Journal of Financial Markets

1998 - 2025

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

From Elsevier
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Quote setting and price formation in an order driven market pp. 461-489: Puneet Handa, Robert Schwartz and Ashish Tiwari
The Toronto Stock Exchange preopening session pp. 491-516: Ryan Davies
Traders' choice between limit and market orders: evidence from NYSE stocks pp. 517-538: Kee-Hong Bae, Hasung Jang and Kyung Suh Park
Specialist participation and limit orders pp. 539-571: Oleg Bondarenko and Jaeyoung Sung
Local parametric analysis of derivatives pricing and hedging pp. 573-605: Peter Bossaerts and Pierre Hillion
Market structure and diversification of mutual funds pp. 607-624: Oz Shy and Rune Stenbacka

What we measure in execution cost measurement pp. 227-231: Bruce N. Lehmann
Issues in assessing trade execution costs pp. 233-257: Hendrik Bessembinder
Evaluation of the biases in execution cost estimation using trade and quote data pp. 259-280: Mark Peterson and Erik Sirri
Quantifying market order execution quality at the New York stock exchange pp. 281-307: Jeffrey Bacidore, Katharine Ross and George Sofianos
NYSE order flow, spreads, and information pp. 309-335: Ingrid M. Werner
Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange pp. 337-362: Jeffrey Bacidore, Robert H. Battalio and Robert H. Jennings
Intra-industry momentum: the case of REITs pp. 363-387: Andy C. W. Chui, Sheridan Titman and K. C. John Wei
Firm-level return dispersion and the future volatility of aggregate stock market returns pp. 389-411: Christopher T. Stivers

Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market pp. 99-141: Massimo Massa and Andrei Simonov
All else equal?: a multidimensional analysis of retail, market order execution quality pp. 143-162: Robert Battalio, Brian Hatch and Robert Jennings
Evolution, efficiency and noise traders in a one-sided auction market pp. 163-197: Guo Ying Luo
Speculating against an overconfident market pp. 199-225: Jordi Caballe and József Sákovics

Excess demand and equilibration in multi-security financial markets: the empirical evidence pp. 1-21: Elena Asparouhova, Peter Bossaerts and Charles Plott
Information dissemination by insiders in equilibrium pp. 23-47: Carolyn B. Levine and Michael J. Smith
Who makes markets pp. 49-72: Paul Schultz
The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year pp. 73-98: Ranjan D'Mello, Stephen P. Ferris and Chuan Yang Hwang

Tick size and quote revisions on the NYSE pp. 391-410: Kee H. Chung and Chairat Chuwonganant
Price clustering in foreign exchange spot markets pp. 411-417: Ben J. Sopranzetti and Vinay Datar
Strategic trading and learning about liquidity pp. 419-450: Harrison Hong and Sven Rady
Insider trading and risk aversion pp. 451-464: Shmuel Baruch

Some desiderata for the measurement of price discovery across markets pp. 259-276: Bruce N. Lehmann
Security price adjustment across exchanges: an investigation of common factor components for Dow stocks pp. 277-308: Frederick H. deB. Harris, Thomas McInish and Robert A. Wood
Price discovery and common factor models pp. 309-321: Richard Baillie, G. Geoffrey Booth, Yiuman Tse and Tatyana Zabotina
Measures of contributions to price discovery: a comparison pp. 323-327: Frank de Jong
Stalking the "efficient price" in market microstructure specifications: an overview pp. 329-339: Joel Hasbrouck
Common factor components versus information shares: a reply pp. 341-348: Frederick H. deB. Harris, Thomas McInish and Robert A. Wood
Incentives for voluntary disclosure pp. 349-390: Joshua Ronen and Yaari, Varda (Lewinstein)

Market architecture: limit-order books versus dealership markets pp. 127-167: S Viswanathan and James J. D. Wang
Depth improvement and adjusted price improvement on the New York stock exchange pp. 169-195: Jeffrey M. Bacidore, Robert H. Battalio and Robert H. Jennings
Optimal slice of a VWAP trade pp. 197-221: Hizuru Konishi
The impact of the Federal Reserve Bank's open market operations pp. 223-257: Campbell Harvey and Roger D. Huang

East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis pp. 1-30: Rajesh Chakrabarti and Richard Roll
Illiquidity and stock returns: cross-section and time-series effects pp. 31-56: Yakov Amihud
Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York pp. 57-82: Erik C. J. Hupperets and Albert Menkveld
Can splits create market liquidity? Theory and evidence pp. 83-125: V. Ravi Anshuman and Avner Kalay

Incentives for voluntary disclosure pp. 309-357: Joshua Ronen and Yaari, Varda (Lewinstein)
Volatility and market structure pp. 359-384: Kenneth A. Kavajecz and Elizabeth R. Odders-White
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets pp. 385-412: Joachim Grammig, Dirk Schiereck and Erik Theissen

Market microstructure and securities values:: Evidence from the Paris Bourse pp. 209-229: Chris J. Muscarella and Michael S. Piwowar
'Teenies' anyone? pp. 231-260: Tavy Ronen and Daniel G. Weaver
Swimming against the tides:: The case of Aeroflex move from NYSE to Nasdaq pp. 261-267: Avner Kalay and Evgenia Portniaguina
Competing market makers, liquidity provision, and bid-ask spreads pp. 269-308: Oleg Bondarenko

Predicting VNET: A model of the dynamics of market depth pp. 113-142: Robert Engle and Joe Lange
Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks pp. 143-161: Kee H. Chung and Robert A. Van Ness
Volatility, autocorrelations, and trading activity after stock splits pp. 163-184: Avraham Kamara and Jennifer Koski
An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior pp. 185-208: Lucy Ackert, Bryan Church and Narayanan Jayaraman

A new historical database for the NYSE 1815 to 1925: Performance and predictability pp. 1-32: William Goetzmann, Roger G. Ibbotson and Liang Peng
A simple model of payment for order flow, internalization, and total trading cost pp. 33-71: Robert Battalio and Craig W. Holden
On the survival of overconfident traders in a competitive securities market pp. 73-84: David Hirshleifer and Guo Ying Luo
The potential for clientele pricing when making markets in financial securities pp. 85-112: Robert Battalio, Robert Jennings and Jamie Selway