11
H index
11
i10 index
310
Citations
Universitat de les Illes Balears | 11 H index 11 i10 index 310 Citations RESEARCH PRODUCTION: 19 Articles 14 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with ROBERTO PASCUAL. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 3 |
Journal of Financial Markets | 3 |
Journal of Empirical Finance | 2 |
The European Journal of Finance | 2 |
Year | Title of citing document |
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2024 | The test of investors behavioral bias through the price discovery process in cryptoasset exchange Transactional-level evidence from Thailand. (2024). Nakavachara, Voraprapa ; Amonthumniyom, Thitiphong ; Ratanabanchuen, Roongkiat ; Parinyavuttichai, Pongsathon ; Vinaibodee, Polpatt ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2406.02878. Full description at Econpapers || Download paper |
2024 | Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs. (2024). Conlon, Thomas ; Crane, Martin ; Bezbradica, Marija ; Ngoc, An Pham. In: Papers. RePEc:arx:papers:2407.08069. Full description at Econpapers || Download paper |
2024 | Price clustering on cryptocurrency order books at a US-based exchange. (2024). Han, Seungoh. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502400008x. Full description at Econpapers || Download paper |
2024 | Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525. Full description at Econpapers || Download paper |
2024 | Firm productivity in the Energy-electricity sector over the last two decades with crisis: The role of cross-listing. (2024). Balli, Hatice ; Dang, Tam Hoang-Nhat ; Nguyen, Hannah. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000173. Full description at Econpapers || Download paper |
2024 | The environmental-financial performance nexus of EU ETS firms: A quantile regression approach. (2024). Marin, Giovanni ; Borghesi, Simone ; Flori, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000367. Full description at Econpapers || Download paper |
2024 | Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic. (2024). Zhao, Ruoyun ; Armanious, Amir. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000255. Full description at Econpapers || Download paper |
2024 | Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383. Full description at Econpapers || Download paper |
2024 | When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340. Full description at Econpapers || Download paper |
2024 | Unveiling the Nexus: Carbon finance and climate technology advancements. (2024). Treku, Daniel N ; Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005908. Full description at Econpapers || Download paper |
2024 | A bibliometric review of Market Microstructure literature: Current status, development, and future directions. (2024). Thomas, Sony ; Chalissery, Meera Davi ; Krishnan, Anand. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011164. Full description at Econpapers || Download paper |
2024 | The profitability of lead–lag arbitrage at high frequency. (2024). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1002-1021. Full description at Econpapers || Download paper |
2024 | Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073. Full description at Econpapers || Download paper |
2024 | Government reporting credibility as immunity: Evidence from a public health event. (2024). Zhang, Xiaori ; Jiang, Christine ; Hu, Bill. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:73:y:2024:i:c:s1042444x24000124. Full description at Econpapers || Download paper |
2024 | Price limits, informed trading, and information consumption. (2024). Luo, Yan ; Yang, Hao ; Ren, Haohan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002095. Full description at Econpapers || Download paper |
2024 | Risk-adjusted performance of new economy indices and thematic sectors. (2024). Rubio, Gonzalo ; Grau-Vera, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002319. Full description at Econpapers || Download paper |
2024 | Has the EU Emissions Trading System Worked Properly?. (2024). Chang, Chia-Lin ; Ilomaki, Jukka ; Laurila, Hannu. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:15:p:3651-:d:1442151. Full description at Econpapers || Download paper |
2024 | Reproducibility in Management Science. (2024). Ozkes, Ali ; Merkle, Christoph ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Fiar, Milo ; Katok, Elena. In: Post-Print. RePEc:hal:journl:hal-04370984. Full description at Econpapers || Download paper |
2024 | Experimenting with Financial Professionals. (2024). Marini, Matteo M. ; Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
2025 | The Sources of Researcher Variation in Economics. (2025). Huntington-Klein, Nick ; Gallegos, Sebastian ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744. Full description at Econpapers || Download paper |
2024 | High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets. (2024). Fernndez-Gmez, Manuel A ; Salas, Mara Beln ; Alaminos, David. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10502-3. Full description at Econpapers || Download paper |
2024 | The impact of designated market-makers on liquidity in frontier markets: Evidence from Zagreb and Ljubljana Stock Exchanges. (2024). Matek, Petar ; Galia, Maa. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:42:y:2024:i:1:p:95-121. Full description at Econpapers || Download paper |
2024 | Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures. (2024). lucey, brian ; Gabauer, David ; Chatziantoniou, Ioannis ; Long, Suwan. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:13:p:1470-1489. Full description at Econpapers || Download paper |
2025 | Is liquidity provision informative? Evidence from agricultural futures markets. (2025). Ma, Richie R ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:107:y:2025:i:1:p:125-151. Full description at Econpapers || Download paper |
2024 | Heterogeneity in Effect Size Estimates: Empirical Evidence and Practical Implications. (2024). Johannesson, Magnus ; Holzmeister, Felix ; Dreber, Anna ; Böhm, Robert ; Bohm, Robert ; Kirchler, Michael ; Huber, Jurgen. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:102. Full description at Econpapers || Download paper |
