Citation analysis for Journal of Financial Markets / Elsevier

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

1.42

5 Years IF

1.65

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	0.09	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	0.11	0	0	0	0	0		1	0		0			0		0	0.05
1994	0	0.12	0	0	0	0	0		1	0		0			0		0	0.06
1995	0	0.19	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	0.22	0	0	0	0	0		2	0		0			0		0	0.09
1998	0	0.26	0.46	0	13	13	930	4	8	0		0			0	4	0.31	0.12
1999	0.54	0.27	0.55	0.54	16	29	553	16	24	13	7	13	7		0	9	0.56	0.13
2000	0.76	0.32	0.8	0.76	15	44	807	31	59	29	22	29	22	6	19.4	7	0.47	0.14
2001	1.03	0.35	1.08	1.07	15	59	337	63	123	31	32	44	47	6	9.5	6	0.4	0.15
2002	1	0.37	1.12	0.88	19	78	2842	83	210	30	30	59	52	20	24.1	15	0.79	0.19
2003	0.82	0.4	1.37	1.18	22	100	458	130	347	34	28	78	92	14	10.8	7	0.32	0.19
2004	0.85	0.44	1.43	1.08	17	117	814	161	514	41	35	87	94	7	4.3	22	1.29	0.2
2005	1.21	0.45	1.71	1.35	16	133	649	225	742	39	47	88	119	17	7.6	7	0.44	0.21
2006	1.33	0.46	1.66	1.27	18	151	387	241	992	33	44	89	113	16	6.6	6	0.33	0.2
2007	0.79	0.42	1.66	1.15	15	166	529	267	1267	34	27	92	106	26	9.7	7	0.47	0.18
2008	1	0.44	1.92	1.2	17	183	255	343	1618	33	33	88	106	8	2.3	2	0.12	0.2
2009	1.25	0.43	2.13	1.57	32	215	773	453	2075	32	40	83	130	36	7.9	15	0.47	0.21
2010	0.9	0.43	2	1.18	20	235	494	466	2545	49	44	98	116	24	5.2	13	0.65	0.18
2011	1.08	0.45	2.02	1.24	23	258	483	514	3066	52	56	102	126	36	7	8	0.35	0.2
2012	0.91	0.45	2.07	1.17	12	270	110	551	3626	43	39	107	125	17	3.1	3	0.25	0.19
2013	1.29	0.5	2.76	1.66	27	297	679	816	4446	35	45	104	173	37	4.5	33	1.22	0.21
2014	1.54	0.51	2.81	1.88	46	343	482	964	5410	39	60	114	214	74	7.7	18	0.39	0.2
2015	1.49	0.5	2.75	1.52	21	364	191	997	6411	73	109	128	195	29	2.9	6	0.29	0.19
2016	1.25	0.5	2.56	1.51	29	393	283	1003	7416	67	84	129	195	30	3	7	0.24	0.18
2017	1.04	0.5	2.64	1.38	24	417	177	1097	8515	50	52	135	186	27	2.5	4	0.17	0.18
2018	1.47	0.54	2.58	1.78	32	449	161	1157	9674	53	78	147	262	43	3.7	9	0.28	0.21
2019	1.11	0.58	2.39	1.22	30	479	80	1142	10820	56	62	152	186	53	4.6	5	0.17	0.21
2020	1.42	0.75	2.7	1.65	33	512	49	1383	12203	62	88	136	225	42	3	10	0.3	0.29

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

#	Year	Title	Cited
1	2002	Illiquidity 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	2321
2	2000	Market 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	331
3	2004	Market 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	307
4	1998	Liquidity 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	299
5	1999	Order 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	272
6	1998	Optimal 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	261
7	2002	Price 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	217
8	2013	Optimal 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	192
9	2013	High 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	178
10	2004	Order 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	166
11	2000	Inferring 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	140
12	2005	Market 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	125
13	2007	Measuring 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	121
14	1998	Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383. Full description at Econpapers \|\| Download paper	116
15	2013	Low-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	116
16	2002	Some 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	115
17	2002	Security 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	112
18	2003	Issues 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	105
19	2010	A 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	98
20	2010	The 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	91
21	2001	On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84. Full description at Econpapers \|\| Download paper	89
22	2009	Technology 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	88
23	2007	Ownership 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	87
24	2005	Should 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. Full description at Econpapers \|\| Download paper	85
25	2005	International 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	84
26	2000	On 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. Full description at Econpapers \|\| Download paper	84
27	2006	Value 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. Full description at Econpapers \|\| Download paper	82
28	1998	Financial 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. Full description at Econpapers \|\| Download paper	82
29		A 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	82
30	2013	Very 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	81
31	2005	Duration, 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	80
32	2011	Automation, 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	74
33	2002	Measures 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	74
34	2003	Quote 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. Full description at Econpapers \|\| Download paper	72
