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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

 
 

Journal of Financial Markets / Elsevier Science Economics Articles Archive

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.090000.05
19920.080000.04
19930.090000.05
19940.10000.05
19950.120000.06
19960.160000.08
19970.210000.08
19980.22131310030.230.09
19990.150.2816120132060.380.13
20000.340.37151522910070.470.16
20010.580.3815533118030.20.16
20020.430.41191763013040.210.2
20030.320.4322653411020.090.2
20040.460.4917104411901710.22
20050.620.5216823924040.250.24
20060.760.518443325040.220.23
20070.590.4215393420030.20.19
20080.360.4317253312020.120.21
20090.440.4332253214060.190.19
20100.180.362011499050.250.15
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CIT: Number of citations to the series in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
IdI: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
2002Illiquidity and stock returns: cross-section and time-series effects
RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56 [Citation Analysis]
111
2000Market microstructure: A survey
RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258 [Citation Analysis]
79
1999Order flow composition and trading costs in a dynamic limit order market1
RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134 [Citation Analysis]
55
1998Aggressiveness and survival of overconfident traders
RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383 [Citation Analysis]
33
1998Optimal control of execution costs
RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50 [Citation Analysis]
32
2004Order aggressiveness in limit order book markets
RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74 [Citation Analysis]
30
1998Liquidity and stock returns: An alternative test
RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219 [Citation Analysis]
30
2005Market microstructure: A survey of microfoundations, empirical results, and policy implications
RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264 [Citation Analysis]
25
2000Inferring investor behavior: Evidence from TORQ data
RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111 [Citation Analysis]
24
2004Impacts of trades in an error-correction model of quote prices
RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25 [Citation Analysis]
24
2001On the survival of overconfident traders in a competitive securities market
RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84 [Citation Analysis]
23
2002Price discovery and common factor models
RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321 [Citation Analysis]
21
2005Should securities markets be transparent?
RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287 [Citation Analysis]
18
2004Market liquidity as a sentiment indicator
RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299 [Citation Analysis]
17
2000On the occurrence and consequences of inaccurate trade classification
RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286 [Citation Analysis]
16
1999Intra-day market activity
RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226 [Citation Analysis]
15
2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks
RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308 [Citation Analysis]
15
2002Some desiderata for the measurement of price discovery across markets
RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276 [Citation Analysis]
15
1999Reputation and performance fee effects on portfolio choice by investment advisers1
RePEc:eee:finmar:v:2:y:1999:i:3:p:227-271 [Citation Analysis]
14
2007Measuring the resiliency of an electronic limit order book
RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25 [Citation Analysis]
12
2002Market architecture: limit-order books versus dealership markets
RePEc:eee:finmar:v:5:y:2002:i:2:p:127-167 [Citation Analysis]
11
2003Quote setting and price formation in an order driven market
RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489 [Citation Analysis]
11
1999Market depth and order size1
RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48 [Citation Analysis]
10
2000Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets
RePEc:eee:finmar:v:3:y:2000:i:4:p:333-363 [Citation Analysis]
10
2003Issues in assessing trade execution costs
RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257 [Citation Analysis]
10
1999The organization of financial exchange markets: Theory and evidence
RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357 [Citation Analysis]
10
2003Intra-industry momentum: the case of REITs
RePEc:eee:finmar:v:6:y:2003:i:3:p:363-387 [Citation Analysis]
10
1998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities
RePEc:eee:finmar:v:1:y:1998:i:1:p:51-87 [Citation Analysis]
9
2005Duration, volume and volatility impact of trades
RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399 [Citation Analysis]
9
2002Stalking the efficient price in market microstructure specifications: an overview
RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339 [Citation Analysis]
9
1998Financial analysts and information-based trade
RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201 [Citation Analysis]
9
2003Traders choice between limit and market orders: evidence from NYSE stocks
RePEc:eee:finmar:v:6:y:2003:i:4:p:517-538 [Citation Analysis]
8
2005International momentum strategies: a stochastic dominance approach
RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109 [Citation Analysis]
8
2001Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets
RePEc:eee:finmar:v:4:y:2001:i:4:p:385-412 [Citation Analysis]
8
2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York
RePEc:eee:finmar:v:5:y:2002:i:1:p:57-82 [Citation Analysis]
8
2008Melting pot or salad bowl: Some evidence from U.S. investments abroad
RePEc:eee:finmar:v:11:y:2008:i:3:p:228-258 [Citation Analysis]
8
2004Expandable limit order markets
RePEc:eee:finmar:v:7:y:2004:i:2:p:145-185 [Citation Analysis]
8
2006On the importance of timing specifications in market microstructure research
RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179 [Citation Analysis]
7
2006Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market
RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432 [Citation Analysis]
7
1998Long-lived information and intraday patterns
RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402 [Citation Analysis]
7
2002The impact of the Federal Reserve Banks open market operations
RePEc:eee:finmar:v:5:y:2002:i:2:p:223-257 [Citation Analysis]
7
2004Trading strategies during circuit breakers and extreme market movements
RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333 [Citation Analysis]
7
1999The alpha factor asset pricing model: A parable
RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68 [Citation Analysis]
7
1998Strategic trading, asymmetric information and heterogeneous prior beliefs
RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352 [Citation Analysis]
6
2001A new historical database for the NYSE 1815 to 1925: Performance and predictability
RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32 [Citation Analysis]
6
2000The capital asset pricing model and the liquidity effect: A theoretical approach
RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81 [Citation Analysis]
6
2009Technology and liquidity provision: The blurring of traditional definitions
RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172 [Citation Analysis]
6
2000Stock returns and trading at the close
RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67 [Citation Analysis]
6
2000The determinants of trading volume of high-yield corporate bonds
RePEc:eee:finmar:v:3:y:2000:i:2:p:177-204 [Citation Analysis]
6
2007Modelling the buy and sell intensity in a limit order book market
RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286 [Citation Analysis]
6

