ROBERTO PASCUAL : Citation Profile


Are you ROBERTO PASCUAL?

Universitat de les Illes Balears

10

H index

10

i10 index

269

Citations

RESEARCH PRODUCTION:

19

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 11
   Journals where ROBERTO PASCUAL has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 17 (5.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa726
   Updated: 2023-11-04    RAS profile: 2023-09-08    
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Relations with other researchers


Works with:

Rakowski, David (2)

Xia, Shuo (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Dumitrescu, Ariadna (2)

Frijns, Bart (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Park, Andreas (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Pastor, Lubos (2)

Wolff, Christian (2)

Reitz, Stefan (2)

Deev, Oleg (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Holzmeister, Felix (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Lof, Matthijs (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Colliard, Jean-Edouard (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

FERROUHI, EL MEHDI (2)

Foucault, Thierry (2)

Bos, Charles (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

Brownlees, Christian (2)

Hurlin, Christophe (2)

Caporin, Massimiliano (2)

CAPELLE-BLANCARD, Gunther (2)

Jalkh, Naji (2)

Alexeev, Vitali (2)

Deku, Solomon (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Vogel, Sebastian (2)

Johannesson, Magnus (2)

Gehrig, Thomas (2)

Schenk-Hoppé, Klaus (2)

Wilhelmsson, Anders (2)

Kearney, Fearghal (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Roy, Saurabh (2)

Frömmel, Michael (2)

Stefanova, Denitsa (2)

Korajczyk, Robert (2)

Davies, Ryan (2)

Harris, Jeffrey (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Ødegaard, Bernt (2)

Horenstein, Alex (2)

Smales, Lee (2)

Patton, Andrew (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Lopez-Lira, Alejandro (2)

Gerritsen, Dirk (2)

Abudy, Menachem (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Scaillet, Olivier (2)

Schuerhoff, Norman (2)

Ait-Sahalia, Yacine (2)

Hjalmarsson, Erik (2)

Adrian, Tobias (2)

Regis, Luca (2)

Patel, Vinay (2)

Dreber, Anna (2)

Walther, Thomas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with ROBERTO PASCUAL.

Is cited by:

Hautsch, Nikolaus (21)

Veredas, David (8)

Frijns, Bart (8)

Tourani-Rad, Alireza (8)

battiston, stefano (6)

Mandel, Antoine (6)

Baudry, marc (5)

Hall, Anthony (5)

Rannou, Yves (5)

Quemin, Simon (5)

Taschini, Luca (4)

Cites to:

Foucault, Thierry (40)

Easley, David (27)

Madhavan, Ananth (21)

Subrahmanyam, Avanidhar (19)

Engle, Robert (18)

Lee, Charles (16)

Biais, Bruno (16)

Ready, Mark (15)

Brogaard, Jonathan (15)

Menkveld, Albert (15)

Moinas, Sophie (13)

Main data


Where ROBERTO PASCUAL has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Financial Markets3
The European Journal of Finance2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa3
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2

Recent works citing ROBERTO PASCUAL (2023 and 2022)


YearTitle of citing document
2022Premiums between Cross?listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness. (2022). Liu, Xue ; Xu, Ruihui ; Zhang, Xuechun. In: China & World Economy. RePEc:bla:chinae:v:30:y:2022:i:3:p:75-99.

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2022Are the flows of exchange?traded funds informative?. (2022). Yin, Xiangkang ; Zhao, Jing ; Xu, Liao. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:4:p:1165-1200.

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2022How is Earnings News Transmitted to Stock Prices?. (2022). Martineau, Charles ; Gregoire, Vincent. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:1:p:261-297.

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2022Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings. (2022). Boadu-Sebbe, Gregory. In: CERGE-EI Working Papers. RePEc:cer:papers:wp738.

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2022Are high frequency traders responsible for extreme price movements?. (2022). Westerholm, Joakim P ; Prodromou, Tina. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:94-111.

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2023Price limit change and magnet effect: The role of investor attention. (2023). Li, Peigong ; Hao, Jing ; Zhang, Xiaotao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200753x.

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2022Inferring trade directions in fast markets. (2022). Jurkatis, Simon. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s1386418121000173.

