Journal of Financial Markets

1998 - 2025

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

From Elsevier
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Volume 17, issue C, 2014

VPIN and the flash crash pp. 1-46

Torben Andersen and Oleg Bondarenko

VPIN and the Flash Crash: A rejoinder pp. 47-52

David Easley, Marcos M. López de Prado and Maureen O'Hara

Reflecting on the VPIN dispute pp. 53-64

Torben Andersen and Oleg Bondarenko

Leveling the trading field pp. 65-93

David Easley, Terrence Hendershott and Tarun Ramadorai

A simple approximation of intraday spreads using daily data pp. 94-120

Kee H. Chung and Hao Zhang

Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks pp. 121-149

Kris Boudt and Mikael Petitjean

Price delay premium and liquidity risk pp. 150-173

Ji-Chai Lin, Ajai K. Singh, Sun, Ping-Wen (Steven) and Wen Yu

Market transparency, market quality, and sunshine trading pp. 174-198

Maria-Angeles de Frutos and Carolina Manzano

Aggregate short selling, commonality, and stock market returns pp. 199-229

Andrew Lynch, Biljana Nikolic, Yan, Xuemin (Sterling) and Han Yu

Informational linkages between dark and lit trading venues pp. 230-261

Mahendrarajah Nimalendran and Sugata Ray

Volume 16, issue 4, 2013

Low-latency trading pp. 646-679

Joel Hasbrouck and Gideon Saar

Very fast money: High-frequency trading on the NASDAQ pp. 680-711

Allen Carrion

High frequency trading and the new market makers pp. 712-740

Albert Menkveld

The diversity of high-frequency traders pp. 741-770

Björn Hagströmer and Lars Nordén

Volume 16, issue 3, 2013

Rational expectations equilibrium with uncertain proportion of informed traders pp. 387-413

Feng Gao, Fengming Song and Jun Wang

Stock price synchronicity and liquidity pp. 414-438

Kalok Chan, Allaudeen Hameed and Wenjin Kang

Investment opportunities and bankruptcy prediction pp. 439-476

Evgeny Lyandres and Alexei Zhdanov

Short-term residual reversal pp. 477-504

David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek

Informed local trading prior to earnings announcements pp. 505-525

Thomas Berry and Keith Jacks Gamble

Noise and aggregation of information in large markets pp. 526-549

Diego García and Branko Urošević

Patriotic name bias and stock returns pp. 550-570

Evangelos Benos and Marek Jochec

How do designated market makers create value for small-caps? pp. 571-603

Albert Menkveld and Ting Wang

Does order flow in the European Carbon Futures Market reveal information? pp. 604-635

Iordanis Kalaitzoglou and Boulis M. Ibrahim

Volume 16, issue 2, 2013

The options market maker exception to SEC Regulation SHO pp. 195-226

Thomas Stratmann and John W. Welborn

Microstructure-based manipulation: Strategic behavior and performance of spoofing traders pp. 227-252

Eun Jung Lee, Kyong Shik Eom and Kyung Suh Park

The realized forward term premium in the repo market pp. 253-278

Seth Kopchak

Do mutual fund managers time market liquidity? pp. 279-307

Charles Cao, Timothy T. Simin and Ying Wang

Short sales and put options: Where is the bad news first traded? pp. 308-330

Xiaoting Hao, Eunju Lee and Natalia Piqueira

A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market pp. 331-361

Michael S. Pagano, Lin Peng and Robert A. Schwartz

The intraday behavior of information misreaction across various categories of investors in the Taiwan options market pp. 362-385

Chuang-Chang Chang, Pei-Fang Hsieh, Chih-Wei Tang and Yaw-Huei Wang

Volume 16, issue 1, 2013

Optimal trading strategy and supply/demand dynamics pp. 1-32

Anna Obizhaeva and Jiang Wang

Investing in Chapter 11 stocks: Trading, value, and performance pp. 33-60

Yuanzhi Li and Zhaodong Zhong

Trade and information in the corporate bond market pp. 61-103

Tavy Ronen and Xing Zhou

Liquidity, volume and price efficiency: The impact of order vs. quote driven trading pp. 104-126

Katya Malinova and Andreas Park

Price discovery in government bond markets pp. 127-151

Siri Valseth

Can representativeness heuristic traders survive in a competitive securities market? pp. 152-164

Guo Ying Luo

Is warrant really a derivative? Evidence from the Chinese warrant market pp. 165-193

