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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 citations

 

  
 

Journal of Financial Markets / Elsevier Science Economics Articles Archive

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2011), 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
19900.080000.04
19910.080000.04
19920.080000.04
19930.090000.05
19940.10000.05
19950.190000.07
19960.230000.1
19970.290000.1
19980.29132700040.310.11
19990.380.3416219135090.560.15
20000.620.4315290291822.260.40.17
20010.770.451510831244.230.20.17
20020.870.461939730263.870.370.21
20030.560.4822154341915.850.230.21
20040.80.551719541336.1191.120.23
20051.050.571614439417.360.380.24
20061.120.54189133378.140.220.22
20070.850.48158834296.960.40.19
20080.70.517603323020.120.22
20090.970.51327432313.2140.440.21
20100.630.462029493116.1100.50.17
20110.730.64231752387.960.260.26
 
 
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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
2002Illiquidity and stock returns: cross-section and time-series effects
RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56 [Citation Analysis]		256
2000Market microstructure: A survey
RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258 [Citation Analysis]		127
1999Order flow composition and trading costs in a dynamic limit order market1
RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134 [Citation Analysis]		102
1998Liquidity and stock returns: An alternative test
RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219 [Citation Analysis]		83
2004Order aggressiveness in limit order book markets
RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74 [Citation Analysis]		54
1998Optimal control of execution costs
RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50 [Citation Analysis]		53
1998Aggressiveness and survival of overconfident traders
RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383 [Citation Analysis]		49
2002Price discovery and common factor models
RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321 [Citation Analysis]		48
2000Inferring investor behavior: Evidence from TORQ data
RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111 [Citation Analysis]		47
2005Market microstructure: A survey of microfoundations, empirical results, and policy implications
RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264 [Citation Analysis]		39
2003Issues in assessing trade execution costs
RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257 [Citation Analysis]		35
1998Financial analysts and information-based trade
RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201 [Citation Analysis]		33
2004Impacts of trades in an error-correction model of quote prices
RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25 [Citation Analysis]		33
2004Market liquidity as a sentiment indicator
RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299 [Citation Analysis]		33
2001On the survival of overconfident traders in a competitive securities market
RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84 [Citation Analysis]		33
2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks
RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308 [Citation Analysis]		32
2000On the occurrence and consequences of inaccurate trade classification
RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286 [Citation Analysis]		31
2002Some desiderata for the measurement of price discovery across markets
RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276 [Citation Analysis]		29
1999Intra-day market activity
RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226 [Citation Analysis]		28
2005Should securities markets be transparent?
RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287 [Citation Analysis]		27
1998Strategic trading, asymmetric information and heterogeneous prior beliefs
RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352 [Citation Analysis]		21
1999The organization of financial exchange markets: Theory and evidence
RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357 [Citation Analysis]		19
2007Measuring the resiliency of an electronic limit order book
RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25 [Citation Analysis]		18
2002Measures of contributions to price discovery: a comparison
RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327 [Citation Analysis]		18
2004Trading strategies during circuit breakers and extreme market movements
RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333 [Citation Analysis]		18
1999Market depth and order size1
RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48 [Citation Analysis]		18
1998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities
RePEc:eee:finmar:v:1:y:1998:i:1:p:51-87 [Citation Analysis]		18
2000The capital asset pricing model and the liquidity effect: A theoretical approach
RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81 [Citation Analysis]		18
2002Market architecture: limit-order books versus dealership markets
RePEc:eee:finmar:v:5:y:2002:i:2:p:127-167 [Citation Analysis]		18
2000Stock returns and trading at the close
RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67 [Citation Analysis]		18
1999The alpha factor asset pricing model: A parable
RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68 [Citation Analysis]		17
2000The trades of NYSE floor brokers
RePEc:eee:finmar:v:3:y:2000:i:2:p:139-176 [Citation Analysis]		17
2003Quote setting and price formation in an order driven market
RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489 [Citation Analysis]		17
2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York
RePEc:eee:finmar:v:5:y:2002:i:1:p:57-82 [Citation Analysis]		16
2005Duration, volume and volatility impact of trades
RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399 [Citation Analysis]		16
1999Reputation and performance fee effects on portfolio choice by investment advisers1
RePEc:eee:finmar:v:2:y:1999:i:3:p:227-271 [Citation Analysis]		16
2005International momentum strategies: a stochastic dominance approach
RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109 [Citation Analysis]		15
2003Who makes markets
RePEc:eee:finmar:v:6:y:2003:i:1:p:49-72 [Citation Analysis]		15
2000Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets
RePEc:eee:finmar:v:3:y:2000:i:4:p:333-363 [Citation Analysis]		15
2008Melting pot or salad bowl: Some evidence from U.S. investments abroad
RePEc:eee:finmar:v:11:y:2008:i:3:p:228-258 [Citation Analysis]		15
2003The Toronto Stock Exchange preopening session
RePEc:eee:finmar:v:6:y:2003:i:4:p:491-516 [Citation Analysis]		14
2005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders
RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308 [Citation Analysis]		14
2000Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand
RePEc:eee:finmar:v:3:y:2000:i:3:p:315-332 [Citation Analysis]		13
2003Traders choice between limit and market orders: evidence from NYSE stocks
RePEc:eee:finmar:v:6:y:2003:i:4:p:517-538 [Citation Analysis]		13
2006On the importance of timing specifications in market microstructure research
RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179 [Citation Analysis]		13
2003Evaluation of the biases in execution cost estimation using trade and quote data
RePEc:eee:finmar:v:6:y:2003:i:3:p:259-280 [Citation Analysis]		13
2008The effect of price tests on trader behavior and market quality: An analysis of Reg SHO
RePEc:eee:finmar:v:11:y:2008:i:1:p:84-111 [Citation Analysis]		12
2004Expandable limit order markets
RePEc:eee:finmar:v:7:y:2004:i:2:p:145-185 [Citation Analysis]		12
2007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market
RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415 [Citation Analysis]		12
1998Long-lived information and intraday patterns
RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402 [Citation Analysis]		12