35	2016	Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; KoÃÂenda, EvÃÂ¾en ; BarunÃÆÃÂk, Jozef ; Barunik, Jozef ; Koenda, Even. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78. Full description at Econpapers \|\| Download paper	68
36	2004	Impacts 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. Full description at Econpapers \|\| Download paper	66
37	2004	The 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. Full description at Econpapers \|\| Download paper	64
38	2009	Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336. Full description at Econpapers \|\| Download paper	64
39	2009	Liquidity 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	62
40	2002	Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339. Full description at Econpapers \|\| Download paper	56
41	1998	Long-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. Full description at Econpapers \|\| Download paper	55
42	2006	Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; NÃÆÃÂ¦s, 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	55
43	2007	Commonality 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	55
44	2009	Gone 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	55
45	1999	Intra-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. Full description at Econpapers \|\| Download paper	54
46	2004	Trading 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. Full description at Econpapers \|\| Download paper	54
47	2000	Stock 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. Full description at Econpapers \|\| Download paper	53
48	2005	Empirical 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. Full description at Econpapers \|\| Download paper	53
49	1998	Strategic 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. Full description at Econpapers \|\| Download paper	53
50	2000	The 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. Full description at Econpapers \|\| Download paper	52

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

#	Year	Title	Cited
1	2002	Illiquidity 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	721
2	2004	Market 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	89
3	2013	High 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	68
4	1998	Optimal 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	63
5	1998	Liquidity 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	63
6	2002	Price 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	59
7	2013	Optimal 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	58
8	1999	Order 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	48
9	2016	Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; KoÃÂenda, EvÃÂ¾en ; BarunÃÆÃÂk, Jozef ; Barunik, Jozef ; Koenda, Even. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78. Full description at Econpapers \|\| Download paper	48
10	2010	A 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	45
11	2013	Low-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	40
12	2014	A 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	38
13	2007	Measuring 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	29
14	2016	Risk 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. Full description at Econpapers \|\| Download paper	27
15	2000	Market 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	27
16	2013	Very 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	27
17	2004	Order 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	27
18	2002	Security 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	26
19	2017	Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street?. (2017). Donadelli, Michael ; Riedel, Max ; Kizys, Renatas. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:84-103. Full description at Econpapers \|\| Download paper	24
20	2011	Automation, 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	22
21	2002	Some 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	21
22	2014	Intraday 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. Full description at Econpapers \|\| Download paper	20
23	2009	Technology 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	20
24	2014	Investor 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. Full description at Econpapers \|\| Download paper	20
25	1998	Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383. Full description at Econpapers \|\| Download paper	20
26	2006	Value 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. Full description at Econpapers \|\| Download paper	19
27	2005	Duration, 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	19
28	2018	Intraday momentum in FX markets: Disentangling informed trading from liquidity provision. (2018). FrÃÆÃÂ¶mmel, Michael ; Lampaert, Kevin ; Frommel, Michael ; Elaut, Gert. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:35-51. Full description at Econpapers \|\| Download paper	18
29	2005	Market 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	18
30	2009	Which 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. Full description at Econpapers \|\| Download paper	18
31	2010	The 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	18
