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Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
46
Impact Factor
1.09
5 Years IF
1.11
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 1 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 1 0 0 0 0 0.04
1993 0 0.1 0 0 0 0 0 1 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 1 0 0 0 0 0.06
1995 0 0.2 0 0 0 0 0 1 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 1 0 0 0 0 0.1
1997 0 0.23 0 0 0 0 0 2 0 0 0 0 0.1
1998 0 0.27 0.38 0 13 13 786 4 7 0 0 0 4 0.31 0.12
1999 0.54 0.29 0.48 0.54 16 29 487 14 21 13 7 13 7 0 7 0.44 0.14
2000 0.72 0.34 0.77 0.72 15 44 718 30 55 29 21 29 21 6 20 7 0.47 0.15
2001 1.03 0.36 1.07 1.07 15 59 289 62 118 31 32 44 47 6 9.7 5 0.33 0.16
2002 0.97 0.4 1.06 0.83 19 78 2251 78 201 30 29 59 49 20 25.6 15 0.79 0.21
2003 0.82 0.41 1.32 1.14 22 100 412 125 333 34 28 78 89 14 11.2 7 0.32 0.2
2004 0.85 0.46 1.38 1.02 17 117 665 156 494 41 35 87 89 7 4.5 22 1.29 0.21
2005 1.1 0.47 1.62 1.27 16 133 571 212 709 39 43 88 112 17 8 7 0.44 0.22
2006 1.33 0.47 1.58 1.25 18 151 327 230 948 33 44 89 111 16 7 6 0.33 0.21
2007 0.76 0.42 1.57 1.1 15 166 461 253 1209 34 26 92 101 26 10.3 7 0.47 0.19
2008 0.97 0.45 1.89 1.18 17 183 217 337 1554 33 32 88 104 8 2.4 2 0.12 0.21
2009 1.22 0.44 2.04 1.52 32 215 635 433 1992 32 39 83 126 36 8.3 15 0.47 0.21
2010 0.92 0.44 1.97 1.17 20 235 378 459 2455 49 45 98 115 24 5.2 13 0.65 0.18
2011 1.06 0.46 1.98 1.19 23 258 372 506 2967 52 55 102 121 36 7.1 8 0.35 0.21
2012 0.84 0.47 2 1.12 12 270 85 531 3508 43 36 107 120 17 3.2 3 0.25 0.19
2013 1.26 0.53 2.7 1.63 27 297 507 797 4309 35 44 104 170 37 4.6 33 1.22 0.22
2014 1.54 0.55 2.78 1.83 46 343 334 952 5261 39 60 114 209 75 7.9 20 0.43 0.21
2015 1.49 0.55 2.73 1.52 21 364 117 991 6255 73 109 128 195 29 2.9 6 0.29 0.21
2016 1.28 0.56 2.5 1.5 29 393 138 979 7236 67 86 129 194 30 3.1 7 0.24 0.2
2017 1.04 0.58 2.53 1.34 24 417 69 1057 8293 50 52 135 181 27 2.6 4 0.17 0.21
2018 1.3 0.7 2.36 1.64 32 449 55 1061 9354 53 69 147 241 43 4.1 10 0.31 0.28
2019 1.09 0.88 2.09 1.11 30 479 12 999 10353 56 61 152 169 53 5.3 2 0.07 0.33
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
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.

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1816
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

305
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

239
42004Market 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

236
51999Order 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.

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235
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

222
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.

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173
82013Optimal 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.

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160
92004Order 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.

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149
102013High 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.

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134
112000Inferring 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.

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120
122005Market 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.

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112
132007Measuring 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

101
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.

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99
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.

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98
162003Issues 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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94
172013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

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90
182002Security 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.

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87
192005International 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.

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80
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.

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79
212005Should 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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78
222010The 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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77
232000On 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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76
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.

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75
252009Technology 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.

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74
261998Financial 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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73
272006Value 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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66
282005Duration, 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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66
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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64
302004Impacts 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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64
312010A 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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63
322003Quote 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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62
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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62
342013Very 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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60
35A 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.

