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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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

Trading anonymity and order anticipation pp. 1-24: Sylvain Friederich and Richard Payne
Macroeconomic uncertainty and the cross-section of option returns pp. 25-49: Sirio Aramonte
Who trades with whom? Individuals, institutions, and returns pp. 50-75: Noah Stoffman
Liquidity risk and institutional ownership pp. 76-97: Charles Cao and Lubomir Petrasek
High short interest effect and aggregate volatility risk pp. 98-122: Alexander Barinov and Wu, Juan (Julie)
Predictions of corporate bond excess returns pp. 123-152: Hai Lin, Junbo Wang and Chunchi Wu
Commodity index trading and hedging costs pp. 153-180: Celso Brunetti and David Reiffen

Risk-return trade-off and serial correlation: Do volume and volatility matter? pp. 1-19: Jyri Kinnunen
Exploiting stochastic dominance to generate abnormal stock returns pp. 20-38: Ephraim Clark and Konstantinos Kassimatis
On the relation between forecast precision and trading profitability of financial analysts pp. 39-60: Carlo Marinelli and Alex Weissensteiner
A comprehensive study of liquidity before and after SEOs and SEO underpricing pp. 61-78: Yan He, Junbo Wang and K.C. John Wei
Short sales and class-action lawsuits pp. 79-100: Benjamin Blau and Philip L. Tew
Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia pp. 101-128: Andrew Ainsworth and Adrian Lee
The relative contribution of ask and bid quotes to price discovery pp. 129-150: Roberto Pascual and Bartolomé Pascual-Fuster
Are trading imbalances indicative of private information? pp. 151-174: Sukwon Thomas Kim and Hans Stoll
The delta- and vega-related information content of near-the-money option market trading activity pp. 175-193: Thomas Rourke

Price impact and asset pricing pp. 1-38: Sahn-Wook Huh
Information disclosure and price discovery pp. 39-61: Ya Tang
How should individual investors diversify? An empirical evaluation of alternative asset allocation policies pp. 62-85: Heiko Jacobs, Sebastian Müller and Martin Weber
Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias pp. 86-109: Fearghal Kearney, Mark Cummins and Finbarr Murphy
Industry-based style investing pp. 110-130: Russell Jame and Qing Tong
Market conditions, underwriter reputation and first day return of IPOs pp. 131-153: Ansley Chua
Transparent bookbuilding, certification and initial public offerings pp. 154-169: Arif Khurshed, Stefano Paleari, Alok Pande and Silvio Vismara
When-issued trading in the Indian IPO market pp. 170-196: Raymond M. Brooks, Prem G. Mathew and J. Jimmy Yang
Investor ignorance in markets for worthless stocks pp. 197-218: Palani-Rajan Kadapakkam and Hongxian Zhang
Small investor sentiment, differences of opinion and stock overvaluation pp. 219-246: Xiaolin Qian