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Queuing and inventories in limit order markets 限购市场的排队和库存
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-09-01 Epub Date: 2025-04-30 DOI: 10.1016/j.finmar.2025.100982
Corey Garriott , Vincent van Kervel , Marius Zoican
{"title":"Queuing and inventories in limit order markets","authors":"Corey Garriott ,&nbsp;Vincent van Kervel ,&nbsp;Marius Zoican","doi":"10.1016/j.finmar.2025.100982","DOIUrl":"10.1016/j.finmar.2025.100982","url":null,"abstract":"<div><div>Limit order markets use a queuing system in which limit orders must wait in line to execute. We show that the queue position of a limit order influences its adverse selection risk and inhibits inventory risk management. Trade may worsen market maker risk sharing, unlike many protocols without queuing. We uncover a crowding-out effect: An inventory shock reduces liquidity provision by market makers later in the queue. Using futures data, we confirm both low risk sharing and the crowding-out effect. These two results imply a trade-off, as the queuing sequence that optimizes risk sharing decreases quoted depth up to 8.4%.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"75 ","pages":"Article 100982"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145005057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Faster than flying: High-speed rail, investors, and firms 比飞机还快：高铁、投资者和公司
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-09-01 Epub Date: 2025-04-24 DOI: 10.1016/j.finmar.2025.100984
Lu Qin , Don M. Autore , Danling Jiang , Hongquan Zhu
{"title":"Faster than flying: High-speed rail, investors, and firms","authors":"Lu Qin ,&nbsp;Don M. Autore ,&nbsp;Danling Jiang ,&nbsp;Hongquan Zhu","doi":"10.1016/j.finmar.2025.100984","DOIUrl":"10.1016/j.finmar.2025.100984","url":null,"abstract":"<div><div>We examine the impact of staggered high-speed rail (HSR) connection events between city pairs in China on retail investor behavior and stock market equilibrium outcomes. We find that HSR introductions between investor-firm city pairs promote intercity retail block purchases and cross-city web searches, and increase return comovement among firms in connected cities. Enhanced city connectivity is associated with improved firm valuation, increased turnover, better liquidity, and reduced prevalence of large trades. These effects tend to be driven by connected city pairs with a distance below 1,500 km, for which HSR is faster than flying.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"75 ","pages":"Article 100984"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145005059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stock exchanges as platforms for data and trading 证券交易所是数据和交易的平台
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-09-01 Epub Date: 2025-05-08 DOI: 10.1016/j.finmar.2025.100986
Terrence Hendershott , Marc Rysman , Rainer Schwabe
{"title":"Stock exchanges as platforms for data and trading","authors":"Terrence Hendershott ,&nbsp;Marc Rysman ,&nbsp;Rainer Schwabe","doi":"10.1016/j.finmar.2025.100986","DOIUrl":"10.1016/j.finmar.2025.100986","url":null,"abstract":"<div><div>We study linkages between stock exchanges' proprietary data sales and trading activity by analyzing the introduction of a new data product, the New York Stock Exchange's Integrated Feed (NYSE IF). Consistent with trading and data being complements, firms that subscribed to the NYSE IF increased their share of trading on the NYSE. In principle, firms subscribing to the NYSE IF could impose a negative externality on non-subscribing firms due to increased information asymmetry. However, consistent with information purchases having a positive network externality due to increased liquidity, non-subscribing firms also increased their share of trading on the NYSE.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"75 ","pages":"Article 100986"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145005058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal 投资者情绪与股票回报：群体智慧还是言语力量？《寻求阿尔法》和《华尔街日报》的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 Epub Date: 2025-03-03 DOI: 10.1016/j.finmar.2025.100970
Ioanna Lachana, David Schröder
{"title":"Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal","authors":"Ioanna Lachana,&nbsp;David Schröder","doi":"10.1016/j.finmar.2025.100970","DOIUrl":"10.1016/j.finmar.2025.100970","url":null,"abstract":"<div><div>In light of changes in the media landscape from traditional print towards social media, in this study we compare the ability of investor sentiment measures obtained from various media sources to predict short-term market returns. We show that investor sentiment extracted from the social media platform Seeking Alpha is better in predicting market returns than investor sentiment obtained from the <em>Wall Street Journal</em>, a traditional print medium. Seeking Alpha is more suitable for the extraction of investor sentiment due to the richer language and timeliness of online media.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100970"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Auction-based tests of inventory control and private information in a centralized interdealer FX market 集中交易商间外汇市场中基于拍卖的库存控制和私人信息测试
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 Epub Date: 2025-03-24 DOI: 10.1016/j.finmar.2025.100981
Pietro Bonaldi , Mauricio Villamizar-Villegas
{"title":"Auction-based tests of inventory control and private information in a centralized interdealer FX market","authors":"Pietro Bonaldi ,&nbsp;Mauricio Villamizar-Villegas","doi":"10.1016/j.finmar.2025.100981","DOIUrl":"10.1016/j.finmar.2025.100981","url":null,"abstract":"<div><div>This study examines how inventory control and private information affect trading prices and volumes in a centralized interdealer foreign exchange (FX) market. Using exogenous variation from FX auctions conducted by the Colombian Central Bank (2008–2014), we analyze settlement data from the COP/USD spot market before and after each auction. Comparing dealers with differing inventory and information shocks, we find that those with reduced inventories increase net USD purchases and pay higher prices post-auction.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100981"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates 重新审视波动性和价格影响的∪形模式：利用贸易时间估算得出的新结果
