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Journal of Financial Markets

1998 - 2021

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

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

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Volume 6, issue 4, 2003

Quote setting and price formation in an order driven market pp. 461-489 Downloads
Puneet Handa, Robert Schwartz and Ashish Tiwari
The Toronto Stock Exchange preopening session pp. 491-516 Downloads
Ryan Davies
Traders' choice between limit and market orders: evidence from NYSE stocks pp. 517-538 Downloads
Kee-Hong Bae, Hasung Jang and Kyung Suh Park
Specialist participation and limit orders pp. 539-571 Downloads
Oleg Bondarenko and Jaeyoung Sung
Local parametric analysis of derivatives pricing and hedging pp. 573-605 Downloads
Peter Bossaerts and Pierre Hillion
Market structure and diversification of mutual funds pp. 607-624 Downloads
Oz Shy and Rune Stenbacka

Volume 6, issue 3, 2003

What we measure in execution cost measurement pp. 227-231 Downloads
Bruce N. Lehmann
Issues in assessing trade execution costs pp. 233-257 Downloads
Hendrik Bessembinder
Evaluation of the biases in execution cost estimation using trade and quote data pp. 259-280 Downloads
Mark Peterson and Erik Sirri
Quantifying market order execution quality at the New York stock exchange pp. 281-307 Downloads
Jeffrey Bacidore, Katharine Ross and George Sofianos
NYSE order flow, spreads, and information pp. 309-335 Downloads
Ingrid M. Werner
Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange pp. 337-362 Downloads
Jeffrey Bacidore, Robert H. Battalio and Robert H. Jennings
Intra-industry momentum: the case of REITs pp. 363-387 Downloads
Andy C. W. Chui, Sheridan Titman and K. C. John Wei
Firm-level return dispersion and the future volatility of aggregate stock market returns pp. 389-411 Downloads
Christopher T. Stivers

Volume 6, issue 2, 2003

Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market pp. 99-141 Downloads
Massimo Massa and Andrei Simonov
All else equal?: a multidimensional analysis of retail, market order execution quality pp. 143-162 Downloads
Robert Battalio, Brian Hatch and Robert Jennings
Evolution, efficiency and noise traders in a one-sided auction market pp. 163-197 Downloads
Guo Ying Luo
Speculating against an overconfident market pp. 199-225 Downloads
Jordi Caballe and József Sákovics

Volume 6, issue 1, 2003

Excess demand and equilibration in multi-security financial markets: the empirical evidence pp. 1-21 Downloads
Elena Asparouhova, Peter Bossaerts and Charles Plott
Information dissemination by insiders in equilibrium pp. 23-47 Downloads
Carolyn B. Levine and Michael J. Smith
Who makes markets pp. 49-72 Downloads
Paul Schultz
The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year pp. 73-98 Downloads
Ranjan D'Mello, Stephen P. Ferris and Chuan Yang Hwang

Volume 5, issue 4, 2002

Tick size and quote revisions on the NYSE pp. 391-410 Downloads
Kee H. Chung and Chairat Chuwonganant
Price clustering in foreign exchange spot markets pp. 411-417 Downloads
Ben J. Sopranzetti and Vinay Datar
Strategic trading and learning about liquidity pp. 419-450 Downloads
Harrison Hong and Sven Rady
Insider trading and risk aversion pp. 451-464 Downloads
Shmuel Baruch

Volume 5, issue 3, 2002

Some desiderata for the measurement of price discovery across markets pp. 259-276 Downloads
Bruce N. Lehmann
Security price adjustment across exchanges: an investigation of common factor components for Dow stocks pp. 277-308 Downloads
Frederick H. deB. Harris, Thomas McInish and Robert A. Wood
Price discovery and common factor models pp. 309-321 Downloads
Richard Baillie, G. Geoffrey Booth, Yiuman Tse and Tatyana Zabotina
Measures of contributions to price discovery: a comparison pp. 323-327 Downloads
Frank de Jong
Stalking the "efficient price" in market microstructure specifications: an overview pp. 329-339 Downloads
Joel Hasbrouck
Common factor components versus information shares: a reply pp. 341-348 Downloads
Frederick H. deB. Harris, Thomas McInish and Robert A. Wood
Incentives for voluntary disclosure pp. 349-390 Downloads
Joshua Ronen and Yaari, Varda (Lewinstein)

Volume 5, issue 2, 2002

Market architecture: limit-order books versus dealership markets pp. 127-167 Downloads
S Viswanathan and James J. D. Wang
Depth improvement and adjusted price improvement on the New York stock exchange pp. 169-195 Downloads
Jeffrey M. Bacidore, Robert H. Battalio and Robert H. Jennings
Optimal slice of a VWAP trade pp. 197-221 Downloads
Hizuru Konishi
The impact of the Federal Reserve Bank's open market operations pp. 223-257 Downloads
Campbell Harvey and Roger D. Huang

Volume 5, issue 1, 2002

East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis pp. 1-30 Downloads
Rajesh Chakrabarti and Richard Roll
Illiquidity and stock returns: cross-section and time-series effects pp. 31-56 Downloads
Yakov Amihud
Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York pp. 57-82 Downloads
Erik C. J. Hupperets and Albert Menkveld
Can splits create market liquidity? Theory and evidence pp. 83-125 Downloads
V. Ravi Anshuman and Avner Kalay

Volume 4, issue 4, 2001

Incentives for voluntary disclosure pp. 309-357 Downloads
Joshua Ronen and Yaari, Varda (Lewinstein)
Volatility and market structure pp. 359-384 Downloads
Kenneth A. Kavajecz and Elizabeth R. Odders-White
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets pp. 385-412 Downloads
Joachim Grammig, Dirk Schiereck and Erik Theissen

Volume 4, issue 3, 2001

Market microstructure and securities values:: Evidence from the Paris Bourse pp. 209-229 Downloads
Chris J. Muscarella and Michael S. Piwowar
'Teenies' anyone? pp. 231-260 Downloads
Tavy Ronen and Daniel G. Weaver
Swimming against the tides:: The case of Aeroflex move from NYSE to Nasdaq pp. 261-267 Downloads
Avner Kalay and Evgenia Portniaguina
Competing market makers, liquidity provision, and bid-ask spreads pp. 269-308 Downloads
Oleg Bondarenko

Volume 4, issue 2, 2001

Predicting VNET: A model of the dynamics of market depth pp. 113-142 Downloads
Robert Engle and Joe Lange
Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks pp. 143-161 Downloads
Kee H. Chung and Robert A. Van Ness
Volatility, autocorrelations, and trading activity after stock splits pp. 163-184 Downloads
Avraham Kamara and Jennifer Koski
An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior pp. 185-208 Downloads
Lucy Ackert, Bryan Church and Narayanan Jayaraman

Volume 4, issue 1, 2001

A new historical database for the NYSE 1815 to 1925: Performance and predictability pp. 1-32 Downloads
William Goetzmann, Roger G. Ibbotson and Liang Peng
A simple model of payment for order flow, internalization, and total trading cost pp. 33-71 Downloads
Robert Battalio and Craig W. Holden
On the survival of overconfident traders in a competitive securities market pp. 73-84 Downloads
David Hirshleifer and Guo Ying Luo
The potential for clientele pricing when making markets in financial securities pp. 85-112 Downloads
Robert Battalio, Robert Jennings and Jamie Selway
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