Citing documents used to compute impact factor 38:
YearTitleSee
2011What drives the volume-volatility relationship on Euronext Paris?
RePEc:eee:finana:v:20:y:2011:i:4:p:200-206		[Citation Analysis]
2011Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011
RePEc:hkm:wpaper:402011		[Citation Analysis]
2011Crash risk of the euro in the sovereign debt crisis of 2009-2010
RePEc:eee:jbfina:v:35:y:2011:i:11:p:2945-2955		[Citation Analysis]
2011Does the Bund dominate price discovery in Euro bond futures? Examining information shares
RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072		[Citation Analysis]
2011On the sources of private information in FX markets
RePEc:eee:jbfina:v:35:y:2011:i:5:p:1250-1262		[Citation Analysis]
2011Probability of Informed Trading and Volatility for an ETF
RePEc:bbk:bbkefp:1101		[Citation Analysis]
2011Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information
RePEc:rjr:romjef:v::y:2011:i:3:p:37-58		[Citation Analysis]
2011Asymmetric herding as a source of asymmetric return volatility
RePEc:eee:jbfina:v:35:y:2011:i:10:p:2657-2665		[Citation Analysis]
2011Short-sales constraints and market quality: Evidence from the 2008 short-sales bans
RePEc:eee:finana:v:20:y:2011:i:4:p:225-236		[Citation Analysis]
2011The 2008 short sale ban: Liquidity, dispersion of opinion, and the cross-section of returns of US financial stocks
RePEc:eee:jbfina:v:35:y:2011:i:9:p:2252-2266		[Citation Analysis]
2011Dominant institutional owners and firm value
RePEc:eee:jbfina:v:35:y:2011:i:1:p:118-129		[Citation Analysis]
2011Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets
RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108		[Citation Analysis]
2011Measuring price discovery: The variance ratio, the R2, and the weighted price contribution
RePEc:eee:finlet:v:8:y:2011:i:3:p:112-119		[Citation Analysis]
2011The profitability of interest arbitrage when the base currency is pegged to a basket
RePEc:kap:rqfnac:v:37:y:2011:i:3:p:267-281		[Citation Analysis]
2011Portfolio selection with mental accounts and delegation
RePEc:eee:jbfina:v:35:y:2011:i:10:p:2637-2656		[Citation Analysis]
2011The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)
RePEc:dgr:kubcen:2011069		[Citation Analysis]
2011When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures
RePEc:eee:jfinin:v:20:y:2011:i:3:p:361-386		[Citation Analysis]
2011Competition in securities markets: the impact on liquidity
RePEc:kap:fmktpm:v:25:y:2011:i:2:p:149-172		[Citation Analysis]
2011Automation, speed, and stock market quality: The NYSEs Hybrid
RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604		[Citation Analysis]
2011Is market fragmentation harming market quality?
RePEc:eee:jfinec:v:100:y:2011:i:3:p:459-474		[Citation Analysis]
2011Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets
RePEc:eee:empfin:v:18:y:2011:i:3:p:408-422		[Citation Analysis]
2011Explaining asset pricing puzzles associated with the 1987 market crash
RePEc:eee:jfinec:v:101:y:2011:i:3:p:552-573		[Citation Analysis]
