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Journal of Financial Markets / Elsevier


1.08

Impact Factor

1.38

5-Years IF

41

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.090100 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.2000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.28131350.386460032 (5%)40.310.1
19990.540.320.541629140.4841113713724 (5.8%)70.440.13
20000.690.390.691544330.756262920292033 (5.3%)70.470.15
200110.391.181559580.982343131445215 (6.4%)30.20.14
20021.030.411.021978831.0617313031596072 (4.2%)80.420.17
20030.790.431.29221001281.2835534277810134 (9.6%)70.320.18
20040.850.481.09171171531.315384135879529 (5.4%)211.240.2
20051.150.521.4161332051.5447639458812324 (5%)70.440.2
20061.270.51.33181512301.5227833428911822 (7.9%)60.330.2
20070.760.441.24151662371.4339034269211417 (4.4%)70.470.18
20080.910.481.27171833251.7818733308811212 (6.4%)20.120.2
20091.220.491.67322154121.9249832398313927 (5.4%)140.440.19
20100.880.461.17202354241.828149439811517 (6%)120.60.17
20111.060.51.29232584901.9263525510213216 (6.1%)70.30.19
20120.840.531.18122705211.936143361071265 (8.2%)30.250.19
20131.230.611.67272977572.55352354310417419 (5.4%)2710.21
20141.440.611.97463438922.6206395611422512 (5.8%)170.370.2
20151.490.641.66213649062.4980731091282122 (2.5%)60.290.2
20161.270.721.67293939122.325167851292161 (2%)70.240.21
20171.080.831.38244179672.32165054135186 (%)30.130.24
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12002Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56.

Full description at Econpapers || Download paper

1367
22000Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

Full description at Econpapers || Download paper

271
31998Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219.

Full description at Econpapers || Download paper

197
41999Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

Full description at Econpapers || Download paper

196
52004Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; Baker, Malcolm. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299.

Full description at Econpapers || Download paper

180
61998Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

Full description at Econpapers || Download paper

166
72002Price discovery and common factor models. (2002). Baillie, Richard ; Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321.

Full description at Econpapers || Download paper

139
82004Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

Full description at Econpapers || Download paper

129
92013Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

Full description at Econpapers || Download paper

125
102000Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111.

Full description at Econpapers || Download paper

102
112005Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

Full description at Econpapers || Download paper

93
122013High frequency trading and the new market makers. (2013). Menkveld, Albert. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

90
132003Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257.

Full description at Econpapers || Download paper

88
141998Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383.

Full description at Econpapers || Download paper

86
152002Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

Full description at Econpapers || Download paper

81
162007Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

Full description at Econpapers || Download paper

77
172002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308.

Full description at Econpapers || Download paper

76
182005Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287.

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73
192000On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286.

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71
202007Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248.

Full description at Econpapers || Download paper

69
212005International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; Fong, Wai Mun. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109.

Full description at Econpapers || Download paper

69
222013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

Full description at Econpapers || Download paper

68
231998Financial analysts and information-based trade. (1998). Easley, David ; Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201.

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66
242001On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84.

Full description at Econpapers || Download paper

62
252010The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343.

Full description at Econpapers || Download paper

62
262009Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

Full description at Econpapers || Download paper

58
272005Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399.

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56
282004Impacts of trades in an error-correction model of quote prices. (2004). Patton, Andrew ; Engle, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25.

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56
292002Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327.

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55
302003Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489.

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51
312006Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309.

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49
322011Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604.

Full description at Econpapers || Download paper

49
332007Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

Full description at Econpapers || Download paper

47
342002Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

Full description at Econpapers || Download paper

44
352009Systematic noise. (2009). zhu, ning ; Odean, Terrance ; Barber, Brad. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569.

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42
362010A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19.

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42
372009Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336.

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42
381999Market depth and order size1. (1999). Kempf, Alexander ; Korn, Olaf. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48.

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42
392006Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432.

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41
401999Intra-day market activity. (1999). Le Fol, Gaelle ; Jasiak, Joann ; gourieroux, christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226.

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41
412013Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711.

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41
421998Strategic trading, asymmetric information and heterogeneous prior beliefs. (1998). Wang, Albert F.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352.

