Journal of Financial Markets

1998 - 2025

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

From Elsevier
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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

A dynamic model of hedging and speculation in the commodity futures markets pp. 1-15: Giulio Cifarelli and Giovanna Paladino
Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market pp. 16-32: Jason P. Berkowitz, Craig Depken and John M. Gandar
Equity volatility as a determinant of future term-structure volatility pp. 33-51: Naresh Bansal, Robert Connolly and Chris Stivers
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm pp. 52-79: Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko

Frontier market transaction costs and diversification pp. 1-24: Ben Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Relative liquidity and future volatility pp. 25-48: Marcela Valenzuela, Ilknur Zer, Piotr Fryzlewicz and Thorsten Rheinländer
Asymmetric effects of sell-side analyst optimism and broker market share by clientele pp. 49-65: Andrew Grant, Elvis Jarnecic and Mark Su
Trading price jump clusters in foreign exchange markets pp. 66-92: Jan Novotný, Dmitri Petrov and Giovanni Urga

Style representation and portfolio choice pp. 1-25: Massimo Massa, Andrei Simonov and Anders Stenkrona
Options market makers׳ hedging and informed trading: Theory and evidence pp. 26-58: Sahn-Wook Huh, Hao Lin and Antonio S. Mello
Sentiment bubbles pp. 59-74: David Berger and Harry J. Turtle
On the determinants of pairs trading profitability pp. 75-97: Heiko Jacobs and Martin Weber

Cross-listings and liquidity commonality around the world pp. 1-26: Tung Dang, Fariborz Moshirian, Claudia Koon Ghee Wee and Bohui Zhang
The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X pp. 27-49: Peng William He, Elvis Jarnecic and Yubo Liu
Equity hedging and exchange rates at the London 4p.m. fix pp. 50-72: Michael Melvin and John Prins
Intermediated investment management in private markets: Evidence from pension fund investments in real estate pp. 73-103: Aleksandar Andonov, Piet Eichholtz and Nils Kok