2011Does the Bund dominate price discovery in Euro bond futures? Examining information shares
RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072		[Citation Analysis]
2011Product market power and stock market liquidity
RePEc:eee:finmar:v:14:y:2011:i:2:p:376-410		[Citation Analysis]
2011Liquidity and capital structure: The case of Thailand
RePEc:eee:mulfin:v:21:y:2011:i:2:p:106-117		[Citation Analysis]
2011Seasoned equity offerings: stock market liquidity and duration of the completion cycle
RePEc:eme:mfipps:v:37:y:2011:i:4:p:380-405		[Citation Analysis]
2011The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
RePEc:hhs:lunewp:2011_024		[Citation Analysis]
2011REIT Stock Splits and Liquidity Changes
RePEc:kap:jrefec:v:43:y:2011:i:4:p:527-547		[Citation Analysis]
2011Effects of governance on investment decisions and perceptions of reporting credibility: Investment experience of Taiwanese individual investors
RePEc:kap:asiapa:v:28:y:2011:i:1:p:139-155		[Citation Analysis]
2011Home country bias: Does domestic experience help investors enter foreign markets?
RePEc:eee:jbfina:v:35:y:2011:i:9:p:2330-2340		[Citation Analysis]
2011The Role of Decision-Making Biases in Irelands Banking Crisis
RePEc:esr:wpaper:wp389		[Citation Analysis]
2011Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search
RePEc:eee:intfor:v:27:y:2011:i:4:p:1116-1127		[Citation Analysis]
2011Foreign ownership in Vietnam stock markets - an empirical analysis
RePEc:pra:mprapa:29863		[Citation Analysis]
2011A test of the different implications of the overconfidence and disposition hypotheses
RePEc:eee:jbfina:v:35:y:2011:i:8:p:2037-2046		[Citation Analysis]
2011Is Default Risk Priced in Equity Returns?
RePEc:hhs:lunewp:2011_038		[Citation Analysis]
2011Scaling and universality in the position profiles of order cancellations in an emerging stock market
RePEc:arx:papers:1112.6085		[Citation Analysis]
2011Stock repurchases: How firms choose between a self tender offer and an open-market program
RePEc:eee:jbfina:v:35:y:2011:i:12:p:3174-3187		[Citation Analysis]
2011The dark side of financial innovation: A case study of the pricing of a retail financial product
RePEc:eee:jfinec:v:100:y:2011:i:2:p:227-247		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011Illiquidity Premia in the Equity Options Market
RePEc:aah:create:2011-43		[Citation Analysis]
2011The Joint Dynamics of Equity Market Factors
RePEc:aah:create:2011-45		[Citation Analysis]
2011Possible solutions to the forward bias paradox
RePEc:eee:intfin:v:21:y:2011:i:4:p:617-622		[Citation Analysis]
2011Asset pricing in large information networks
RePEc:eee:jetheo:v:146:y:2011:i:6:p:2252-2280		[Citation Analysis]
2011The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange
RePEc:eee:reveco:v:20:y:2011:i:4:p:826-838		[Citation Analysis]
2011The Effect of Ownership Structure on Corporate Social Responsibility: Empirical Evidence from Korea
RePEc:kap:jbuset:v:104:y:2011:i:2:p:283-297		[Citation Analysis]