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41
431998Long-lived information and intraday patterns. (1998). Back, Kerry ; Pedersen, Hal. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402.

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40
442005Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

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40
452002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis. (2002). Roll, Richard ; Chakrabarti, Rajesh . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:1-30.

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39
462007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market. (2007). Menkveld, Albert ; Chan, Kalok ; Yang, Zhishu . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415.

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39
472004The manipulation of closing prices. (2004). Suominen, Matti ; Hillion, Pierre . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375.

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38
482000Stock returns and trading at the close. (2000). Madhavan, Ananth ; Cushing, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67.

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38
492000The capital asset pricing model and the liquidity effect: A theoretical approach. (2000). Gottesman, Aron A. ; Jacoby, Gady ; Fowler, David J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81.

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37
502005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Chakravarty, Sugato ; Anand, Amber ; Martell, Terrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308.

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37

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12002Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56.

Full description at Econpapers || Download paper

499
22004Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; Baker, Malcolm. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299.

Full description at Econpapers || Download paper

68
32013High frequency trading and the new market makers. (2013). Menkveld, Albert. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

56
42013Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

Full description at Econpapers || Download paper

48
51998Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

Full description at Econpapers || Download paper

47
61998Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219.

Full description at Econpapers || Download paper

41
72000Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

Full description at Econpapers || Download paper

38
82013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

Full description at Econpapers || Download paper

37
92002Price discovery and common factor models. (2002). Baillie, Richard ; Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321.

Full description at Econpapers || Download paper

35
102005International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; Fong, Wai Mun. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109.

Full description at Econpapers || Download paper

29
111999Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

Full description at Econpapers || Download paper

25
122013Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711.

Full description at Econpapers || Download paper

24
132014A simple approximation of intraday spreads using daily data. (2014). Zhang, Hao ; Chung, Kee H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:94-120.

Full description at Econpapers || Download paper

23
142009Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

Full description at Econpapers || Download paper

23
152005Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

Full description at Econpapers || Download paper

22
162005Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399.

Full description at Econpapers || Download paper

22
172010The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343.

Full description at Econpapers || Download paper

21
182010A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19.

Full description at Econpapers || Download paper

20
192002Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

Full description at Econpapers || Download paper

18
202007Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248.

Full description at Econpapers || Download paper

18
212011Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604.

Full description at Econpapers || Download paper

17
222007Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

Full description at Econpapers || Download paper

17
232004Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

Full description at Econpapers || Download paper

17
242009Credit ratings and the cross-section of stock returns. (2009). Philipov, Alexander ; Chordia, Tarun ; Jostova, Gergana ; Avramov, Doron . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:469-499.

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14
252009Liquidity and capital structure. (2009). Lipson, Marc L. ; Mortal, Sandra . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:611-644.

Full description at Econpapers || Download paper

14
262002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308.

Full description at Econpapers || Download paper

14
272007Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

Full description at Econpapers || Download paper

14
282002Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327.

Full description at Econpapers || Download paper

14
292000Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111.

Full description at Econpapers || Download paper

14
302015Equity hedging and exchange rates at the London 4p.m. fix. (2015). Melvin, Michael ; Prins, John . In: Journal of Financial Markets. RePEc:eee:finmar:v:22:y:2015:i:c:p:50-72.

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13
312004Trading strategies during circuit breakers and extreme market movements. (2004). Goldstein, Michael ; Kavajecz, Kenneth A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333.

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12
322009Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). (2009). Kumar, Praveen ; Danielsen, Bartley R. ; Sorescu, Sorin M. ; Boehme, Rodney D.. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:438-468.

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12
332009Gone fishin: Seasonality in trading activity and asset prices. (2009). Hong, Harrison ; Yu, Jialin . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:672-702.

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12
342001On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84.

Full description at Econpapers || Download paper

12
352002Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

Full description at Econpapers || Download paper

12
362003Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257.

Full description at Econpapers || Download paper

12
372009Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336.

Full description at Econpapers || Download paper

12
382005Dispersion of opinion and stock returns. (2005). Goetzmann, William ; Massa, Massimo. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:324-349.

