pp. 71-90

Xuebing Yang and Huilan Zhang

Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section pp. 91-118

Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen

Volume 43, issue C, 2019

Fast and slow informed trading pp. 1-30

Ioanid Roşu

An analysis of over-the-counter and centralized stock lending markets pp. 31-53

Zsuzsa R. Huszár and Melissa Porras Prado

Do upgrades matter? Evidence from trading volume pp. 54-77

Jonathan Brogaard, Jennifer Koski and Andrew F. Siegel

Good and bad volatility spillovers: An asymmetric connectedness pp. 78-95

Ahmed BenSaïda

Excess comovement in credit default swap markets: Evidence from the CDX indices pp. 96-120

Lara Cathcart, Lina El-Jahel, Leo Evans and Yining Shi

Implied volatility and investor beliefs in experimental asset markets pp. 121-136

Lucy Ackert, Brian D. Kluger and Li Qi

Volume 42, issue C, 2019

Short-term trading skill: An analysis of investor heterogeneity and execution quality pp. 1-28

Mehmet Sağlam, Ciamac C. Moallemi and Michael G. Sotiropoulos

Intraday information from S&P 500 Index futures options pp. 29-55

Kian Guan Lim, Ying Chen and Nelson K.L. Yap

Who trades on momentum? pp. 56-74

Markus Baltzer, Stephan Jank and Esad Smajlbegovic

Informed contrarian trades and stock returns pp. 75-93

Sanders Chang and F. Albert Wang

The convergence and divergence of investors' opinions around earnings news: Evidence from a social network pp. 94-120

Robert Giannini, Paul Irvine and Tao Shu

Financial sector bailouts, sovereign bailouts, and the transfer of credit risk pp. 121-142

Matthew Greenwood-Nimmo, Jingong Huang and Viet Hoang Nguyen

Volume 41, issue C, 2018

The maximum bid-ask spread pp. 1-16

Benjamin Blau, Todd Griffith and Ryan J. Whitby

The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ pp. 17-35

Viet Dang, David Michayluk and Thu Phuong Pham

Do leveraged ETFs really amplify late-day returns and volatility? pp. 36-56

Ivan T. Ivanov and Stephen L. Lenkey

Journalist disagreement pp. 57-76

Alexander Hillert, Heiko Jacobs and Sebastian Müller

The MAX effect: Lottery stocks with price limits and limits to arbitrage pp. 77-91

Weifeng Hung and J. Jimmy Yang

When are extreme daily returns not lottery? At earnings announcements! pp. 92-116

Harvey Nguyen and Cameron Truong