Recent citations received in: 2010

YearTitleSee
2010Markets are efficient if and only if P = NP
RePEc:arx:papers:1002.2284		[Citation Analysis]
2010Limit-Order Submission Strategies under Asymmetric Information
RePEc:ces:ceswps:_3054		[Citation Analysis]
2010Are all Credit Default Swap databases equal?
RePEc:cte:wbrepe:wb104621		[Citation Analysis]
2010Limit-order submission strategies under asymmetric information
RePEc:eee:jbfina:v:34:y:2010:i:11:p:2665-2677		[Citation Analysis]
2010Trading activity and bid-ask spreads of individual equity options
RePEc:eee:jbfina:v:34:y:2010:i:12:p:2897-2916		[Citation Analysis]
2010The market for certification by external parties: Evidence from underwriting and banking relationships
RePEc:eee:jfinec:v:98:y:2010:i:3:p:568-582		[Citation Analysis]
2010Trader see, trader do: How do (small) FX traders react to large counterparties trades?
RePEc:eee:jimfin:v:29:y:2010:i:7:p:1283-1302		[Citation Analysis]
2010Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?
RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:228-246		[Citation Analysis]
2010Are all Credit Default Swap Databases Equal?
RePEc:nbr:nberwo:16590		[Citation Analysis]
2010Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory
RePEc:nig:wpaper:0158		[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
RePEc:ces:ceswps:_2656		[Citation Analysis]
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
RePEc:cfs:cfswop:wp200918		[Citation Analysis]
2009Liquidity cycles and make/take fees in electronic markets
RePEc:ebg:heccah:0920		[Citation Analysis]
2009Buy and sell dynamics following high market returns: Evidence from China
RePEc:eee:finana:v:18:y:2009:i:1-2:p:12-20		[Citation Analysis]
2009Exchange rate management in emerging markets: Intervention via an electronic limit order book
RePEc:eee:inecon:v:79:y:2009:i:1:p:54-63		[Citation Analysis]
2009Foreign institutional ownership and stock market liquidity: Evidence from Indonesia
RePEc:eee:jbfina:v:33:y:2009:i:7:p:1312-1324		[Citation Analysis]
2009Dispersion in analysts earnings forecasts and credit rating
RePEc:eee:jfinec:v:91:y:2009:i:1:p:83-101		[Citation Analysis]
2009Cross-section of option returns and volatility
RePEc:eee:jfinec:v:94:y:2009:i:2:p:310-326		[Citation Analysis]
2009Order aggressiveness of institutional and individual investors
RePEc:eee:pacfin:v:17:y:2009:i:5:p:533-546		[Citation Analysis]
2009Intraweek and intraday trade patterns and dynamics
RePEc:eee:pacfin:v:17:y:2009:i:5:p:547-564		[Citation Analysis]
2009Liquidity Shocks and Order Book Dynamics
RePEc:ide:wpaper:20653		[Citation Analysis]
2009Liquidity Shocks and Order Book Dynamics
RePEc:nbr:nberwo:15009		[Citation Analysis]
2009Learning to Fail? Evidence from Frequent IPO Investors
RePEc:pra:mprapa:16854		[Citation Analysis]
2009Liquidity Shocks and Order Book Dynamics
RePEc:tse:wpaper:21944		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Short Sales and Trade Classification Algorithms
RePEc:nbr:nberwo:14158		[Citation Analysis]
2008Why Larger Lenders obtain Higher Returns: Evidence from Sovereign Syndicated Loans
RePEc:vic:vicddp:0802		[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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