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11
392006Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432.

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11
402009Stock exchange merger and liquidity: The case of Euronext. (2009). Nielsson, Ulf. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:229-267.

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11
412016Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62.

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10
422016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef ; Koenda, Even. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78.

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10
432007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market. (2007). Menkveld, Albert ; Chan, Kalok ; Yang, Zhishu . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415.

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10
442015On the determinants of pairs trading profitability. (2015). Weber, Martin ; Jacobs, Heiko . In: Journal of Financial Markets. RePEc:eee:finmar:v:23:y:2015:i:c:p:75-97.

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10
452007The PIN anomaly around M&A announcements. (2007). Declerck, Fany ; de Bodt, Eric ; Aktas, Nihat ; VAN OPPENS, Herve . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:169-191.

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10
462010Institutional ownership stability and the cost of debt. (2010). Mao, Connie X. ; Jia, Jingyi ; Elyasiani, Elyas. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:4:p:475-500.

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10
472009Systematic noise. (2009). zhu, ning ; Odean, Terrance ; Barber, Brad. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569.

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10
482005Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

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10
492011Patriotism in your portfolio. (2011). Morse, Adair ; Shive, Sophie . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:411-440.

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10
502013Trade and information in the corporate bond market. (2013). Ronen, Tavy ; Zhou, Xing. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:61-103.

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9

Citing documents used to compute impact factor 54:


YearTitle
2017Price clustering in Bitcoin. (2017). Urquhart, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:145-148.

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2017The effects of mergers and acquisitions on the information production of financial markets. (2017). Bade, Marco . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:240-248.

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2017Coming early to the party. (2017). Pelizzon, Loriana ; Yuferova, Darya ; Uno, Jun ; Subrahmanyam, Marti ; Bellia, Mario. In: SAFE Working Paper Series. RePEc:zbw:safewp:182.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374.

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2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:309-318.

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2017Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches. (2017). Li, Youwei ; Liu, Jiadong ; Fan, Minyou. In: MPRA Paper. RePEc:pra:mprapa:83510.

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2017Pension funds illiquid assets allocation under liquidity and capital constraints. (2017). Broeders, Dirk ; Werker, Bas ; Jansen, Kristy . In: DNB Working Papers. RePEc:dnb:dnbwpp:555.

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2017Pre-trade transparency in over-the-counter bond markets. (2017). Chen, Fan ; Zhong, Zhuo . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:14-33.

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2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. (2017). Zhang, Dayong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:323-333.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2017The q-factors and expected bond returns. (2017). Franke, Benedikt ; Muller, Sonja . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:19-35.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2017Refined Measures of Dynamic Connectedness based on TVP-VAR. (2017). Gabauer, David ; Antonakakis, Nikolaos. In: MPRA Paper. RePEc:pra:mprapa:78282.

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2017Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. (2017). Hkiri, Besma ; Yarovaya, Larisa ; Aloui, Chaker ; Hammoudeh, Shawkat. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:124-150.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2017Information leakage in family firms: Evidence from short selling around insider sales. (2017). Sun, Hanwen ; Yin, Shuxing. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:72-87.

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2017Seasonality in government bond returns and factor premia. (2017). Zaremba, Adam ; Schabek, Tomasz . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:292-302.

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2017“Sell not only in May”. Seasonal Effects on Stock Markets. (2017). Schabek, Tomasz ; Castro, Henrique. In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:5-18.

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2017Equity prices and fundamentals: a DDM–APT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y.

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2017Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599.

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2017Exploring the location and price differentials of cross-listed firms for arbitrage opportunities. (2017). Yang, Ann Shawing ; Uyan, Craig Alan . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:85-91.

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2017Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. (2017). Huck, Nicolas ; Krauss, Christopher ; Do, Xuan Anh . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:689-702.

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2017Deep learning with long short-term memory networks for financial market predictions. (2017). Fischer, Thomas ; Krauss, Christopher. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:112017.

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2017Optimal pairs trading strategies in a cointegration framework. (2017). Martin, Franck ; Huang, Zhe. In: Working Papers. RePEc:hal:wpaper:halshs-01566803.