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2022The impact of reporting changes on hidden liquidity: Evidence from the Chicago stock exchange. (2022). Cox, Justin S. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000424.

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2022Market fairness and efficiency: Evidence from the Tokyo Stock Exchange. (2022). Zhang, Jiang ; McInish, Thomas H ; Kemme, David M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002612.

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2022Herding and Chinas market-wide circuit breaker. (2022). Suardi, Sandy ; Kim, Maria H ; Wang, Xinru. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:141:y:2022:i:c:s0378426622001273.

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2022Dynamic and Static Volatility Interruptions: Evidence from the Korean Stock Markets. (2022). Kwon, Kyung Yoon ; Eom, Kyong Shik ; Park, Jong-Ho ; La, Sung Chae. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:105-:d:758453.

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2023The Impact of Carbon Emission Trading Policy on Enterprise ESG Performance: Evidence from China. (2023). Sun, Zuoren ; Zhang, Yiteng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:10:p:8279-:d:1150826.

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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2023Magnet effects of circuit breakers in electronic order?driven markets: Evidence from China. (2023). Lu, Jing ; Xiang, Cheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1450-1469.

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2022Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets. (2022). Yuan, Xianghui ; Wang, Shihao ; Li, Peiran ; Lian, Feng ; Jin, Liwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2235-2247.

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2022Information and the arrival rate of option trading volume. (2022). Kalaitzoglou, Iordanis ; Verousis, Thanos ; Zhang, Mengyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:605-644.

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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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Works by ROBERTO PASCUAL:


YearTitleTypeCited
2007On the Magnet Effect of Price Limits In: European Financial Management.
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article21
2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research.
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article17
2007Switching to a temporary call auction in times of high uncertainty.(2007) In: CNMV Working Papers.
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This paper has another version. Agregated cites: 17
paper
2004What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE.
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paper13
2006Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE.
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paper4
1999How does liquidity behave? A multidimensional analysis of NYSE stocks In: DEE - Working Papers. Business Economics. WB.
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paper0
2000BLM: bidimensional approach to measure liquidity In: DEE - Working Papers. Business Economics. WB.
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paper1
2001Cross-listing, price discovery and the informativeness of the trading process In: DEE - Working Papers. Business Economics. WB.
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paper50
2006Cross-listing, price discovery and the informativeness of the trading process.(2006) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 50
article
2003CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS.(2003) In: Working Papers. Serie EC.
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This paper has another version. Agregated cites: 50
paper
2000Dynamic asymmetries in bid-ask responses to innovations in the trading process In: UC3M Working papers. Economics.
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paper1
2000Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context In: UC3M Working papers. Economics.
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paper0
2013Carbon Credits: Who is the Leader of the Pack? In: International Journal of Energy Economics and Policy.
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article3
2017Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation In: Journal of Empirical Finance.
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article2
2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks In: Journal of Empirical Finance.
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article0
2014The timeline of trading frictions in the European carbon market In: Energy Economics.
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article37
2012The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 37
paper
2023Market-wide illiquidity and the distribution of non-parametric stochastic discount factors In: International Review of Financial Analysis.
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article0
2014The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets.
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article6
2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm In: Journal of Financial Markets.
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article21
2023Stock liquidity and algorithmic market making during the COVID-19 crisis In: Journal of Banking & Finance.
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article0
2004Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis In: Journal of Banking & Finance.
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article5
2018Evaluating VPIN as a trigger for single-stock circuit breakers In: Journal of Banking & Finance.
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article5
2015The friction-free weighted price contribution In: International Review of Economics & Finance.
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article1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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paper2
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: The Journal of Financial Econometrics.
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article14
2009Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
2006Asymmetries in bid and ask responses to innovations in the trading process In: Empirical Economics.
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article16
2008Asymmetries in bid and ask responses to innovations in the trading process.(2008) In: Studies in Empirical Economics.
[Citation analysis]
This paper has another version. Agregated cites: 16
chapter
2004On the bi-dimensionality of liquidity In: The European Journal of Finance.
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article3
2012On the hidden side of liquidity In: The European Journal of Finance.
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article29
2009What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance.
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article18
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
[Citation analysis]
paper0

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