Economics at your fingertips  

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 ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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
Page updated 2022-01-19