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54
362007Commonality 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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54
372004The 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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51
381998Long-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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51
392002Stalking 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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51
402006Order 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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50
411999Market 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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50
421999Intra-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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50
432009Liquidity 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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50
442009Do 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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48
452009Gone 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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47
462000Stock 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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46
472005Empirical 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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46
482009Systematic 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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46
491998Strategic 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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45
502005Liquidity 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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45
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

471
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

62
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

54
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

47
52013Optimal 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

39
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

38
71999Order 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

34
82002Price 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

33
92013Low-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

29
102014A 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

29
112013Very 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

26
122000Market 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

23
132016Asymmetric 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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22
142010A 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
152007Measuring 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

19
162009Technology 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
172004Order 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
182005Market 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

16
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

15
202009Gone 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.

Full description at Econpapers || Download paper

15
212014Commodity index trading and hedging costs. (2014). Brunetti, Celso ; Reiffen, David . In: Journal of Financial Markets. RePEc:eee:finmar:v:21:y:2014:i:c:p:153-180.

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15
222005International 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

15
232009Liquidity 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

15
242011Automation, 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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14
252013The diversity of high-frequency traders. (2013). Hagstromer, Bjorn ; Norden, Lars. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:741-770.

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13
262000Inferring 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

13
272011Effects of foreign ownership on payout policy: Evidence from the Korean market. (2011). Lee, Cheolwoo ; Jeon, Jin Q. ; Moffett, Clay M.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:344-375.

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13
281998Long-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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12
292016Time series momentum and volatility scaling. (2016). Kim, Abby Y ; Wald, John K ; Tse, Yiuman. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:103-124.

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12
302016Risk 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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12
312013Do mutual fund managers time market liquidity?. (2013). Cao, Charles ; Wang, Ying ; Simin, Timothy T.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:2:p:279-307.

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12
322014How should individual investors diversify? An empirical evaluation of alternative asset allocation policies. (2014). Weber, Martin ; Jacobs, Heiko ; Muller, Sebastian. In: Journal of Financial Markets. RePEc:eee:finmar:v:19:y:2014:i:c:p:62-85.

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12
332016Price discovery and the cross-section of high-frequency trading. (2016). Benos, Evangelos ; Sagade, Satchit. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:54-77.

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11
342007Ownership 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.

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352009Which past returns affect trading volume?. (2009). Weber, Martin ; Glaser, Markus . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:1:p:1-31.

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11
361998Aggressiveness 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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11
372011Carry trades, momentum trading and the forward premium anomaly. (2011). Chang, Sanders ; Baillie, Richard T.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:3:p:441-464.

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11
382010Institutional 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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392010The 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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402004The 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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10
412014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). PETITJEAN, Mikael ; Boudt, Kris. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149.

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10
422001On 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
432014Investor sentiment and bond risk premia. (2014). Olmo, Jose ; Laborda, Ricardo. In: Journal of Financial Markets. RePEc:eee:finmar:v:18:y:2014:i:c:p:206-233.

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442009Credit 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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452006Order 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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462011What happened to the quants in August 2007? Evidence from factors and transactions data. (2011). Lo, Andrew ; Khandani, Amir E.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:1:p:1-46.

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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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482011Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets. (2011). Yang, Minxian ; Wang, Jianxin. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108.

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9
492002Measures 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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9
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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Citing documents used to compute impact factor: 61
YearTitle
2019Informed contrarian trades and stock returns. (2019). Chang, Sanders ; Wang, Albert F. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:75-93.

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2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing . In: MPRA Paper. RePEc:pra:mprapa:96784.

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2019Intraday momentum and reversal in Chinese stock market. (2019). Zhou, Haigang ; Gu, Zherong ; Chu, Xiaojun. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:83-88.

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2019Intraday Time-series Momentum: Evidence from China. (2019). Li, Youwei ; Yang, Yung Chiang ; Kearney, Fearghal ; Jin, Muzhao . In: MPRA Paper. RePEc:pra:mprapa:97134.

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2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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2019The anchoring effect of underwriters proposed price ranges on institutional investors bid prices in IPO auctions: Evidence from China. (2019). Fok, Robert ; Cao, Feng ; Gao, Shenghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:63:y:2019:i:c:p:111-127.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019The Determinants of Securities Trading Activity: Evidence from four European Equity Markets. (2019). Galea, Francelle ; Camilleri, Silvio John. In: MPRA Paper. RePEc:pra:mprapa:95298.

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2019The cost of clearing fragmentation. (2019). Menkveld, Albert ; Vasios, Michalis ; Huang, Wenqian ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0800.

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2019The cost of clearing fragmentation. (2019). Vasios, Michalis ; Menkveld, Albert ; Huang, Wenqian ; Benos, Evangelos . In: BIS Working Papers. RePEc:bis:biswps:826.

