Journal of Financial Markets

1998 - 2026

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange pp. 1-16: Kjell Jørgensen, Johannes Skjeltorp and Bernt Ødegaard
Market volatility and stock returns: The role of liquidity providers pp. 17-34: Kee H. Chung and Chairat Chuwonganant
Intraday momentum in FX markets: Disentangling informed trading from liquidity provision pp. 35-51: Gert Elaut, Michael Frömmel and Kevin Lampaert
Inflation and equity mutual fund flows pp. 52-69: Srinivasan Krishnamurthy, Denis Pelletier and Richard S. Warr
What options to trade and when: Evidence from seasoned equity offerings pp. 70-96: Donghan Kim, Jun Sik Kim and Sung Won Seo
Do co-jumps impact correlations in currency markets? pp. 97-119: Jozef Baruník and Lukas Vacha
Evolution of historical prices in momentum investing pp. 120-135: Li-Wen Chen, Hsin-Yi Yu and Wen-Kai Wang

Permanent price impact asymmetry of trades with institutional constraints pp. 1-16: Chiraphol Chiyachantana, Pankaj K. Jain, Christine Jiang and Vivek Sharma
The market for lemmings: The herding behavior of pension funds pp. 17-39: David Blake, Lucio Sarno and Gabriele Zinna
Institutional trading before dividend reduction announcements pp. 40-55: Darren Henry, Lily Nguyen and Viet Hung Pham
Equity premium prediction: The role of economic and statistical constraints pp. 56-75: Jiahan Li and Ilias Tsiakas
Macroeconomic risk and seasonality in momentum profits pp. 76-90: Xiuqing Ji, J. Spencer Martin and Yaqiong Yao
The impact of central clearing on banks’ lending discipline pp. 91-114: Maik Arnold
On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment pp. 115-131: Jianlei Han and Zheyao Pan

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