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2017Optimal pairs trading strategies in a cointegration framework. (2017). Martin, Franck ; Huang, Zhe. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2017-08.

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2017Does Foreign Information Predict the Returns of Multinational Firms Worldwide?. (2017). Finke, Christian ; Weigert, Florian. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:6:p:2199-2248..

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2017Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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2017Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds. (2017). Rakowski, David ; Stark, Jeffrey R ; Shirley, Sara E. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:91-107.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2017The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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2017Interest Rate Future Quality Options and Negative Interest Rates. (2017). Herrero, Ricardo Laborda ; de la Corte, Alejandro Balbas . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24859.

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2017Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence. (2017). Naifar, Nader ; Bahloul, Slah ; Mroua, Mourad . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:41:y:2017:i:c:p:65-74.

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2017Do Islamic Bond (Sukuk) Prices Reflect Financial and Policy Uncertainty? A Quantile Regression Approach. (2017). Reboredo, Juan ; Naifar, Nader. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:53:y:2017:i:7:p:1535-1546.

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2017Trading Fees and Intermarket Competition. (2017). Panayides, Marios ; Werner, Ingrid M ; Rindi, Barbara. In: Working Papers. RePEc:igi:igierp:595.

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2017The impact of fragmentation, exchange fees and liquidity provision on market quality. (2017). Aitken, Michael ; Foley, Sean ; Chen, Haoming . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:140-160.

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2017Effects of lit and dark market fragmentation on liquidity. (2017). Gresse, Carole. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:1-20.

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2017Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets. (2017). Clapham, Benjamin ; Panz, Sven ; Gomber, Peter. In: SAFE Working Paper Series. RePEc:zbw:safewp:196.

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2017Trading Fees and Intermarket Competition. (2017). Panayides, Marios ; Werner, Ingrid M ; Rindi, Barbara. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1751.

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2017Effects of Lit and Dark Market Fragmentation on Liquidity. (2017). Gresse, Carole. In: Post-Print. RePEc:hal:journl:hal-01631771.

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2017FX swaps and forwards: missing global debt?. (2017). McGuire, Patrick ; McCauley, Robert ; BORIO, Claudio. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709e.

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2017The forex fixing reform and its impact on cost and risk of forex trading banks. (2017). Yamada, Masahiro ; Ito, Takatoshi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:157-162.

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2017Dealer Trading at the Fix. (2017). Osler, Carol ; Turnbull, Alasdair . In: Working Papers. RePEc:brd:wpaper:101r.

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2017Forex Trading and the WMR Fix. (2017). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:81583.

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2017Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing. (2017). Ito, Takatoshi ; Yamada, Masahiro . In: Journal of International Economics. RePEc:eee:inecon:v:109:y:2017:i:c:p:214-234.

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2017LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Jung, Kuk Mo ; Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.

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2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2017Explaining co-movements between equity and CDS bid-ask spreads. (2017). Marra, Miriam . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0609-6.

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2017Herding in frontier markets: Evidence from African stock exchanges. (2017). Guney, Yilmaz ; Komba, Gabriel ; Kallinterakis, Vasileios . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:152-175.

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2017Psychological price barriers in frontier equities. (2017). Berk, Ales S ; Lucey, Brian M ; Dowling, Michael ; Cummins, Mark. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:1-14.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00.

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2017Detection of algorithmic trading. (2017). Bogoev, Dimitar ; Karam, Arze . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:168-181.

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20172017 Financial Stability Report. (2017). . In: Reports. RePEc:ofr:report:17-2.

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Recent citations received in 2016

YearCiting document
2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Insider competition under two-dimensional uncertainty and informational asymmetry. (2016). Bade, Marco . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:79-82.

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2016Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62.

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2016Intraday market making with overnight inventory costs. (2016). Vogt, Erik ; Adrian, Tobias ; Capponi, Agostino ; Zhang, Hongzhong . In: Staff Reports. RePEc:fip:fednsr:799.