32	2009	Liquidity 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	18
33	2000	Inferring 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	18
34	2010	Institutional 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. Full description at Econpapers \|\| Download paper	17
35	2004	The 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. Full description at Econpapers \|\| Download paper	17
36	2017	Equity premium prediction: The role of economic and statistical constraints. (2017). Tsiakas, Ilias ; Li, Jiahan. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:56-75. Full description at Econpapers \|\| Download paper	17
37	2009	Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336. Full description at Econpapers \|\| Download paper	17
38	2011	Conventional mutual index funds versus exchange-traded funds. (2011). Agapova, Anna . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:323-343. Full description at Econpapers \|\| Download paper	16
39	2009	Gone 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	16
40	2020	Price discovery in stock and options markets. (2020). Putnins, Talis ; Michayluk, David ; Patel, Vinay ; Foley, Sean. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303544. Full description at Econpapers \|\| Download paper	16
41	2011	Effects 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. Full description at Econpapers \|\| Download paper	15
42	2016	Does high-frequency trading increase systemic risk?. (2016). McInish, Thomas ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:1-24. Full description at Econpapers \|\| Download paper	15
43	2016	Does mood affect trading behavior?. (2016). Kaustia, Markku ; Rantapuska, Elias . In: Journal of Financial Markets. RePEc:eee:finmar:v:29:y:2016:i:c:p:1-26. Full description at Econpapers \|\| Download paper	15
44	2009	Credit 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. Full description at Econpapers \|\| Download paper	15
45	2013	The 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. Full description at Econpapers \|\| Download paper	15
46	2014	How 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. Full description at Econpapers \|\| Download paper	15
47	2013	Stock price synchronicity and liquidity. (2013). Hameed, Allaudeen ; Kang, Wenjin ; Chan, Kalok. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:3:p:414-438. Full description at Econpapers \|\| Download paper	14
48	2017	Effects 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. Full description at Econpapers \|\| Download paper	14
49	2011	Carry 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. Full description at Econpapers \|\| Download paper	14
50	2013	A call auctions impact on price formation and order routing: Evidence from the NASDAQ stock market. (2013). Peng, Lin ; Schwartz, Robert A. ; Pagano, Michael S.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:2:p:331-361. Full description at Econpapers \|\| Download paper	14

Citing documents used to compute impact factor: 88

Year	Title
2020	Differences of opinion, institutional bids, and IPO underpricing. (2020). Gao, Shenghao ; Yan, Xuemin ; Meng, Qingbin ; Brockman, Paul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918300282. Full description at Econpapers \|\| Download paper
2020	When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests. (2020). Loveland, Robert ; Fung, Scott. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1459-1485. Full description at Econpapers \|\| Download paper
2020	Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804. Full description at Econpapers \|\| Download paper
2020	Environmental, social, and governance practices and perceived tail risk. (2020). Szado, Edward ; Shafer, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4195-4224. Full description at Econpapers \|\| Download paper
2020	Measuring liquidity in Indian stock market: A dimensional perspective. (2020). Reddy, Y V ; Poornima, B G ; Naik, Priyanka. In: PLOS ONE. RePEc:plo:pone00:0238718. Full description at Econpapers \|\| Download paper
2020	Contingent Convertible bond literature review: making everything and nothing possible?. (2020). Oster, Philippe. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:4:d:10.1057_s41261-019-00122-z. Full description at Econpapers \|\| Download paper
2020	Better the devil you know: Home and sectoral biases in bank lending. (2020). Ureche-Rangau, L ; Burietz, A. In: International Economics. RePEc:eee:inteco:v:164:y:2020:i:c:p:69-85. Full description at Econpapers \|\| Download paper
2020	The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039. Full description at Econpapers \|\| Download paper
2020	Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288. Full description at Econpapers \|\| Download paper
2020	Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020. Full description at Econpapers \|\| Download paper
2020	Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686. Full description at Econpapers \|\| Download paper
