Journal of Financial Markets

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.21 0 0 0 0.08 1998 0.25 13 93 0 0 4 0.31 0.1 1999 0.15 0.32 16 85 13 2 0 7 0.44 0.15 2000 0.45 0.43 15 99 29 13 0 5 0.33 0.19 2001 0.55 0.41 15 45 31 17 0 3 0.2 0.17 2002 0.4 0.44 19 118 30 12 0 4 0.21 0.2 2003 0.38 0.47 22 50 34 13 0 2 0.09 0.22 2004 0.41 0.52 17 71 41 17 0 14 0.82 0.23 2005 0.62 0.56 16 52 39 24 0 5 0.31 0.25 2006 0.73 0.57 18 28 33 24 0 4 0.22 0.24 2007 0.5 0.48 15 17 34 17 0 3 0.2 0.22
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56 Illiquidity and stock returns: cross-section and time-series effects (2002).
Cited: 73 times.

(2) RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258 Market microstructure: A survey (2000).
Cited: 52 times.

(3) RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383 Aggressiveness and survival of overconfident traders (1998).
Cited: 37 times.

(4) RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134 Order flow composition and trading costs in a dynamic limit order market1 (1999).
Cited: 37 times.

(5) RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74 Order aggressiveness in limit order book markets (2004).
Cited: 27 times.

(6) RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50 Optimal control of execution costs (1998).
Cited: 20 times.

(7) RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84 On the survival of overconfident traders in a competitive securities market (2001).
Cited: 19 times.

(8) RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25 Impacts of trades in an error-correction model of quote prices (2004).
Cited: 17 times.

(9) RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264 Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005).
Cited: 17 times.

(10) RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111 Inferring investor behavior: Evidence from TORQ data (2000).
Cited: 16 times.

(11) RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219 Liquidity and stock returns: An alternative test (1998).
Cited: 14 times.

(12) RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321 Price discovery and common factor models (2002).
Cited: 12 times.

(13) RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286 On the occurrence and consequences of inaccurate trade classification (2000).
Cited: 12 times.

(14) RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357 The organization of financial exchange markets: Theory and evidence (1999).
Cited: 10 times.

(15) RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226 Intra-day market activity (1999).
Cited: 10 times.

(16) RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287 Should securities markets be transparent? (2005).
Cited: 10 times.

(17) RePEc:eee:finmar:v:2:y:1999:i:3:p:227-271 Reputation and performance fee effects on portfolio choice by investment advisers1 (1999).
Cited: 10 times.

(18) RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308 Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002).
Cited: 10 times.

(19) RePEc:eee:finmar:v:6:y:2003:i:4:p:517-538 Traders choice between limit and market orders: evidence from NYSE stocks (2003).
Cited: 9 times.

(20) RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276 Some desiderata for the measurement of price discovery across markets (2002).
Cited: 9 times.

(21) RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299 Market liquidity as a sentiment indicator (2004).
Cited: 9 times.

(22) RePEc:eee:finmar:v:5:y:2002:i:2:p:127-167 Market architecture: limit-order books versus dealership markets (2002).
Cited: 8 times.

(23) RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201 Financial analysts and information-based trade (1998).
Cited: 8 times.

(24) RePEc:eee:finmar:v:6:y:2003:i:1:p:1-21 Excess demand and equilibration in multi-security financial markets: the empirical evidence (2003).
Cited: 8 times.

(25) RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68 The alpha factor asset pricing model: A parable (1999).
Cited: 7 times.

(26) RePEc:eee:finmar:v:7:y:2004:i:2:p:145-185 Expandable limit order markets (2004).
Cited: 7 times.

(27) RePEc:eee:finmar:v:3:y:2000:i:4:p:333-363 Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets (2000).
Cited: 7 times.

(28) RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48 Market depth and order size1 (1999).
Cited: 7 times.

(29) RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399 Duration, volume and volatility impact of trades (2005).
Cited: 7 times.

(30) RePEc:eee:finmar:v:5:y:2002:i:2:p:223-257 The impact of the Federal Reserve Banks open market operations (2002).
Cited: 7 times.

(31) RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25 Measuring the resiliency of an electronic limit order book (2007).
Cited: 6 times.

(32) RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489 Quote setting and price formation in an order driven market (2003).
Cited: 6 times.

(33) RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257 Issues in assessing trade execution costs (2003).
Cited: 6 times.

(34) RePEc:eee:finmar:v:4:y:2001:i:2:p:113-142 Predicting VNET: A model of the dynamics of market depth (2001).
Cited: 6 times.

(35) RePEc:eee:finmar:v:4:y:2001:i:4:p:385-412 Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets (2001).
Cited: 6 times.

(36) RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352 Strategic trading, asymmetric information and heterogeneous prior beliefs (1998).
Cited: 6 times.

(37) RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333 Trading strategies during circuit breakers and extreme market movements (2004).
Cited: 5 times.

(38) RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339 Stalking the efficient price in market microstructure specifications: an overview (2002).
Cited: 5 times.

(39) RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67 Stock returns and trading at the close (2000).
Cited: 5 times.

(40) RePEc:eee:finmar:v:5:y:2002:i:1:p:57-82 Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York (2002).
Cited: 5 times.

(41) RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109 International momentum strategies: a stochastic dominance approach (2005).
Cited: 5 times.