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2016Interactions among High-Frequency Traders. (2016). Brugler, James ; Hjalmarsson, Erik ; Zikes, Filip ; Benes, Evangelos . In: Working Papers in Economics. RePEc:hhs:gunwpe:0680.

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2016Exchange Traded Funds (ETFs). (2016). Ben-David, Itzhak ; Moussawi, Rabih ; Franzoni, Francesco. In: NBER Working Papers. RePEc:nbr:nberwo:22829.

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2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut. In: MPRA Paper. RePEc:pra:mprapa:72197.

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Recent citations received in 2015

YearCiting document
2015What do stock markets tell us about exchange rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino. In: Bank of England working papers. RePEc:boe:boeewp:0537.

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2015What Do Stock Markets Tell Us About Exchange Rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10685.

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2015What explains the dynamics of 100 anomalies?. (2015). Jacobs, Heiko . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:57:y:2015:i:c:p:65-85.

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2015Was the Forex Fixing Fixed?. (2015). Ito, Takatoshi ; Yamada, Masahiro . In: NBER Working Papers. RePEc:nbr:nberwo:21518.

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2015Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns. (2015). Jung, Kuk Mo ; Mo, Kuk . In: MPRA Paper. RePEc:pra:mprapa:67416.

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2015Statistical arbitrage pairs trading strategies: Review and outlook. (2015). Krauss, Christopher. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:092015.

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Recent citations received in 2014

YearCiting document
2014Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618.

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2014Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Jose Fernando Moreno Gutierrez, ; Moreno Gutiérrez, José ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: Borradores de Economia. RePEc:bdr:borrec:854.

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2014Short Sales and Option Listing Decisions. (2014). Blau, Benjamin ; Brough, Tyler J.. In: Financial Management. RePEc:bla:finmgt:v:43:y:2014:i:3:p:703-724.

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2014Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Jose Fernando Moreno Gutierrez, ; Moreno Gutiérrez, José ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012333.

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2014Are Retail Traders Compensated for Providing Liquidity?. (2014). Sraer, David ; Kaniel, Ron ; Barrot, Jean-Noel . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10285.

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2014Energy futures prices and commodity index investment: New evidence from firm-level position data. (2014). Irwin, Scott ; Sanders, Dwight R.. In: Energy Economics. RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s57-s68.

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2014Reflecting on the VPIN dispute. (2014). Andersen, Torben ; Bondarenko, Oleg. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64.

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2014Impact of short selling activity on market dynamics: Evidence from an emerging market. (2014). Sobaci, Cihat ; Sensoy, Ahmet ; Erturk, Mutahhar ; Şensoy, Ahmet. In: Journal of Financial Stability. RePEc:eee:finsta:v:15:y:2014:i:c:p:53-62.

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2014The information content of option ratios. (2014). Whitby, Ryan ; Blau, Benjamin ; Nguyen, Nga . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:179-187.

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2014Options resilience during extreme volatility: Evidence from the market events of May 2010. (2014). Goswami, Gautam ; Tan, Sinan ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:49:y:2014:i:c:p:262-274.

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2014The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000044.

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2014Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09.

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2014Rating-Based Investment Practices and Bond Market Segmentation. (2014). Schuerhoff, Norman ; Seppi, Duane J ; Schurhoff, Norman ; Lookman, Aziz A ; Chen, Zhihua. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:162-205..

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2014Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market. (2014). Skiadopoulos, George ; Neumann, Michael ; Kapetanios, George. In: Working Papers. RePEc:qmw:qmwecw:wp730.

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2014The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange. (2014). Yang, Fuyu ; Brown, Alasdair . In: University of East Anglia Applied and Financial Economics Working Paper Series. RePEc:uea:aepppr:2012_68.

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2014Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. (2014). Tang, Yuehua ; Yang, Baozhong ; Agarwal, Vikas ; Mullally, Kevin Andrew . In: CFR Working Papers. RePEc:zbw:cfrwps:1304r.

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2014Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures. (2014). Herrmann, Klaus ; Yu, Weijun ; Teis, Stefan . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:152014.

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 2th 2018. Contact: CitEc Team