Citing documents used to compute impact factor 9:
YearTitleSee
2010Ordres contradictoires et coordination destructive : Le malaise iranien
RePEc:hal:journl:hal-00629134
[Citation Analysis]
2010Borrowing Constraint and the Effect of Option Introduction
RePEc:pra:mprapa:26440
[Citation Analysis]
2010Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
RePEc:hkm:wpaper:022010
[Citation Analysis]
2010A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns
RePEc:pra:mprapa:20636
[Citation Analysis]
2010The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions
RePEc:imf:imfwpa:10/153
[Citation Analysis]
2010Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes
RePEc:pra:mprapa:34185
[Citation Analysis]
2010The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market
RePEc:hal:journl:halshs-00458991
[Citation Analysis]
2010The hub continent? Immigrant networks, emigrant diasporas and FDI
RePEc:mod:depeco:0628
[Citation Analysis]
2010The hub continent? Immigrant networks, emigrant diasporas and FDI
RePEc:mod:recent:048
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee
2010Markets are efficient if and only if P = NP
RePEc:arx:papers:1002.2284
[Citation Analysis]
2010Limit-Order Submission Strategies under Asymmetric Information
RePEc:ces:ceswps:_3054
[Citation Analysis]
2010Are all Credit Default Swap databases equal?
RePEc:cte:wbrepe:wb104621
[Citation Analysis]
2010Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?
RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:228-246
[Citation Analysis]
2010Are all Credit Default Swap Databases Equal?
RePEc:nbr:nberwo:16590
[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
RePEc:ces:ceswps:_2656
[Citation Analysis]
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
RePEc:cfs:cfswop:wp200918
[Citation Analysis]
2009Liquidity cycles and make/take fees in electronic markets
RePEc:ebg:heccah:0920
[Citation Analysis]
2009Liquidity Shocks and Order Book Dynamics
RePEc:ide:wpaper:20653
[Citation Analysis]
2009Liquidity Shocks and Order Book Dynamics
RePEc:nbr:nberwo:15009
[Citation Analysis]
2009Liquidity Shocks and Order Book Dynamics
RePEc:tse:wpaper:21944
[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Short Sales and Trade Classification Algorithms
RePEc:nbr:nberwo:14158
[Citation Analysis]
2008Why Larger Lenders obtain Higher Returns: Evidence from Sovereign Syndicated Loans
RePEc:vic:vicddp:0802
[Citation Analysis]

Recent citations received in: 2007

YearTitleSee
2007When Does a Mutual Funds Trade Reveal its Skill?
RePEc:nbr:nberwo:13625
[Citation Analysis]
2007Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
RePEc:oxf:wpaper:340
[Citation Analysis]
2007Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision
RePEc:pra:mprapa:5548
[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

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