Journal of Financial Markets

1998 - 2025

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

From Elsevier
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Liquidity commonality and return co-movement pp. 351-376: Ian Domowitz, Oliver Hansch and Xiaoxin Wang
Duration, volume and volatility impact of trades pp. 377-399: Simone Manganelli
Did decimalization hurt institutional investors? pp. 400-420: Sugato Chakravarty, Venkatesh Panchapagesan and Robert A. Wood
Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong pp. 421-451: Hee-Joon Ahn, Jun Cai and Yan Leung Cheung

Should securities markets be transparent? pp. 265-287: Ananth Madhavan, David Porter and Daniel Weaver
Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders pp. 288-308: Amber Anand, Sugato Chakravarty and Terrence Martell
Firm-initiated and exchange-initiated transfers to continuous trading: Evidence from the Warsaw Stock Exchange pp. 309-323: Harald Henke and Beni Lauterbach
Dispersion of opinion and stock returns pp. 324-349: William Goetzmann and Massimo Massa

Stock valuation in dynamic economies pp. 111-151: Gurdip Bakshi and Zhiwu Chen
Time-varying informed and uninformed trading activities pp. 153-181: Qin Lei and Guojun Wu
Trade disclosure and price dispersion pp. 183-216: Maria-Angeles de Frutos and Carolina Manzano
Market microstructure: A survey of microfoundations, empirical results, and policy implications pp. 217-264: Bruno Biais, Larry Glosten and Chester Spatt

Trade-through prohibitions and market quality pp. 1-23: Terrence Hendershott and Charles Jones
The information content of the limit order book: evidence from NYSE specialist trading decisions pp. 25-67: Lawrence E. Harris and Venkatesh Panchapagesan
Price impacts of options volume pp. 69-87: Christian Schlag and Hans Stoll
International momentum strategies: a stochastic dominance approach pp. 89-109: Wai Mun Fong, Wing-Keung Wong and Hooi Hooi Lean

The manipulation of closing prices pp. 351-375: Pierre Hillion and Matti Suominen
Are share price levels informative? Evidence from the ownership, pricing, turnover and performance of IPO firms pp. 377-403: Chitru S. Fernando, Srinivasan Krishnamurthy and Paul A. Spindt
Can order exposure be mandated? pp. 405-426: Amber Anand and Daniel G. Weaver
Short sales, price pressure, and the stock price response to convertible bond calls pp. 427-451: Ken L. Bechmann

Value creating stock manipulation: feedback effect of stock prices on firm value pp. 237-270: Naveen Khanna and Ramana Sonti
Market liquidity as a sentiment indicator pp. 271-299: Malcolm Baker and Jeremy Stein
Trading strategies during circuit breakers and extreme market movements pp. 301-333: Michael Goldstein and Kenneth A. Kavajecz
The market microstructure and relative performance of Taiwan stock index futures: a comparison of the Singapore exchange and the Taiwan futures exchange pp. 335-350: Yu Chuan Huang

Microstructure with multiple assets: an experimental investigation into direct and indirect dealer competition pp. 117-143: Christopher G. Lamoureux and Charles R. Schnitzlein
Expandable limit order markets pp. 145-185: Leslie Boni and Chris Leach
Manipulation in market order models pp. 187-206: Archishman Chakraborty and Bilge Yilmaz
Market-wide impact of the disposition effect: evidence from IPO trading volume pp. 207-235: Markku Kaustia

Impacts of trades in an error-correction model of quote prices pp. 1-25: Robert Engle and Andrew Patton
Specialist performance and new listing allocations on the NYSE: an empirical analysis pp. 27-51: Shane A. Corwin
Order aggressiveness in limit order book markets pp. 53-74: Angelo Ranaldo
Determining security speed of adjustment coefficients pp. 75-96: Michael Theobald and Peter Yallup
Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending pp. 97-116: Craig H. Furfine

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