2020	Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256. Full description at Econpapers \|\| Download paper
2020	SHIFT: A Highly Realistic Financial Market Simulation Platform. (2020). BOZDOG, DRAGOS ; Calhoun, George ; Florescu, Ionut ; Alves, Thiago W. In: Papers. RePEc:arx:papers:2002.11158. Full description at Econpapers \|\| Download paper
2020	Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program. (2020). Chung, Kee H ; Rosch, Dominik ; Lee, Albert J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:879-899. Full description at Econpapers \|\| Download paper
2020	Media tone and expected stock returns. (2020). Han, Jingguang ; Liu, Sha. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301666. Full description at Econpapers \|\| Download paper
2020	Establishing social media firestorm scale via large dataset media analytics. (2020). Harkonen, Janne ; Karvonen, Erkki ; Nuortimo, Kalle. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:8:y:2020:i:4:d:10.1057_s41270-020-00080-w. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Which firms benefit from market making?. (2020). Smith, Richard L ; Kutsuna, Kenji ; Kim, Thomas S ; Chung, Peter Y. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:1:d:10.1007_s11408-020-00345-5. Full description at Econpapers \|\| Download paper
2020	When is a MAX not the MAX? How news resolves information uncertainty. (2020). Bell, Adrian ; Brooks, Chris ; Tao, Ran. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:33-51. Full description at Econpapers \|\| Download paper
2020	Preference for lottery features in real estate investment trusts. (2020). Seiler, Michaelj ; Harrison, Davidm ; Zhu, Zhaobo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:599-613. Full description at Econpapers \|\| Download paper
2020	Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642. Full description at Econpapers \|\| Download paper
2020	Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846. Full description at Econpapers \|\| Download paper
2020	Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Working Papers. RePEc:ipg:wpaper:2020-006. Full description at Econpapers \|\| Download paper
2020	Liquidity risk and stock performance during the financial crisis. (2020). Dang, Tung ; Hue, Thi Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302831. Full description at Econpapers \|\| Download paper
2020	Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers \|\| Download paper
2020	What is the best proxy for liquidity in the presence of extreme illiquidity?. (2020). BÃâ¢dowska-SÃÂ³jka, Barbara ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080. Full description at Econpapers \|\| Download paper
2020	Eastern Halloween effect: A stochastic dominance approach. (2020). Li, YA ; Ali, Y ; Chow, Sheung Chi ; Cheng, Wui Wing ; Chui, David. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301256. Full description at Econpapers \|\| Download paper
2020	Stock volatility and trading. (2020). Kaprielyan, Margarita ; Agapova, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294082030139x. Full description at Econpapers \|\| Download paper
2020	Does financial statement comparability mitigate delayed trading volume before earnings announcements?. (2020). Kim, Junwoo. In: Journal of Business Research. RePEc:eee:jbrese:v:107:y:2020:i:c:p:62-75. Full description at Econpapers \|\| Download paper
2020	The price and volume response to earnings announcements in the corporate bond market. (2020). Woodley, Melissa ; Wingender, John R ; DaDalt, Peter . In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:669-696. Full description at Econpapers \|\| Download paper
2020	Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807. Full description at Econpapers \|\| Download paper
2020	Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320. Full description at Econpapers \|\| Download paper
2020	Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). BÄdowska-SÃ³jka, Barbara ; Bdowska-Sojka, Barbara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780. Full description at Econpapers \|\| Download paper
2020	In law we trust: Lawyer CEOs and stock liquidity. (2020). Pham, Mia Hang. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300173. Full description at Econpapers \|\| Download paper
2020	Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method. (2020). Zhou, Huiting ; Dai, Zhifeng. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:541-:d:307513. Full description at Econpapers \|\| Download paper
2020	Idiosyncratic momentum and the crossÃ¢â¬Âsection of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627. Full description at Econpapers \|\| Download paper
2020	Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133. Full description at Econpapers \|\| Download paper
2020	Technical trading index, return predictability and idiosyncratic volatility. (2020). Su, Yunpeng ; Yang, Baochen ; Ma, Yao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:879-900. Full description at Econpapers \|\| Download paper
