Journal of Financial Markets

1998 - 2025

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

From Elsevier
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Effects of lit and dark market fragmentation on liquidity pp. 1-20: Carole Gresse
Price discovery in equity and CDS markets pp. 21-46: Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong
The relationship between equity and bond returns: An empirical investigation pp. 47-64: Amer Demirovic, Cherif Guermat and Jon Tucker
Teaming up and quiet intervention: The impact of institutional investors on executive compensation policies pp. 65-83: Mieszko Mazur and Galla Salganik-Shoshan
Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street? pp. 84-103: Michael Donadelli, Renatas Kizys and Max Riedel
When chasing the offender hurts the victim: The case of insider legislation pp. 104-129: Stefan Palan and Thomas Stöckl

Lockstep in liquidity: Common dealers and co-movement in bond liquidity pp. 1-21: Stefan Gissler
The determinants and pricing of liquidity commonality around the world pp. 22-41: Fariborz Moshirian, Xiaolin Qian, Claudia Koon Ghee Wee and Bohui Zhang
Liquidity measures throughout the lifetime of the U.S. Treasury bond pp. 42-74: Antonio Díaz and Ana Escribano
Short selling around the 52-week and historical highs pp. 75-101: Eunju Lee and Natalia Piqueira
Short on drugs: Short selling during the drug development process pp. 102-123: Henk Berkman and Marco Eugster
Short selling and the pricing of closed-end funds pp. 124-142: Gordon Alexander and Mark A. Peterson

Understanding transactions prices in the credit default swaps market pp. 1-27: Dragon Yongjun Tang and Hong Yan
Intraday price discovery in fragmented markets pp. 28-48: Sait Ozturk, Michel van der Wel and Dick van Dijk
Multiple markets, algorithmic trading, and market liquidity pp. 49-68: James Upson and Robert A. Van Ness
Cross-sectional factor dynamics and momentum returns pp. 69-96: Doron Avramov and Satadru Hore
Limited participation under ambiguity of correlation pp. 97-143: Helen Hui Huang, Shunming Zhang and Wei Zhu

Does high-frequency trading increase systemic risk? pp. 1-24: Pankaj K. Jain, Pawan Jain and Thomas McInish
The total benefit of alternative assets to pension fund portfolios pp. 25-42: Jens Carsten Jackwerth and Anna Slavutskaya
Risk and return spillovers among the G10 currencies pp. 43-62: Matthew Greenwood-Nimmo, Viet Hoang Nguyen and Barry Rafferty
What׳s a name worth? The impact of a likeable stock ticker symbol on firm value pp. 63-80: Xuejing Xing, Randy I. Anderson and Yan Hu
The determinants of IPO-related shareholder litigation: The role of CEO equity incentives and corporate governance pp. 81-126: Xingli Li, Kuntara Pukthuanthong, Marcus Glenn Walker and Thomas John Walker

Network externalities in mutual funds pp. 1-26: Jesse Blocher
Liquidity, style investing and excess comovement of exchange-traded fund returns pp. 27-53: Markus S. Broman
Price discovery and the cross-section of high-frequency trading pp. 54-77: Evangelos Benos and Satchit Sagade
Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions pp. 78-102: Kristian Rydqvist and Mark Wu
Time series momentum and volatility scaling pp. 103-124: Abby Y. Kim, Yiuman Tse and John K. Wald

Does mood affect trading behavior? pp. 1-26: Markku Kaustia and Elias Rantapuska
Limited cognition and clustered asset prices: Evidence from betting markets pp. 27-46: Alasdair Brown and Fuyu Yang
What explains the orange juice puzzle: Sentiment, smart money, or fundamentals? pp. 47-65: Pin-Huang Chou, Chia-Hsun Hsieh and Carl Hsin-Han Shen
Return predictability in the corporate bond market along the supply chain pp. 66-86: Long Chen, Gaiyan Zhang and Weina Zhang
Cross-sectional return dispersion and the equity premium pp. 87-109: Paulo Maio
Earnings news, expected earnings, and aggregate stock returns pp. 110-143: Jung Ho Choi, Alon Kalay and Gil Sadka

Market quality breakdowns in equities pp. 1-23: Cheng Gao and Bruce Mizrach
Market size matters: A model of excess volatility in large markets pp. 24-45: Kei Kawakami
Pricing errors and the geography of trade in the foreign exchange market pp. 46-69: Louis R. Piccotti
Liquidity cost vs. real investment efficiency pp. 70-90: Marco Bade and Hans Hirth
Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders pp. 91-115: Arie E. Gozluklu
The value of the wildcard option in cash-settled American index options pp. 116-131: Dennis J. Lasser and Joshua D. Spizman
On variance bounds for asset price changes pp. 132-148: Kevin Lansing

Reducing opacity in over-the-counter markets pp. 1-27: Zhuo Zhong
Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it? pp. 28-54: Numan Ülkü, Sabutay Fatullayev and Daria Diachenko
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers pp. 55-78: Jozef Baruník, Evžen Kočenda and Lukas Vacha
Is there information leakage prior to share repurchase announcements? Evidence from daily options trading pp. 79-101: Hao, (Grace) Qing
Dissecting the bond profitability premium pp. 102-131: T. Colin Campbell, Doina C. Chichernea and Alex Petkevich
Trading activities of short-sellers around index deletions: Evidence from the Nikkei 225 pp. 132-146: Hidetomo Takahashi and Peng Xu

Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? pp. 1-37: Alejandro Bernales and Massimo Guidolin
Volatility-of-volatility and tail risk hedging returns pp. 38-63: Yang-Ho Park
Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach pp. 64-84: Fredj Jawadi, Waël Louhichi and Abdoulkarim Idi Cheffou
Short sales and the weekend effect—Evidence from a natural experiment pp. 85-102: Pengjie Gao, Jia Hao, Ivalina Kalcheva and Tongshu Ma
Informed trading in parallel bond markets pp. 103-121: Paola Paiardini