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 Epub Date: 2025-03-04 DOI: 10.1016/j.finmar.2025.100971
Yashar H. Barardehi , Dan Bernhardt
{"title":"Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates","authors":"Yashar H. Barardehi ,&nbsp;Dan Bernhardt","doi":"10.1016/j.finmar.2025.100971","DOIUrl":"10.1016/j.finmar.2025.100971","url":null,"abstract":"<div><div>When measured using trade-time aggregation, intraday patterns in trading activity remain <span><math><mo>∪</mo></math></span>-shaped, but estimates of volatility and Kyle’s lambda fall sharply from open to close. <span><math><mo>∪</mo></math></span>-shaped patterns in volatility and Kyle’s lambda found using commonly-used calendar-time aggregation reflect over-aggregation biases when trading activity is high as near the open and close. Indicative of imperfectly-competitive liquidity provision, trade-time aggregation also reveals that in active markets, expected trade imbalances are positively priced and unexpected trade imbalances are more strongly priced when they share the sign of expected imbalances, while in less active markets expected trade imbalances are negatively priced.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100971"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Speed competition and strategic trading 加速竞争和战略贸易
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 Epub Date: 2025-03-05 DOI: 10.1016/j.finmar.2025.100972
Xue-Zhong He , Junqing Kang
{"title":"Speed competition and strategic trading","authors":"Xue-Zhong He ,&nbsp;Junqing Kang","doi":"10.1016/j.finmar.2025.100972","DOIUrl":"10.1016/j.finmar.2025.100972","url":null,"abstract":"<div><div>Speed competition incentivizes fast traders to trade earlier and temporally fragments the price discovery process. Large traders internalize their price impact and screen trading aggressiveness to resolve the pre-trading uncertainty proportional to the number of traders. Therefore, price discovery in the late period depends on the number of slow traders and the amount of fundamental uncertainty resolved by fast traders. A concentration of fast or slow traders harms price discovery in the late period, generating hump-shape overall price informativeness to speed competition. With fast information diffusion, speed competition harms the overall price informativeness, unless fast traders are high-frequency traders.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100972"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation 日本央行ETF购买计划与股票风险溢价：CAPM的解释
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 Epub Date: 2025-01-18 DOI: 10.1016/j.finmar.2025.100961
Mitsuru Katagiri , Junnosuke Shino , Koji Takahashi
{"title":"Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation","authors":"Mitsuru Katagiri ,&nbsp;Junnosuke Shino ,&nbsp;Koji Takahashi","doi":"10.1016/j.finmar.2025.100961","DOIUrl":"10.1016/j.finmar.2025.100961","url":null,"abstract":"<div><div>We investigate the effects of the Bank of Japan’s (BOJ’s) exchange-traded fund (ETF) purchase program on equity risk premia. Utilizing the cross-sectional variations in the amount of individual stock that the BOJ has indirectly purchased in the program, the empirical analysis reveals that: (i) the BOJ’s ETF purchases instantaneously support stock prices on purchase, and (ii) the positive effects on stock prices, combined with the countercyclical nature of the BOJ’s purchases, affect the market beta and coskewness of Japanese stocks, leading to an economically significant decline in risk premia.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100961"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency 太多的 "烙铁"：机构关注度有限对市场微观结构和效率的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 Epub Date: 2025-02-01 DOI: 10.1016/j.finmar.2025.100969
Hao Jiang , Yong Ma , Tianyang Wang
{"title":"Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency","authors":"Hao Jiang ,&nbsp;Yong Ma ,&nbsp;Tianyang Wang","doi":"10.1016/j.finmar.2025.100969","DOIUrl":"10.1016/j.finmar.2025.100969","url":null,"abstract":"<div><div>This paper presents an in-depth exploration, both empirically and theoretically, of how institutional attention impacts market microstructure. Our innovative theoretical model incorporates an information processing constraint into the dynamic strategic trading framework. The model predicts a trade-off where increased institutional attention enhances price informativeness at the expense of market liquidity, and suggests that the unmonetized portion of institutional investors’ information advantage significantly influences the effect of public information about an asset’s fundamental value on market microstructure. Additionally, our findings are substantiated through rigorous empirical analysis.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100969"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593434","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does the threat of short selling discipline management? Evidence from default risk changes around regulation SHO 卖空的威胁是否约束了管理？违约风险变化的证据围绕监管SHO
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 Epub Date: 2024-12-30 DOI: 10.1016/j.finmar.2024.100960
Keming Li , Takeshi Nishikawa , Ramesh P. Rao
{"title":"Does the threat of short selling discipline management? Evidence from default risk changes around regulation SHO","authors":"Keming Li ,&nbsp;Takeshi Nishikawa ,&nbsp;Ramesh P. Rao","doi":"10.1016/j.finmar.2024.100960","DOIUrl":"10.1016/j.finmar.2024.100960","url":null,"abstract":"<div><div>We document a significant reduction in default risk for the pilot firms relative to non-pilot firms during the Reg SHO period. This effect is more pronounced for firms whose default risk was high prior to the program. We also find that the pilot firms adopt greater accounting conservatism during the program and experience improved bond contracting through reductions in covenant usage in newly issued bonds. Lastly, we find significant improvements in investment efficiency and cash holding value for the pilot firms. Our combined evidence supports the disciplinary role of short selling in the financial markets.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100960"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593426","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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