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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Journal of Financial Markets / Elsevier

1.1

Impact Factor

1.57

5-Years IF

31

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.09000 (%)0.03
19910.090100 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.19000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.27131360.464640029 (6.3%)40.310.1
19990.540.310.541629150.5232113713723 (7.2%)80.50.13
20000.620.390.621544310.74672918291828 (6%)70.470.15
200110.411.161559570.971653131445112 (7.3%)30.20.16
200210.430.971978791.019463030595743 (4.5%)70.370.19
20030.680.451.21221001211.212773423789432 (11.6%)70.320.19
20040.830.511.03171171421.213544134879021 (5.9%)1710.21
20051.130.541.36161332001.530739448812020 (6.5%)70.440.22
20061.150.521.26181512141.4218133388911217 (9.4%)40.220.21
20070.760.451.15151662141.2925234269210615 (6%)60.40.18
20080.850.481.16171832771.5111533288810212 (10.4%)20.120.2
20091.130.481.57322153771.7525932368313017 (6.6%)140.440.19
20100.780.441.01202353601.53149493898998 (5.4%)100.50.16
20110.960.531.2232584321.6713352501021227 (5.3%)70.30.21
20120.770.581.02122704611.712043331071093 (15%)30.250.22
20131.060.711.41272976532.2105353710414710 (9.5%)170.630.25
20141.10.811.57463437052.063139431141795 (16.1%)100.220.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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

 

50 most cited documents in this series:

[Click on heading to sort table]

YearTitleCited
2002Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56.

Full description at Econpapers || Download paper

700
2000Market microstructure: A survey. (2000). . In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

Full description at Econpapers || Download paper

204
1999Order flow composition and trading costs in a dynamic limit order market1. (1999). . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

Full description at Econpapers || Download paper

151
1998Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219.

Full description at Econpapers || Download paper

132
1998Optimal control of execution costs. (1998). Bertsimas, Dimitris . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

Full description at Econpapers || Download paper

115
2004Order aggressiveness in limit order book markets. (2004). . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

Full description at Econpapers || Download paper

97
2004Market liquidity as a sentiment indicator. (2004). Baker, Malcolm . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299.

Full description at Econpapers || Download paper

91
2002Price discovery and common factor models. (2002). Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321.

Full description at Econpapers || Download paper

85
2000Inferring investor behavior: Evidence from TORQ data. (2000). Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111.

Full description at Econpapers || Download paper

73
1998Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383.

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71
2003Issues in assessing trade execution costs. (2003). . In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257.

Full description at Econpapers || Download paper

67
2005Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

Full description at Econpapers || Download paper

65
2005Should securities markets be transparent?. (2005). Weaver, Daniel ; Porter, David . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287.

Full description at Econpapers || Download paper

56
2000On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286.

Full description at Econpapers || Download paper

54
2007Measuring the resiliency of an electronic limit order book. (2007). . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

Full description at Econpapers || Download paper

53
1998Financial analysts and information-based trade. (1998). Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201.

Full description at Econpapers || Download paper

53
2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308.

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52
2002Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

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45
2001On the survival of overconfident traders in a competitive securities market. (2001). . In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84.

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44
2004Impacts of trades in an error-correction model of quote prices. (2004). . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25.

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42
2007Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248.

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41
2003Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489.

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39
2013Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna A. ; Wang, Jiang . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

Full description at Econpapers || Download paper

36
2005International momentum strategies: a stochastic dominance approach. (2005). Fong, Wai Mun . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109.

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36
2010The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343.

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36
1999Intra-day market activity. (1999). le Fol, Gaelle . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226.

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35
2005Duration, volume and volatility impact of trades. (2005). . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399.

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33
2002Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327.

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33
1999Market depth and order size1. (1999). Kempf, Alexander ; Korn, Olaf . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48.

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32
2007Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Stivers, Chris ; Connolly, Robert A. ; Sun, Licheng . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

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32
1998Strategic trading, asymmetric information and heterogeneous prior beliefs. (1998). Wang, Albert F.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352.

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32
2006Value of analyst recommendations: International evidence. (2006). Jegadeesh, Narasimhan ; Kim, Woojin . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309.

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30
1998Long-lived information and intraday patterns. (1998). Pedersen, Hal ; Back, Kerry . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402.

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29
2000Stock returns and trading at the close. (2000). Cushing, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67.

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29
1999The alpha factor asset pricing model: A parable. (1999). Ferson, Wayne E.. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68.

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28
2009Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

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28
2005Liquidity commonality and return co-movement. (2005). Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

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28
2000The capital asset pricing model and the liquidity effect: A theoretical approach. (2000). Gottesman, Aron A. ; Jacoby, Gady ; Fowler, David J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81.

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28
2006On the importance of timing specifications in market microstructure research. (2006). Wang, Jian-Xin ; Henker, Thomas . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179.

