10
H index
10
i10 index
269
Citations
Universitat de les Illes Balears | 10 H index 10 i10 index 269 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 |
The European Journal of Finance | 2 |
Journal of Empirical Finance | 2 |
Year | Title of citing document |
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2022 | Premiums 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. Full description at Econpapers || Download paper |
2022 | Are 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. Full description at Econpapers || Download paper |
2022 | How 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. Full description at Econpapers || Download paper |
2022 | Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings. (2022). Boadu-Sebbe, Gregory. In: CERGE-EI Working Papers. RePEc:cer:papers:wp738. Full description at Econpapers || Download paper |
2022 | Are 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. Full description at Econpapers || Download paper |
2023 | Price 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. Full description at Econpapers || Download paper |
2022 | Inferring trade directions in fast markets. (2022). Jurkatis, Simon. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s1386418121000173. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Market 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. Full description at Econpapers || Download paper |
2022 | Herding 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. Full description at Econpapers || Download paper |
2022 | Dynamic 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2022 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
2023 | Magnet 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. Full description at Econpapers || Download paper |
2022 | Trades 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. Full description at Econpapers || Download paper |
2022 | Information 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. Full description at Econpapers || Download paper |
2022 | A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. 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 | 21 |
2010 | SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research. [Full Text][Citation analysis] | article | 17 |
2007 | Switching to a temporary call auction in times of high uncertainty.(2007) In: CNMV Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | 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 | 50 |
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 another version. Agregated cites: 50 | 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 another version. Agregated cites: 50 | 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 | 0 |
2014 | The timeline of trading frictions in the European carbon market In: Energy Economics. [Full Text][Citation analysis] | article | 37 |
2012 | The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | 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 | 0 |
2014 | The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 6 |
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 | 21 |
2023 | Stock liquidity and algorithmic market making during the COVID-19 crisis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
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 | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2010 | Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 14 |
2009 | Does 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 | |
2006 | Asymmetries in bid and ask responses to innovations in the trading process In: Empirical Economics. [Full Text][Citation analysis] | article | 16 |
2008 | Asymmetries 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 | |
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 | 18 |
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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