2020	Liquidity connectedness and output synchronisation. (2020). Inekwe, John. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300925. Full description at Econpapers \|\| Download paper
2020	More shareholders, higher liquidity? Evidence from an emerging stock market. (2020). Goh, Kim-Leng ; Lim, Kian-Ping ; Chia, Yee-Ee. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118305016. Full description at Econpapers \|\| Download paper
2020	Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30. (2020). Slater, David M ; McMahon, Matthew T ; Matthew, ; Tivnan, Brendan F ; Gray, Tyler J ; Ring, John H ; van Oort, Colin M ; Dewhurst, David Rushing ; Danforth, Christopher M ; Veneman, Jason G. In: PLOS ONE. RePEc:plo:pone00:0226968. Full description at Econpapers \|\| Download paper
2020	Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. (2020). Shkilko, Andriy ; Sokolov, Konstantin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:2899-2927. Full description at Econpapers \|\| Download paper
2020	Trade signing in fast markets. (2020). Kolay, Madhuparna ; Carrion, Allen. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:385-404. Full description at Econpapers \|\| Download paper
2020	Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times. (2020). Balcilar, Mehmet ; Wohar, Mark E ; Ozdemir, Huseyin. In: IZA Discussion Papers. RePEc:iza:izadps:dp13274. Full description at Econpapers \|\| Download paper
2020	The 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. Full description at Econpapers \|\| Download paper
2020	Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation. (2020). Maruyama, Shunya ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.13036. Full description at Econpapers \|\| Download paper
2020	Performance of ProShares Triple-Leveraged Equity ETFs. (2020). Hassan, Kabir M ; Panta, Humnath ; Adhikari, Ramesh. In: Capital Markets Review. RePEc:mfa:journl:v:28:y:2020:i:2:p:1-18. Full description at Econpapers \|\| Download paper
2020	Corporate insider trading and return skewness. (2020). Drobetz, Wolfgang ; Westheide, Christian ; Mussbach, Emil. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918300427. Full description at Econpapers \|\| Download paper
2020	High-frequency trading and institutional trading costs. (2020). Garriott, Corey ; Chen, Marie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:74-93. Full description at Econpapers \|\| Download paper
2020	Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50. Full description at Econpapers \|\| Download paper
2020	Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229. Full description at Econpapers \|\| Download paper
2020	Intraday market making with overnight inventory costs. (2020). Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias ; Zhang, Hongzhong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331. Full description at Econpapers \|\| Download paper
2020	When Overconfident Traders Meet Feedback Traders - Updated from 2016. (2020). Rousseau, Fabrice ; Germain, Laurent ; Boco, Herve . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n270-16.pdf. Full description at Econpapers \|\| Download paper
2020	Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence. (2020). Otchere, Isaac ; Abukari, Kobana. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00363-3. Full description at Econpapers \|\| Download paper
2020	Trading Volume and Stock Returns: A Meta-Analysis. (2020). Bajzik, Josef. In: Working Papers IES. RePEc:fau:wpaper:wp2020_45. Full description at Econpapers \|\| Download paper
2020	Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo. (2020). Wu, XI ; Yuan, Ying ; Zhang, Tonghui . In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318307803. Full description at Econpapers \|\| Download paper
2020	How the individual investors took on big data: The effect of panic from the internet stock message boards on stock price crash. (2020). Cheng, Teng Yuan ; Zhu, YU ; Yang, Xiaolan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19301349. Full description at Econpapers \|\| Download paper
2020	Social media, political uncertainty, and stock markets. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-020-00870-4. Full description at Econpapers \|\| Download paper
2020	Social media, financial reporting opacity, and return comovement: Evidence from Seeking Alpha. (2020). Li, Yifan ; Zhou, Hang ; Ding, Rong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418119300126. Full description at Econpapers \|\| Download paper
2020	Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964. Full description at Econpapers \|\| Download paper
2020	Individual Investors Attention to Accounting Information: Evidence from Online Financial Communities. (2020). Lerman, Alina. In: Contemporary Accounting Research. RePEc:wly:coacre:v:37:y:2020:i:4:p:2020-2057. Full description at Econpapers \|\| Download paper
2020	The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark. (2020). Giovannetti, Bruno ; De-Losso, Rodrigo ; Bueno, Rodrigo ; Cereda, Fabio Saia ; Genaro, Alan ; Chague, Fernando. In: Textos para discussÃÂ£o. RePEc:fgv:eesptd:524. Full description at Econpapers \|\| Download paper
