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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The cross-section of speculator skill: Evidence from day trading pp. 1-24: Brad Barber, Yi-Tsung Lee, Yu-Jane Liu and Terrance Odean
Hedging costs, liquidity, and inventory management: The evidence from option market makers pp. 25-48: Wei-Shao Wu, Yu-Jane Liu, Yi-Tsung Lee and Robert C.W. Fok
Ambiguity aversion, funding liquidity, and liquidation dynamics pp. 49-76: Ji Yeol Jimmy Oh
Option pricing with stochastic liquidity risk: Theory and evidence pp. 77-95: Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei Wang
Delta and vega exposure trading in stock and option markets pp. 96-125: Hilda Maraachlian and Thomas Rourke
Financial networks and trading in bond markets pp. 126-157: G. Geoffrey Booth, Umit Gurun and Harold Zhang
The intertemporal risk-return relation: A bivariate model approach pp. 158-181: Xiaoquan Jiang and Bong-Soo Lee
Informed trading around acquisitions: Evidence from corporate bonds pp. 182-205: Simi Kedia and Xing Zhou
Investor sentiment and bond risk premia pp. 206-233: Ricardo Laborda and Jose Olmo
When do stop-loss rules stop losses? pp. 234-254: Kathryn M. Kaminski and Andrew Lo

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

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

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

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

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

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

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