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27
2013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

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27
2005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Anand, Amber ; Martell, Terrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308.

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26
1999The organization of financial exchange markets: Theory and evidence. (1999). Pirrong, Craig . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357.

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26
2002Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

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26
2000The determinants of trading volume of high-yield corporate bonds. (2000). Edwards, Amy K. ; Ferri, Michael G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:177-204.

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26
2011Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604.

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25
1998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities. (1998). Cao, Charles Q. ; Choe, Hyuk ; Ahn, Hee-Joon . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:51-87.

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25
2001A new historical database for the NYSE 1815 to 1925: Performance and predictability. (2001). Peng, Liang ; Ibbotson, Roger G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32.

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25
2007Estimating the probability of informed trading--does trade misclassification matter?. (2007). . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:26-47.

Full description at Econpapers || Download paper

25
2007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market. (2007). Chan, Kalok ; Yang, Zhishu . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415.

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25
2004The manipulation of closing prices. (2004). Suominen, Matti ; HILLION, Pierre . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375.

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24

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2002Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56.

Full description at Econpapers || Download paper

341
1998Optimal control of execution costs. (1998). Bertsimas, Dimitris . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

Full description at Econpapers || Download paper

53
2004Market liquidity as a sentiment indicator. (2004). Baker, Malcolm . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299.

Full description at Econpapers || Download paper

49
2000Market microstructure: A survey. (2000). . In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

Full description at Econpapers || Download paper

39
2013Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna A. ; Wang, Jiang . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

Full description at Econpapers || Download paper

36
1998Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219.

Full description at Econpapers || Download paper

34
1999Order flow composition and trading costs in a dynamic limit order market1. (1999). . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

Full description at Econpapers || Download paper

33
2007Measuring the resiliency of an electronic limit order book. (2007). . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

Full description at Econpapers || Download paper

31
2002Price discovery and common factor models. (2002). Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321.

Full description at Econpapers || Download paper

27
2013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

27
2010The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343.

Full description at Econpapers || Download paper

23
2007Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Stivers, Chris ; Connolly, Robert A. ; Sun, Licheng . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

Full description at Econpapers || Download paper

23
2013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

Full description at Econpapers || Download paper

22
2011Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604.

Full description at Econpapers || Download paper

22
2003Issues in assessing trade execution costs. (2003). . In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257.

Full description at Econpapers || Download paper

22
2007Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248.

Full description at Econpapers || Download paper

21
2006Value of analyst recommendations: International evidence. (2006). Jegadeesh, Narasimhan ; Kim, Woojin . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309.

Full description at Econpapers || Download paper

21
2005Should securities markets be transparent?. (2005). Weaver, Daniel ; Porter, David . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287.

Full description at Econpapers || Download paper

21
2004Order aggressiveness in limit order book markets. (2004). . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

Full description at Econpapers || Download paper

20
2000Inferring investor behavior: Evidence from TORQ data. (2000). Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111.

Full description at Econpapers || Download paper

18
2005Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

Full description at Econpapers || Download paper

18
2005Liquidity commonality and return co-movement. (2005). Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

Full description at Econpapers || Download paper

17
2009Systematic noise. (2009). Barber, Brad M. ; Odean, Terrance ; Zhu, Ning . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569.

Full description at Econpapers || Download paper

17
2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308.

Full description at Econpapers || Download paper

16
2000On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286.

Full description at Econpapers || Download paper

15
1998Financial analysts and information-based trade. (1998). Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201.

Full description at Econpapers || Download paper

14
2009Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

Full description at Econpapers || Download paper

14
2013Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711.

Full description at Econpapers || Download paper

14
2011Carry trades, momentum trading and the forward premium anomaly. (2011). Baillie, Richard T.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:3:p:441-464.

Full description at Econpapers || Download paper

13
2002Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

Full description at Econpapers || Download paper

13
2003Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489.

Full description at Econpapers || Download paper

12
2011Patriotism in your portfolio. (2011). Morse, Adair ; Shive, Sophie . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:411-440.

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12
2009New low-frequency spread measures. (2009). Holden, Craig W.. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:778-813.

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12
2006Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432.

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12
2007Pre-trade transparency and market quality. (2007). Ok, Jinho ; Eom, Kyong Shik ; Park, Jong-Ho . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:319-341.

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12
2005International momentum strategies: a stochastic dominance approach. (2005). Fong, Wai Mun . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109.

Full description at Econpapers || Download paper

11
1998Long-lived information and intraday patterns. (1998). Pedersen, Hal ; Back, Kerry . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402.

Full description at Econpapers || Download paper

11
2002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:1-30.

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11
2010The skinny on the 2008 naked short-sale restrictions. (2010). Braga-Alves, Marcus V. ; Boulton, Thomas J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:4:p:397-421.

