Journal of Financial Markets

1998 - 2021

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

From Elsevier
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Volume 6, issue 4, 2003

Quote setting and price formation in an order driven market pp. 461-489

Puneet Handa, Robert Schwartz and Ashish Tiwari

The Toronto Stock Exchange preopening session pp. 491-516

Ryan Davies

Traders' choice between limit and market orders: evidence from NYSE stocks pp. 517-538

Kee-Hong Bae, Hasung Jang and Kyung Suh Park

Specialist participation and limit orders pp. 539-571

Oleg Bondarenko and Jaeyoung Sung

Local parametric analysis of derivatives pricing and hedging pp. 573-605

Peter Bossaerts and Pierre Hillion

Market structure and diversification of mutual funds pp. 607-624

Oz Shy and Rune Stenbacka

Volume 6, issue 3, 2003

What we measure in execution cost measurement pp. 227-231

Bruce N. Lehmann

Issues in assessing trade execution costs pp. 233-257

Hendrik Bessembinder

Evaluation of the biases in execution cost estimation using trade and quote data pp. 259-280

Mark Peterson and Erik Sirri

Quantifying market order execution quality at the New York stock exchange pp. 281-307

Jeffrey Bacidore, Katharine Ross and George Sofianos

NYSE order flow, spreads, and information pp. 309-335

Ingrid M. Werner

Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange pp. 337-362

Jeffrey Bacidore, Robert H. Battalio and Robert H. Jennings

Intra-industry momentum: the case of REITs pp. 363-387

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

Christopher T. Stivers

Volume 6, issue 2, 2003

Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market pp. 99-141

Massimo Massa and Andrei Simonov

All else equal?: a multidimensional analysis of retail, market order execution quality pp. 143-162

Robert Battalio, Brian Hatch and Robert Jennings

Evolution, efficiency and noise traders in a one-sided auction market pp. 163-197

Guo Ying Luo

Speculating against an overconfident market pp. 199-225

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

Elena Asparouhova, Peter Bossaerts and Charles Plott

Information dissemination by insiders in equilibrium pp. 23-47

Carolyn B. Levine and Michael J. Smith

Who makes markets pp. 49-72

Paul Schultz

The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year pp. 73-98

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

Kee H. Chung and Chairat Chuwonganant

Price clustering in foreign exchange spot markets pp. 411-417

Ben J. Sopranzetti and Vinay Datar

Strategic trading and learning about liquidity pp. 419-450

Harrison Hong and Sven Rady

Insider trading and risk aversion pp. 451-464

Shmuel Baruch

Volume 5, issue 3, 2002

Some desiderata for the measurement of price discovery across markets pp. 259-276

Bruce N. Lehmann

Security price adjustment across exchanges: an investigation of common factor components for Dow stocks pp. 277-308

Frederick H. deB. Harris, Thomas McInish and Robert A. Wood

Price discovery and common factor models pp. 309-321

Richard Baillie, G. Geoffrey Booth, Yiuman Tse and Tatyana Zabotina

Measures of contributions to price discovery: a comparison pp. 323-327

Frank de Jong

Stalking the "efficient price" in market microstructure specifications: an overview pp. 329-339

Joel Hasbrouck

Common factor components versus information shares: a reply pp. 341-348

Frederick H. deB. Harris, Thomas McInish and Robert A. Wood

Incentives for voluntary disclosure pp. 349-390

Joshua Ronen and Yaari, Varda (Lewinstein)

Volume 5, issue 2, 2002

Market architecture: limit-order books versus dealership markets pp. 127-167

S Viswanathan and James J. D. Wang

Depth improvement and adjusted price improvement on the New York stock exchange pp. 169-195

Jeffrey M. Bacidore, Robert H. Battalio and Robert H. Jennings

Optimal slice of a VWAP trade pp. 197-221

Hizuru Konishi

The impact of the Federal Reserve Bank's open market operations pp. 223-257

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

Rajesh Chakrabarti and Richard Roll

Illiquidity and stock returns: cross-section and time-series effects pp. 31-56

Yakov Amihud

Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York pp. 57-82

Erik C. J. Hupperets and Albert Menkveld

Can splits create market liquidity? Theory and evidence pp. 83-125

V. Ravi Anshuman and Avner Kalay

Volume 4, issue 4, 2001

Incentives for voluntary disclosure pp. 309-357

Joshua Ronen and Yaari, Varda (Lewinstein)

Volatility and market structure pp. 359-384

Kenneth A. Kavajecz and Elizabeth R. Odders-White

Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets pp. 385-412

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

Chris J. Muscarella and Michael S. Piwowar

'Teenies' anyone? pp. 231-260

Tavy Ronen and Daniel G. Weaver

Swimming against the tides:: The case of Aeroflex move from NYSE to Nasdaq pp. 261-267

Avner Kalay and Evgenia Portniaguina

Competing market makers, liquidity provision, and bid-ask spreads pp. 269-308

Oleg Bondarenko

Volume 4, issue 2, 2001

Predicting VNET: A model of the dynamics of market depth pp. 113-142

Robert Engle and Joe Lange

Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks pp. 143-161

Kee H. Chung and Robert A. Van Ness

Volatility, autocorrelations, and trading activity after stock splits pp. 163-184

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

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

William Goetzmann, Roger G. Ibbotson and Liang Peng

A simple model of payment for order flow, internalization, and total trading cost pp. 33-71

Robert Battalio and Craig W. Holden

On the survival of overconfident traders in a competitive securities market pp. 73-84

David Hirshleifer and Guo Ying Luo

The potential for clientele pricing when making markets in financial securities pp. 85-112

Robert Battalio, Robert Jennings and Jamie Selway