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Journal of Financial Markets

1998 - 2021

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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Volume 49, issue C, 2020

Microstructure invariance in U.S. stock market trades Downloads
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
Biased short: Short sellers' disposition effect and limits to arbitrage Downloads
Bastian von Beschwitz and Massimo Massa
Trust and delegation: A case to consider on broker rebates and investor sophistication Downloads
Mor M. Haziza and Avner Kalay
Call of duty: Designated market maker participation in call auctions Downloads
Erik Theissen and Christian Westheide
Risk premium spillovers among stock markets: Evidence from higher-order moments Downloads
Marinela Adriana Finta and Sofiane Aboura
Google search volume and individual investor trading Downloads
Dimitrios Kostopoulos, Steffen Meyer and Charline Uhr

Volume 48, issue C, 2020

Volatility-of-volatility and the cross-section of option returns Downloads
Xinfeng Ruan
The leverage ratio and liquidity in the gilt and gilt repo markets Downloads
Andreea Bicu-Lieb, Louisa Chen and David Elliott
Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes Downloads
Haim Kedar-Levy
Tales of tails: Jumps in currency markets Downloads
Suzanne S. Lee and Minho Wang
Credit default swaps and market information Downloads
Hiroshi Osano
Expected issuance fees and market liquidity Downloads
Boyd Buis, Mary Pieterse-Bloem, Willem Verschoor and Remco Zwinkels

Volume 47, issue C, 2020

Trading aggressiveness and market efficiency Downloads
Olga Klein
The memory of stock return volatility: Asset pricing implications Downloads
Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen
Too much of a good thing? Speculative effects on commodity futures curves Downloads
Sophie van Huellen
Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model Downloads
Kristyna Ters and Jörg Urban
Price discovery in stock and options markets Downloads
Vinay Patel, Talis Putnins, David Michayluk and Sean Foley
The network nature of over-the-counter interest rates Downloads
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 Downloads
George Kapetanios, Eirini Konstantinidi, Michael Neumann and George Skiadopoulos
Market anomalies and disaster risk: Evidence from extreme weather events Downloads
Matthew G. Lanfear, Abraham Lioui and Mark G. Siebert
A state-space modeling of the information content of trading volume Downloads
Khaladdin Rzayev and Gbenga Ibikunle
The information content of short-term options Downloads
Ioannis Oikonomou, Andrei Stancu, Lazaros Symeonidis and Chardin Wese Simen
How much do investors trade because of name/ticker confusion? Downloads
Vadim S. Balashov and Andrei Nikiforov
Short selling and market anomalies Downloads
Wu, Juan (Julie) and Zhang, Jianzhong (Andrew)

Volume 45, issue C, 2019

Make-take decisions under high-frequency trading competition pp. 1-18 Downloads
Alejandro Bernales
Disposition sales and stock market liquidity pp. 19-36 Downloads
Darwin Choi
How rigged are stock markets? Evidence from microsecond timestamps pp. 37-60 Downloads
Robert P. Bartlett and Justin McCrary
The preholiday corporate announcement effect pp. 61-82 Downloads
Don M. Autore and Danling Jiang
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach pp. 83-114 Downloads
Massimo Guidolin, Erwin Hansen and Manuela Pedio
The long-term impact of sovereign wealth fund investments pp. 115-138 Downloads
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 Downloads
Ravi Sastry and Rex Thompson
Agreeing on disagreement: Heterogeneity or uncertainty? pp. 17-30 Downloads
Saskia ter Ellen, Willem Verschoor and Remco Zwinkels
Nominal stock price anchors: A global phenomenon? pp. 31-41 Downloads
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 Downloads
Yeguang Chi and Xiaoming Li
Extreme absolute strength of stocks and performance of momentum strategies pp. 71-90 Downloads
Xuebing Yang and Huilan Zhang
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section pp. 91-118 Downloads
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen

Volume 43, issue C, 2019

Fast and slow informed trading pp. 1-30 Downloads
Ioanid Roşu
An analysis of over-the-counter and centralized stock lending markets pp. 31-53 Downloads
Zsuzsa R. Huszár and Melissa Porras Prado
Do upgrades matter? Evidence from trading volume pp. 54-77 Downloads
Jonathan Brogaard, Jennifer Koski and Andrew F. Siegel
Good and bad volatility spillovers: An asymmetric connectedness pp. 78-95 Downloads
Ahmed BenSaïda
Excess comovement in credit default swap markets: Evidence from the CDX indices pp. 96-120 Downloads
Lara Cathcart, Lina El-Jahel, Leo Evans and Yining Shi
Implied volatility and investor beliefs in experimental asset markets pp. 121-136 Downloads
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 Downloads
Mehmet Sağlam, Ciamac C. Moallemi and Michael G. Sotiropoulos
Intraday information from S&P 500 Index futures options pp. 29-55 Downloads
Kian Guan Lim, Ying Chen and Nelson K.L. Yap
Who trades on momentum? pp. 56-74 Downloads
Markus Baltzer, Stephan Jank and Esad Smajlbegovic
Informed contrarian trades and stock returns pp. 75-93 Downloads
Sanders Chang and F. Albert Wang
The convergence and divergence of investors' opinions around earnings news: Evidence from a social network pp. 94-120 Downloads
Robert Giannini, Paul Irvine and Tao Shu
Financial sector bailouts, sovereign bailouts, and the transfer of credit risk pp. 121-142 Downloads
Matthew Greenwood-Nimmo, Jingong Huang and Viet Hoang Nguyen

Volume 41, issue C, 2018

The maximum bid-ask spread pp. 1-16 Downloads
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 Downloads
Viet Dang, David Michayluk and Thu Phuong Pham
Do leveraged ETFs really amplify late-day returns and volatility? pp. 36-56 Downloads
Ivan T. Ivanov and Stephen L. Lenkey
Journalist disagreement pp. 57-76 Downloads
Alexander Hillert, Heiko Jacobs and Sebastian Müller
The MAX effect: Lottery stocks with price limits and limits to arbitrage pp. 77-91 Downloads
Weifeng Hung and J. Jimmy Yang
When are extreme daily returns not lottery? At earnings announcements! pp. 92-116 Downloads
Harvey Nguyen and Cameron Truong
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