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2019Stock return predictability: Using the cyclical component of the price ratio. (2019). McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:228-242.

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2019Out-of-sample equity premium prediction in the presence of structural breaks. (2019). Yin, Anwen. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918304745.

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2019Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55.

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2019Multiscale Features of Cross Correlation of Price and Trading Volume. (2019). Jafari, Reza G ; Haven, Emmanuel ; Osoolian, Mohammad ; Ardalankia, Jamshid. In: Papers. RePEc:arx:papers:1903.01744.

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2019When stock futures dominate price discovery. (2019). Aggarwal, Nidhi ; Thomas, Susan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:263-278.

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2019Information or noise: What does algorithmic trading incorporate into the stock prices?. (2019). Elliott, Robert J ; Zhou, Hao ; Kalev, Petko S. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:27-39.

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2019Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-. (2019). Demertzidis, Anastasios. In: MAGKS Papers on Economics. RePEc:mar:magkse:201932.

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2019High frequency trading strategies, market fragility and price spikes: an agent based model perspective. (2019). Gerding, Enrico ; Booth, Ash ; McGroarty, Frank ; Raju, V L. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3019-4.

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2019Order flow analysis of cryptocurrency markets. (2019). Silantyev, Eduard. In: Digital Finance. RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00007-w.

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2019Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange. (2019). Lien, Donald ; Hung, Pi-Hsia . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:231-251.

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2019STOCK PRICE ANCHORING. (2019). Inghelbrecht, Koen ; Disli, Mustafa ; Stieperaere, Hannes ; Schoors, Koen. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/966.

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2019The Effects of Short Selling on Financial Markets Volatilities. (2019). Baidoo, Kwaku Boafo. In: European Journal of Business Science and Technology. RePEc:men:journl:v:5:y:2019:i:2:p:218-228.

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2019Legal institutions and fragile financial markets. (2019). Chung, Huimin ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:277-298.

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2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

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2019The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:8.

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2019.

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2019The Design and Regulation of High Frequency Traders. (2019). Ladley, Daniel. In: Discussion Papers in Economics. RePEc:lec:leecon:19/02.

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2019When do regulatory interventions work?. (2019). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2019-011.

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2019Economic constraints and stock return predictability: A new approach. (2019). Wei, YU ; Zhang, Yaojie ; Yi, Yongsheng ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:1-9.

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2019Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Wei, YU ; Zhang, Yaojie ; Jin, Daxiang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433.

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2019Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?. (2019). Wang, Yudong ; Ma, Feng ; Zhang, Yaojie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:97-117.

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2019Momentum and the Halloween Indicator: Evidence of a new seasonal pattern in momentum returns. (2019). Bhootra, Ajay. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:26-31.

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2019Feedback trading: Strategies during day and night with global interconnectedness. (2019). Rudolf, Markus ; Kusen, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463.

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2019Do closed-end fund investors herd?. (2019). Gebka, Bartosz ; Cui, Yueting ; Kallinterakis, Vasileios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:194-206.

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2019Do investors herd in cryptocurrencies – and why?. (2019). Wang, Ying ; Kallinterakis, Vasileios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:240-245.

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2019The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market. (2019). Zeng, Hongchao ; Wu, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:96-110.

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2019Catastrophic risk and institutional investors: Evidence from institutional trading around 9/11. (2019). Yu, Danlei Bonnie ; Hu, Gang ; Chen, Yangyang ; Zhao, Jingran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:211-233.

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2019The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK. (2019). Gregoriou, Andros ; Zhang, Sijia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:191-200.

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2019Non-macro-based Google searches, uncertainty, and real economic activity. (2019). Gerotto, Luca ; Donadelli, Michael. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:111-142.

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2019M&A price pressure revisited. (2019). Nie, Yulin ; Kryzanowski, Lawrence. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:299-308.

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2019The impact of trade reporting and central clearing on CDS price informativeness. (2019). Zhu, LU ; Yu, Fan ; Marra, Miriam . In: Journal of Financial Stability. RePEc:eee:finsta:v:43:y:2019:i:c:p:130-145.

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2019Assimilation of oil news into prices. (2019). McDonald, Bill ; Loughran, Tim ; Pragidis, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:105-118.

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2019Establishing an automated brand index based on opinion mining: analysis of printed and social media. (2019). Harkonen, Janne ; Nuortimo, Kalle. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:7:y:2019:i:3:d:10.1057_s41270-019-00060-9.