2020	Why does public news augment information asymmetries?. (2020). Crego, Julio A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:72-89. Full description at Econpapers \|\| Download paper
2020	Beta uncertainty. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011. Full description at Econpapers \|\| Download paper
2020	Beta and firm age. (2020). Moneta, Fabio ; Kim, Daehwan ; Chincarini, Ludwig B. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:50-74. Full description at Econpapers \|\| Download paper
2020	PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673. Full description at Econpapers \|\| Download paper
2020	Estimating beta: The international evidence. (2020). Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302302. Full description at Econpapers \|\| Download paper
2020	Can International Market Indices Estimate TASIâs Movements? The ARIMA Model. (2020). Al-Najjar, Hazem ; Al-Rousan, Nadia ; Assous, Hamzeh F. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:6:y:2020:i:2:p:27-:d:348726. Full description at Econpapers \|\| Download paper
2020	Socially optimal forest management and biodiversity conservation in temperate forests under climate change. (2020). Derci, Andrey Lessa ; Hanewinkel, Marc ; Yousefpour, Rasoul ; Lasch, Petra ; Suckow, Felicitas ; Basile, Marco ; Gutsch, Martin. In: Ecological Economics. RePEc:eee:ecolec:v:169:y:2020:i:c:s0921800919308560. Full description at Econpapers \|\| Download paper
2020	The high frequency trade off between speed and sophistication. (2020). Ladley, Daniel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300804. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Everybody likes shopping, including the US capital market. (2020). Cohen, Gil ; Aharon, David Y ; Qadan, Mahmoud. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120300224. Full description at Econpapers \|\| Download paper
2020	Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143. Full description at Econpapers \|\| Download paper
2020	Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability. (2020). Katsaiti, Marina-Selini ; Polyzos, Stathis ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302349. Full description at Econpapers \|\| Download paper
2020	Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models. (2020). Wei, YU ; Liu, Yuntong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6640180. Full description at Econpapers \|\| Download paper
2020	Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B. In: Papers. RePEc:arx:papers:2004.06200. Full description at Econpapers \|\| Download paper
2020	The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility. (2020). Li, Yishi ; Ho, Tsungwu ; Wang, Panpan. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:8:p:3322-:d:347707. Full description at Econpapers \|\| Download paper
2020	More heat than light: Investor attention and bitcoin price discovery. (2020). Rzayev, Khaladdin ; McGroarty, Frank ; Ibikunle, Gbenga. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919306301. Full description at Econpapers \|\| Download paper
2020	Pulling starters. (2020). Mills, Brian ; Finigan, Duncan ; Stone, Daniel F. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:89:y:2020:i:c:s2214804320300409. Full description at Econpapers \|\| Download paper
2020	Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448. Full description at Econpapers \|\| Download paper
2020	Enhancing momentum profits in the Taiwan Stock Market: The role of extreme absolute strength. (2020). Yang, Sheng-Yung ; Xia, Chuanxin ; Lin, Chaonan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19303993. Full description at Econpapers \|\| Download paper
2020	Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460. Full description at Econpapers \|\| Download paper
2020	Intraday timeÃ¢â¬Âseries momentum: Evidence from China. (2020). Li, Youwei ; Yang, Yung Chiang ; Jin, Muzhao ; Kearney, Fearghal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:632-650. Full description at Econpapers \|\| Download paper
2020	Does intraday time-series momentum exist in Chinese stock index futures market?. (2020). Shen, Dehua ; Li, YI ; Zhang, Wei ; Wang, Pengfei. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304337. Full description at Econpapers \|\| Download paper
2020	Intraday momentum in Chinese commodity futures markets. (2020). Wang, Pengfei ; Zhang, Wei ; Li, YI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311328. Full description at Econpapers \|\| Download paper
2020	Intraday return predictability: Evidence from commodity ETFs and their related volatility indices. (2020). Wen, Zhuzhu ; Saeed, Tareq ; Bouri, Elie ; Xu, Yahua. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030862x. Full description at Econpapers \|\| Download paper
2020	Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes. (2020). Kedar-Levy, Haim. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302428. Full description at Econpapers \|\| Download paper