(42) RePEc:eee:finmar:v:8:y:2005:i:1:p:1-23 Trade-through prohibitions and market quality (2005).
Cited: 5 times.

(43) RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81 The capital asset pricing model and the liquidity effect: A theoretical approach (2000).
Cited: 5 times.

(44) RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179 On the importance of timing specifications in market microstructure research (2006).
Cited: 5 times.

(45) RePEc:eee:finmar:v:3:y:2000:i:1:p:17-43 Asset market equilibrium with general tastes, returns, and informational asymmetries (2000).
Cited: 4 times.

(46) RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432 Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market (2006).
Cited: 4 times.

(47) RePEc:eee:finmar:v:6:y:2003:i:2:p:99-141 Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market (2003).
Cited: 4 times.

(48) RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32 A new historical database for the NYSE 1815 to 1925: Performance and predictability (2001).
Cited: 4 times.

(49) RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172 Technology and liquidity provision: The blurring of traditional definitions (2009).
Cited: 4 times.

(50) RePEc:eee:finmar:v:6:y:2003:i:3:p:363-387 Intra-industry momentum: the case of REITs (2003).
Cited: 4 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:nbr:nberwo:13625 When Does a Mutual Funds Trade Reveal its Skill? (2007). National Bureau of Economic Research, Inc / NBER Working Papers

(2) RePEc:oxf:wpaper:340 Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment (2007). University of Oxford, Department of Economics / Economics Series Working Papers

(3) RePEc:pra:mprapa:5548 Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision (2007). University Library of Munich, Germany / MPRA Paper

Recent citations received in: 2006

(1) RePEc:bde:wpaper:0630 Option-implied preferences adjustments, density forecasts, and the equity risk premium (2006). Banco de Espana / Banco de Espana Working Papers

(2) RePEc:cor:louvco:2006110 Does the open limit order book matter in explaining long run volatility ? (2006). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers

(3) RePEc:crt:wpaper:0615 The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange (2006). University of Crete, Department of Economics / Working Papers

(4) RePEc:ebg:essewp:dr-06017 Preferencing, internalization and inventory position (2006). ESSEC Research Center, ESSEC Business School / ESSEC Working Papers

Recent citations received in: 2005

(1) RePEc:ide:wpaper:4639 Does Order Flow Fragmentation Impact Market Quality? The Case of Nasdaq SuperMontage (2005). Institut d'Économie Industrielle (IDEI), Toulouse / IDEI Working Papers

(2) RePEc:mos:moswps:2005-16 Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach (2005). Monash University, Department of Economics / Monash Economics Working Papers

(3) RePEc:nbr:nberwo:11444 Optimal Trading Strategy and Supply/Demand Dynamics (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(4) RePEc:sbs:wpsefe:2005fe10 Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005). Oxford Financial Research Centre / OFRC Working Papers Series

(5) RePEc:wpa:wuwpfi:0510031 Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005). EconWPA / Finance

Recent citations received in: 2004

(1) RePEc:cor:louvco:2004033 What pieces of limit order book information are informative ? (2004). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers

(2) RePEc:ctl:louvec:2005015 Volatility regimes and the provisions of liquidity in order book markets (2004). Université catholique de Louvain, Département des Sciences Economiques / Université catholique de Louvain, Département des Sciences Economiques Workin

(3) RePEc:ecl:ohidic:2004-8 Feedback and the Success of Irrational Investors (2004). Ohio State University, Charles A. Dice Center for Research in Financial Economics / Working Paper Series

(4) RePEc:ecm:ausm04:272 Duration and Order Type Clusters (2004). Econometric Society / Econometric Society 2004 Australasian Meetings

(5) RePEc:ecm:feam04:730 Duration and Order Type Clusters (2004). Econometric Society / Econometric Society 2004 Far Eastern Meetings

(6) RePEc:ecm:latm04:142 Understanding limit order book depth: conditioning on trade informativeness (2004). Econometric Society / Econometric Society 2004 Latin American Meetings

(7) RePEc:ecm:nasm04:476 Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE (2004). Econometric Society / Econometric Society 2004 North American Summer Meetings

(8) RePEc:ivi:wpasad:2004-38 ESTIMATING THE PROBABILITY OF INFORMED TRADING: FURTHER EVIDENCE FROM AN ORDER-DRIVEN MARKET (2004). Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) / Working Papers. Serie AD

(9) RePEc:nbb:reswpp:200405-5 How does liquidity react to stress periods in a limit order market? (2004). National Bank of Belgium / Research series

(10) RePEc:nbr:nberwo:10823 Pseudo Market Timing and Predictive Regressions (2004). National Bureau of Economic Research, Inc / NBER Working Papers

(11) RePEc:pen:papers:04-010 The Nobel Memorial Prize for Robert F. Engle (2004). Penn Institute for Economic Research, Department of Economics, University of Pennsylvania / PIER Working Paper Archive

(12) RePEc:uts:rpaper:121 A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(13) RePEc:wpa:wuwpfi:0408009 A local non-parametric model for trade sign inference (2004). EconWPA / Finance

(14) RePEc:wpa:wuwpfi:0412012 A piecewise linear model for trade sign inference (2004). EconWPA / Finance

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Source data used to compute the impact factor of RePEc series.