Journal of Financial Markets

1998 - 2025

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

From Elsevier
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Volume 5, issue 4, 2002

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

Volume 5, issue 3, 2002

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)

Volume 5, issue 2, 2002

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

Volume 5, issue 1, 2002

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

Volume 4, issue 4, 2001

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

Volume 4, issue 3, 2001

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

Volume 4, issue 2, 2001

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

Volume 4, issue 1, 2001

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

Volume 3, issue 4, 2000

Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets pp. 333-363

Erik Theissen

Investor risk evaluation in the determination of management incentives in the mutual fund industry pp. 365-387

Michael Berkowitz and Yehuda Kotowitz

Market liquidity and depth on two different electronic trading systems: A comparison of Bund futures trading on the APT and DTB pp. 389-402

Jari Kappi and Risto Siivonen

Volume 3, issue 3, 2000

Market microstructure: A survey pp. 205-258

Ananth Madhavan

On the occurrence and consequences of inaccurate trade classification pp. 259-286

Elizabeth R. Odders-White

On the endogeneity of trading arrangements pp. 287-314

Andrei Kirilenko

Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand pp. 315-332

Kenneth Kim and Piman Limpaphayom

Volume 3, issue 2, 2000

Inferring investor behavior: Evidence from TORQ data pp. 83-111

Charles Lee and Balkrishna Radhakrishna

Underreactions, overreactions and moderated confidence pp. 113-137

Robert Bloomfield, Robert Libby and Mark W. Nelson

The trades of NYSE floor brokers pp. 139-176

George Sofianos and Ingrid M. Werner

The determinants of trading volume of high-yield corporate bonds pp. 177-204

Gordon Alexander, Amy Edwards and Michael G. Ferri

Volume 3, issue 1, 2000

The price impact of trading on the stock exchange of Hong Kong pp. 1-16

Yue-Cheong Chan

Asset market equilibrium with general tastes, returns, and informational asymmetries pp. 17-43

Antonio E. Bernardo and Kenneth Judd

Stock returns and trading at the close pp. 45-67

David Cushing and Ananth Madhavan

The capital asset pricing model and the liquidity effect: A theoretical approach pp. 69-81

Gady Jacoby, David J. Fowler and Aron A. Gottesman

Volume 2, issue 4, 1999

The organization of financial exchange markets: Theory and evidence pp. 329-357

Craig Pirrong

Stock market dynamics with rational liquidity traders pp. 359-389

Nadia Massoud and Dan Bernhardt

Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows pp. 391-402

L. Franklin Fant

Security factors as linear combinations of economic variables pp. 403-432

Guofu Zhou

Volume 2, issue 3, 1999

Intra-day market activity pp. 193-226

Christian Gourieroux, Joann Jasiak and Gaelle Le Fol

Reputation and performance fee effects on portfolio choice by investment advisers1 pp. 227-271

Steven Huddart

Endogenous informed trading in the presence of trading costs: Theory and evidence pp. 273-305

Jin-Wan Cho, Jhinyoung Shin and Rajdeep Singh

The risk level discriminatory power of mutual fund investment objectives: Additional evidence pp. 307-328

Mohammad Najand and Larry J. Prather

Volume 2, issue 2, 1999

Order flow composition and trading costs in a dynamic limit order market1 pp. 99-134

Thierry Foucault

A new measure of the direction and timing of information flow between markets1 pp. 135-151

Thomas J. Finucane

Learning from others, reacting, and market quality1 pp. 153-178

Rajesh Chakrabarti and Richard Roll

Explaining the intra-day variation in the bid-ask spread in competitive dealership markets - A research note 1 pp. 179-191

Eric J. Levin and Robert Wright

Volume 2, issue 1, 1999

Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1 pp. 1-28

Joel Hasbrouck

Market depth and order size1 pp. 29-48

Alexander Kempf and Olaf Korn

The alpha factor asset pricing model: A parable pp. 49-68

Wayne E. Ferson, Sergei Sarkissian and Timothy Simin

To believe or not to believe1 pp. 69-98

Utpal Bhattacharya and Murugappa Krishnan