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Journal of Financial Markets / Elsevier


1

Impact Factor

1.3

5-Years IF

40

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
19930.1000 (%)0.05
19940.11000 (%)0.04
19950.2000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.28131350.386380032 (5%)40.310.1
19990.540.320.541629140.4840513713724 (5.9%)70.440.13
20000.690.390.691544330.756092920292032 (5.3%)70.470.15
200110.391.181559580.982263131445214 (6.2%)30.20.15
20021.030.411.021978831.0616583031596066 (4%)80.420.18
20030.790.441.29221001281.2835134277810134 (9.7%)70.320.18
20040.830.481.07171171511.295204134879329 (5.6%)211.240.2
20051.150.521.39161332031.5346439458812224 (5.2%)70.440.2
20061.270.511.33181512291.5227333428911822 (8.1%)60.330.2
20070.790.451.25151662391.4438534279211516 (4.2%)70.470.18
20080.910.471.27171833161.7318333308811212 (6.6%)20.120.2
20091.220.481.71322154161.9348332398314227 (5.6%)140.440.19
20100.880.461.18202354271.8227049439811617 (6.3%)120.60.17
20111.060.51.3232584881.89250525510213314 (5.6%)70.30.19
20120.860.531.21122705271.955543371071295 (9.1%)30.250.2
20131.230.611.67272977632.57325354310417418 (5.5%)2710.21
20141.440.622463438932.6185395611422810 (5.4%)170.370.21
20151.480.651.65213648982.4765731081282112 (3.1%)60.290.2
20161.250.771.6293938822.243867841292061 (2.6%)70.240.22
201711.031.3244179172.295050135176 (%)10.040.3
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

1306
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

262
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

195
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

195
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

164
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

163
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

131
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

131
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

123
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

100
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

90
121998Aggressiveness 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.

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86
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

84
142002Some 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

79
152013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

78
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

74
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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74
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
201998Financial 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
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

66
222007Ownership 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

65
232013Low-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

63
242010The 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.

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61
252001On 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.

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60
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

54
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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54
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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54
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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51
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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50
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
322007Commonality 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.

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48
332011Automation, 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.

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47
342009Systematic 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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43
351999Market 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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41
362006Order 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
372002Stalking 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.

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41
381999Intra-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
391998Strategic 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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40
402009Do 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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40
412002East 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
422005Liquidity 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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39
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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39
441998Long-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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39
452007Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

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38
462010A 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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38
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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37
482005Empirical 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
492000Stock 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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36
502000The 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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35

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

443
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

53
32013Optimal 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

46
41998Optimal 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

44
52013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

44
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

37
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

33
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

32
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

30
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

25
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

22
122010The 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

20
132005Duration, 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

20
142005Market 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

19
152013Very 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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18
162014A 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

18
172009Technology 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

18
182002Some 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

17
192010A 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

16
202004Order 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

16
212007Measuring 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

16
222007Ownership 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

15
232011Automation, 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

15
242007Commonality 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
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.

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13
262015Equity 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
272009Credit 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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13
282002Security 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

13
292009Idiosyncratic 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
302009Gone 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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11
312009Stock 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
322000Inferring 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

11
332006Order 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.

Full description at Econpapers || Download paper

11
342002Measures 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

11
352005Dispersion 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
362007The 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
372003Issues 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.

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10
382009Systematic 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
392001On 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.

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10
402002Stalking 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.

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10
412004Trading 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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9
422005Liquidity 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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9
432010Institutional 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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9
441998Long-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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9
452008Melting pot or salad bowl: Some evidence from U.S. investments abroad. (2008). Bhattacharya, Utpal ; Groznik, Peter. In: Journal of Financial Markets. RePEc:eee:finmar:v:11:y:2008:i:3:p:228-258.

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9
462009Do 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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9
472006Value 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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9
482014The cross-section of speculator skill: Evidence from day trading. (2014). Odean, Terrance ; Lee, Yi-Tsung ; Barber, Brad ; Liu, Yu-Jane . In: Journal of Financial Markets. RePEc:eee:finmar:v:18:y:2014:i:c:p:1-24.

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9
492007The 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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8
502016Asymmetric 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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8

Citing documents used to compute impact factor 50:


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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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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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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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). 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
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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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 ; Franzoni, Francesco ; Moussawi, Rabih. 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). Blau, Benjamin ; Whitby, Ryan J. ; 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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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.

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