Eric C. Chang, Xingguo Luo, Lei Shi and Jin E. Zhang

Volume 15, issue 2, 2012

Order revelation at market openings pp. 127-150

Archishman Chakraborty, Michael S. Pagano and Robert A. Schwartz

Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008 pp. 151-180

Justin Birru and Stephen Figlewski

Do expected business conditions explain the value premium? pp. 181-206

Wai Mun Fong

Buy-side trades and sell-side recommendations: Interactions and information content pp. 207-232

Jeffrey A. Busse, T. Clifton Green and Narasimhan Jegadeesh

Stock option contract adjustments: The case of special dividends pp. 233-257

Kathryn Barraclough, Hans Stoll and Robert E. Whaley

Anything wrong with breaking a buck? An empirical evaluation of NASDAQ's $1 minimum bid price maintenance criterion pp. 258-285

S. Ghon Rhee and Feng Wu

Primary market characteristics and secondary market frictions of stocks pp. 286-327

Rodney Boehme and Gönül Çolak

Volume 15, issue 1, 2012

The information content of a limit order book: The case of an FX market pp. 1-28

Roman Kozhan and Mark Salmon

What does PIN identify? Evidence from the T-bill market pp. 29-46

Akay, Ozgur (Ozzy), Ken B. Cyree, Mark D. Griffiths and Drew B. Winters

An improved test for statistical arbitrage pp. 47-80

Robert Jarrow, Melvyn Teo, Yiu Kuen Tse and Mitch Warachka

The impact of naked short selling on the securities lending and equity market pp. 81-107

Steven Lecce, Andrew Lepone, Michael D. McKenzie and Reuben Segara

Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds pp. 108-125

Sean Flynn

Volume 14, issue 4, 2011

Information misweighting and the cross-section of stock recommendations pp. 515-539

Jose Vicente Martinez

Local market makers, liquidity and market quality pp. 540-567

Simi Kedia and Xing Zhou

Automation, speed, and stock market quality: The NYSE's Hybrid pp. 568-604

Terrence Hendershott and Pamela C. Moulton

Strategic trading by index funds and liquidity provision around S&P 500 index additions pp. 605-624

T. Clifton Green and Russell Jame

A computing bias in estimating the probability of informed trading pp. 625-640

Hsiou-Wei William Lin and Wen-Chyan Ke

Volume 14, issue 3, 2011

Carry trades, momentum trading and the forward premium anomaly pp. 441-464

Richard T. Baillie and Sanders Chang

The informational role of institutional investors and financial analysts in the market pp. 465-493

Wen-I Chuang and Bong-Soo Lee

Are momentum profits driven by the cross-sectional dispersion in expected stock returns? pp. 494-513

Ajay Bhootra

Volume 14, issue 2, 2011

Geographic proximity and price discovery: Evidence from NASDAQ pp. 193-226

Amber Anand, Vladimir A. Gatchev, Leonardo Madureira, Christo A. Pirinsky and Shane Underwood

Transparency matters: Price formation in the presence of order preferencing pp. 227-258

Laurence Lescourret and Christian Y. Robert

Stock price synchronicity and public firm-specificinformation pp. 259-276

Xuejing Xing and Randy Anderson

Capacity and factor timing effects in active portfoliomanagement pp. 277-300

Conrad Ciccotello, Jason Greene, Leng Ling and David Rakowski

Hedge fund return sensitivity to global liquidity pp. 301-322

Stephan Kessler and Bernd Scherer

Conventional mutual index funds versus exchange-traded funds pp. 323-343

Anna Agapova

Effects of foreign ownership on payout policy: Evidence from the Korean market pp. 344-375

Jin Q. Jeon, Cheolwoo Lee and Clay M. Moffett

Product market power and stock market liquidity pp. 376-410

Jayant R. Kale and Yee Cheng Loon

Patriotism in your portfolio pp. 411-440

Adair Morse and Sophie Shive

Volume 14, issue 1, 2011

What happened to the quants in August 2007? Evidence from factors and transactions data pp. 1-46

Amir E. Khandani and Andrew Lo

Order characteristics and the sources of commonality in prices and liquidity pp. 47-81

Shane A. Corwin and Marc L. Lipson

Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets pp. 82-108

Jianxin Wang and Minxian Yang

Why do only some Nasdaq firms switch to the NYSE? Evidence from corporate transactions pp. 109-126

Simi Kedia and Venkatesh Panchapagesan

Liquidity effect in OTC options markets: Premium or discount? pp. 127-160

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Relative valuation and analyst target price forecasts pp. 161-192

Zhi Da and Ernst Schaumburg