2025 | The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Tagat, Anirudh ; Szczygielski, Krzysztof ; Spantig, Lisa ; Salamanca, Nicolas ; Samahita, Margaret ; Roy, Jayjit ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; McCarthy, Ian ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Huntington-Klein, Nick ; Holzmeister, Felix ; Henningsen, Arne ; Henderson, Daniel ; Gay, Victor ; Gallegos, Sebastian ; Gamino, Aaron ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; de Gendre, Alexandra ; Crawfurd, Lee ; Buisson, Florent ; Brehm, Margaret ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Berniell, Inés ; Avdeev, Stanislav ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Deer, Lachlan ; Najam, Rafiuddin ; Wang, Yue ; Prtner, Claus C ; Ropovik, Ivan ; Baker, Bradley J ; Fradkin, Andrey ; Andresen, Martin Eckhoff ; Pitknen, Visa ; Smith, Brock ; Cullinan, John ; Ozer, Gorkem Turgut ; Hill, Andrew J ; Waters, Tom ; Adamkovic, Matus ; Gazeaud, Jules ; Mogge, Lukas ; Bandara, Imesh Nuwan ; Kronenberg, Christoph ; Naumann, Elias ; Sorensen, Lucy C ; Petroulakis, Filippos ; Herns, Ystein ; Weber, Ellerie ; Acharya, Yubraj ; Gayaker, Savas ; Merkus, Erik ; Bansal, Avijit ; Fiala, Nathan ; Klotzbcher, Valentin ; Miller, Klaus M ; Brun, Martn ; Paudel, Jayash ; Herman, Clment ; Weinberg, Stephen E ; Collins, Matthew ; Ahmad, Imtiaz ; Meinzen-Dick, Laura ; Bartram, David ; Feyman, Yevgeniy ; Huysmans, Martijn ; Burli, Pralhad ; Peukert, Christian ; Henry, Junita ; Weissmller, Kristina S ; Clement, Jeffrey ; Adema, Joop ; Gauriot, Romain ; Samudra, Aparna ; Karney, Daniel H ; Camp, Andrew M ; Prakash, Manab ; Westheide, Christian ; Reimao, Maira Emy ; Chen, Weiwei ; Mari, Gabriele ; Sanogo, Vassiki ; Bennett, Christopher Troy ; Farquharson, Christine ; Kameshwara, Kalyan Kumar ; Berha, Andu ; Tastan, Huseyin ; Cerutti, Nicola ; Heller, Blake H ; Arenas, Andreu ; Galrraga, Julio ; Sariyev, Orkhan ; Falken, Grace ; Kaire, Jos ; Agasa, Lameck Ondieki ; Trombetta, Martin ; Harris, Mark N ; Ricks, Michael David ; Antn, Jos-Ignacio ; Schaak, Henning ; Bhattacharya, Shreya ; Fages, Diego Marino ; Jakobsson, Niklas ; Venkatesan, Madhavi ; Goldhaber, Dan ; Rios-Avila, Fernando ; Aslim, Erkmen Giray ; Ligey, Maxime ; Segel, Joel E ; Duquette, Nicolas J ; Jain, Anil K ; Vernet, Antoine ; Girardi, Daniele ; Zahid, Muhammad Umer ; Rodriguez, Abel ; Lee, Ryan ; Wagner, Gary A ; Sievertsen, Hans Henrik ; Bjoerkheim, Markus ; Dorsey-Palmateer, Reid ; Nmadu, Job Nda ; Imtiaz, Saad M ; Volkov, Eden ; Woahid, S M ; Gilpin, Gregory ; Zanoli, Raffaele ; Roeckert, Julian ; Bacher-Hicks, Andrew ; French, Evaewero ; Lang, David ; Smet, Mike ; Bloem, Jeffrey R. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:209. Full description at Econpapers || Download paper |
2024 | A note on the use of syndicated loan data. (2024). Tonzer, Lena ; Muller, Isabella ; Noth, Felix. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2007 | On the Magnet Effect of Price Limits In: European Financial Management. [Full Text][Citation analysis] | article | 22 |
2010 | SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research. [Full Text][Citation analysis] | article | 18 |
2007 | Switching to a temporary call auction in times of high uncertainty.(2007) In: CNMV Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2004 | What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
2006 | Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 4 |
1999 | How does liquidity behave? A multidimensional analysis of NYSE stocks In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 0 |
2000 | BLM: bidimensional approach to measure liquidity In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 1 |
2001 | Cross-listing, price discovery and the informativeness of the trading process In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 52 |
2006 | Cross-listing, price discovery and the informativeness of the trading process.(2006) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
2003 | CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS.(2003) In: Working Papers. Serie EC. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
2000 | Dynamic asymmetries in bid-ask responses to innovations in the trading process In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2000 | Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2013 | Carbon Credits: Who is the Leader of the Pack? In: International Journal of Energy Economics and Policy. [Full Text][Citation analysis] | article | 3 |
2017 | Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
2023 | US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
2014 | The timeline of trading frictions in the European carbon market In: Energy Economics. [Full Text][Citation analysis] | article | 41 |
2012 | The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2023 | Market-wide illiquidity and the distribution of non-parametric stochastic discount factors In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2014 | The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 9 |
2015 | Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 22 |
2023 | Stock liquidity and algorithmic market making during the COVID-19 crisis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2004 | Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2018 | Evaluating VPIN as a trigger for single-stock circuit breakers In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2015 | The friction-free weighted price contribution In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 1 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
2021 | Non-Standard Errors In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2010 | Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 16 |
2009 | Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2006 | Asymmetries in bid and ask responses to innovations in the trading process In: Empirical Economics. [Full Text][Citation analysis] | article | 18 |
2008 | Asymmetries in bid and ask responses to innovations in the trading process.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has nother version. Agregated cites: 18 | chapter | |
2004 | On the bi-dimensionality of liquidity In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
2012 | On the hidden side of liquidity In: The European Journal of Finance. [Full Text][Citation analysis] | article | 29 |
2009 | What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance. [Full Text][Citation analysis] | article | 19 |
2009 | What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
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