2020	Tornado activity, house prices, and stock returns. (2020). JÃÆÃÂ¼ppner, Marcus ; Ghisletti, M ; Paradiso, A ; Juppner, M ; Donadelli, M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300590. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document
2020	Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804. Full description at Econpapers \|\| Download paper
2020	Inferring trade directions in fast markets. (2020). Jurkatis, Simon . In: Bank of England working papers. RePEc:boe:boeewp:0896. Full description at Econpapers \|\| Download paper
2020	On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115. Full description at Econpapers \|\| Download paper
2020	Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Working Papers. RePEc:ipg:wpaper:2020-006. Full description at Econpapers \|\| Download paper
2020	The price leadership share: a new measure of price discovery in financial markets. (2020). de Blasis, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00371-3. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Information Leakage in Energy Derivatives around News Announcements. (2020). Patel, Vinay ; Bohmann, Marc. In: Published Paper Series. RePEc:uts:ppaper:2020-2. Full description at Econpapers \|\| Download paper
2020	Benchmarks in the spotlight: The impact on exchange traded markets. (2020). O'Neill, Peter ; Foley, Sean ; Aspris, Angelo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1691-1710. Full description at Econpapers \|\| Download paper
2020	Show me the money: Option moneyness concentration and future stock returns. (2020). Csapi, Vivien ; Bergsma, Kelley ; Fodor, Andy ; Diavatopoulos, Dean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:761-775. Full description at Econpapers \|\| Download paper
2020	Ambiguity and investor behavior. (2020). Meyer, Steffen ; Kostopoulos, Dimitrios ; Uhr, Charline. In: SAFE Working Paper Series. RePEc:zbw:safewp:297. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	Exploring Contrarian Degree in the Trading Behavior of Chinas Stock Market. (2019). Niu, Xiaojian ; Chen, Yue ; Zhang, Yan . In: Complexity. RePEc:hin:complx:1678086. Full description at Econpapers \|\| Download paper
2019	Differences 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. Full description at Econpapers \|\| Download paper
2019	Forecasting 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. Full description at Econpapers \|\| Download paper
2019	Options pricing and shortÃ¢â¬Âselling in the underlying: Evidence from India. (2019). Vipul, ; Dixit, Alok ; Singh, Shiva M. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1250-1268. Full description at Econpapers \|\| Download paper
2019	Is options trading informed? Evidence from credit rating change announcements. (2019). Zhang, Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1085-1106. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Magris, Martin ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.12200. Full description at Econpapers \|\| Download paper
2018	Momentum 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. Full description at Econpapers \|\| Download paper
2018	Distilling 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. Full description at Econpapers \|\| Download paper
2018	Arbitrage 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. Full description at Econpapers \|\| Download paper
2018	Market 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. Full description at Econpapers \|\| Download paper
2018	The 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. Full description at Econpapers \|\| Download paper
2018	Sustainability 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. Full description at Econpapers \|\| Download paper
2018	Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators. (2018). ÃÆÃËdegaard, Bernt ; Klova, Valeriia. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2018_004. Full description at Econpapers \|\| Download paper
2018	Focusing 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Dealing with dealers: sovereign CDS comovements. (). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel. In: Working Papers. RePEc:bde:wpaper:1723. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Detection 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. Full description at Econpapers \|\| Download paper
2017	2017 Financial Stability Report. (2017). . In: Reports. RePEc:ofr:report:17-2. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	65	311
2	Pacific-Basin Finance Journal / Elsevier	44	266
3	Journal of Banking & Finance / Elsevier	148	255
4	International Review of Financial Analysis / Elsevier	49	232
5	Journal of Financial Markets / Elsevier	51	231
6	Journal of Financial Economics / Elsevier	250	229
7	Journal of Futures Markets / John Wiley & Sons, Ltd.	38	194
8	Finance Research Letters / Elsevier	42	183
9	The North American Journal of Economics and Finance / Elsevier	36	167
10	International Review of Economics & Finance / Elsevier	47	160
11	Journal of Empirical Finance / Elsevier	69	153