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2019The Sound Of Many Funds Rebalancing. (2019). Fos, Vyacheslav ; Chinco, Alex. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13561.

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2019The quality of governance and momentum profits: International evidence. (2019). Chen, Jiaqi ; Sherif, Mohamed. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:5:s0890838919300484.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2019Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches. (2019). Mensi, Walid ; Ur, Mobeen ; Al-Yahyaee, Khamis Hamed ; Wanas, Idries Mohammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:47-56.

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2019The causality between liquidity and volatility in the Polish stock market. (2019). Kliber, Agata ; Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:110-115.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2019Forecasting stock returns: Do less powerful predictors help?. (2019). Shi, Benshan ; Ma, Feng ; Zeng, Qing ; Zhang, Yaojie. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:32-39.

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2019The role of technical indicators in exchange rate forecasting. (2019). Panopoulou, Ekaterini ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221.

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2019Does investor risk perception drive asset prices in markets? Experimental evidence. (2019). Zeisberger, Stefan ; Palan, Stefan ; Huber, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302109.

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2019To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from Virtual Globes and its rate of diffusion in a financial market. (2019). , Johnnie ; Ma, Tiejun ; Sung, Ming-Chien ; Green, Lawrence . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:226-239.

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2019Pulling Starters. (2019). Mills, Brian ; Stone, Daniel ; Finigan, Duncan. In: OSF Preprints. RePEc:osf:osfxxx:te4wg.

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2019Tick size change and market quality in the U.S. treasury market. (2019). Fleming, Michael ; Ruela, Francisco ; Nguyen, Giang. In: Staff Reports. RePEc:fip:fednsr:886.

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2019CME Iceberg Order Detection and Prediction. (2019). Antonov, Anton ; Zotikov, Dmitry. In: Papers. RePEc:arx:papers:1909.09495.

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2019Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597.

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2019Inverted fee structures, tick size, and market quality. (2019). Zhong, Zhuo ; Gregoire, Vincent ; Comerton-Forde, Carole. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:141-164.

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2019Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange. (2019). Nguyen, Giang ; Ghysels, Eric. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:164-:d:280394.

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Recent citations
Recent citations received in 2019

YearCiting document
2019Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets. (2019). Yang, Chunpeng ; Zhou, Liyun. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:14:y:2019:i:4:d:10.1007_s11403-019-00264-3.

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2019Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03.

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Recent citations received in 2018

YearCiting document
2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Magris, Martin ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.12200.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2018Distilling liquidity costs from limit order books. (2018). Amaya, Diego ; Roch, Alexandre F ; Okou, Cedric ; Filbien, Jean-Yves . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:16-34.

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2018Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. (2018). Ghadhab, Imen. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:1-10.

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2018Market volatility, liquidity shocks, and stock returns: Worldwide evidence. (2018). Marshall, Ben ; Anderson, Hamish D. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:164-199.

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2018The Shift from Active to Passive Investing: Potential Risks to Financial Stability?. (2018). Shin, Chae Hee ; Osambela, Emilio ; McCabe, Patrick E ; Kruttli, Mathias S ; Anadu, Kenechukwu E. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa18-4.

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2018The Shift from Active to Passive Investing : Potential Risks to Financial Stability?. (2018). Shin, Chae Hee ; Osambela, Emilio ; McCabe, Patrick E ; Kruttli, Mathias S ; Anadu, Kenechukwu E. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-60.

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2018Sustainability Disclosure in Integrated Reporting: Does It Matter to Investors? A Cheap Talk Approach. (2018). Camodeca, Renato ; Sagliaschi, Umberto ; Almici, Alex. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4393-:d:185253.

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2018Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators. (2018). Ødegaard, Bernt ; Klova, Valeriia. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2018_004.

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2018Focusing on volatility information instead of portfolio weights as an aid to investor decisions. (2018). Weber, Martin ; Laudenbach, Christine ; Ehm, Christian . In: Experimental Economics. RePEc:kap:expeco:v:21:y:2018:i:2:d:10.1007_s10683-017-9537-0.

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Recent citations received in 2017

YearCiting document
2017Dealing with dealers: sovereign CDS comovements. (). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel. In: Working Papers. RePEc:bde:wpaper:1723.

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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). Hjalmarsson, Erik ; Zikes, Filip ; Benes, Evangelos ; Brugler, James . 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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