Journal of Financial Markets

1998 - 2025

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

From Elsevier
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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

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

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

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)

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

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

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

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

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