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10
2009Credit ratings and the cross-section of stock returns. (2009). Philipov, Alexander ; Chordia, Tarun ; Jostova, Gergana ; Avramov, Doron . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:469-499.

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10
2007Estimating the probability of informed trading--does trade misclassification matter?. (2007). . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:26-47.

Full description at Econpapers || Download paper

10
2001A new historical database for the NYSE 1815 to 1925: Performance and predictability. (2001). Peng, Liang ; Ibbotson, Roger G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32.

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10
2009Liquidity and capital structure. (2009). Lipson, Marc L. ; Mortal, Sandra . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:611-644.

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10
2007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market. (2007). Chan, Kalok ; Yang, Zhishu . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415.

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10
2000The determinants of trading volume of high-yield corporate bonds. (2000). Edwards, Amy K. ; Ferri, Michael G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:177-204.

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10
2002Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

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10
1998Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383.

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10
1999Market depth and order size1. (1999). Kempf, Alexander ; Korn, Olaf . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48.

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9
2010How asymmetric is U.S. stock market volatility?. (2010). Ederington, Louis H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:2:p:225-248.

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9
2002Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327.

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9

Citing documents used to compute impact factor 43:

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YearTitleSee
2014The timeline of trading frictions in the European carbon market. (2014). Pardo, angel ; Medina, Vicente ; Pascual, Roberto . In: Energy Economics. RePEc:eee:eneeco:v:42:y:2014:i:c:p:378-394.

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2014Does high frequency trading affect technical analysis and market efficiency? And if so, how?. (2014). Gebka, Bartosz ; Manahov, Viktor ; Hudson, Robert . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:28:y:2014:i:c:p:131-157.

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[Citation Analysis]
2014Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange. (2014). Skjeltorp, Johannes Atle ; Jorgensen, Kjell . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2014_003.

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[Citation Analysis]
2014Automated Liquidity Provision. (2014). Gerig, Austin ; Michayluk, David . In: Research Paper Series. RePEc:uts:rpaper:345.

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[Citation Analysis]
2014A dynamic limit order market with fast and slow traders. (2014). Hoffmann, Peter . In: Journal of Financial Economics. RePEc:eee:jfinec:v:113:y:2014:i:1:p:156-169.

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[Citation Analysis]
2014The causal impact of algorithmic trading on market quality. (2014). Aggarwal, Nidhi ; Thomas, Susan . In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2014-023.

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[Citation Analysis]
2014The relative contribution of ask and bid quotes to price discovery. (2014). Pascual-Fuster, Bartolome . In: Journal of Financial Markets. RePEc:eee:finmar:v:20:y:2014:i:c:p:129-150.

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[Citation Analysis]
2014News-driven return reversals: Liquidity provision ahead of earnings announcements. (2014). So, Eric C. ; Wang, Sean . In: Journal of Financial Economics. RePEc:eee:jfinec:v:114:y:2014:i:1:p:20-35.

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[Citation Analysis]
2014Price pressures. (2014). Menkveld, Albert J. ; Hendershott, Terrence . In: Journal of Financial Economics. RePEc:eee:jfinec:v:114:y:2014:i:3:p:405-423.

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[Citation Analysis]
2014Liquidity provision and stock return predictability. (2014). Seasholes, Mark S. ; Hendershott, Terrence . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:45:y:2014:i:c:p:140-151.

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[Citation Analysis]
2014Rock around the clock: an agent-based model of low- and high-frequency trading. (2014). Leal, Sandrine Jacob . In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k.

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[Citation Analysis]
2014High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market. (2014). Jiang, George J. ; Lo, Ingrid ; Valente, Giorgio . In: Staff Working Papers. RePEc:bca:bocawp:14-56.

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[Citation Analysis]
2014Need for Speed? Exchange Latency and Liquidity. (2014). Menkveld, Albert J. ; Zoican, Marius A.. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140097.

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[Citation Analysis]
2014Rebalancing with Linear and Quadratic Costs. (2014). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko . In: Papers. RePEc:arx:papers:1402.5306.

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[Citation Analysis]
2014Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369.

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[Citation Analysis]
2014The Impact of Large Orders in Electronic Markets. (2014). Pinna, Andrea ; Gottardo, Pietro ; Murgia, Maurizio ; Bosetti, Luisella . In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps15.

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2014High-Resilience Limits of Block-Shaped Order Books. (2014). Kallsen, Jan ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1409.7269.

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[Citation Analysis]
2014On Linearity Of Transaction Costs In Order Driven Market. (2014). Andreev, Nikolay A.. In: HSE Working papers. RePEc:hig:wpaper:38/fe/2014.

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[Citation Analysis]
2014Optimal execution with nonlinear transient market impact. (2014). Lillo, Fabrizio ; Gatheral, Jim ; Curato, Gianbiagio . In: Papers. RePEc:arx:papers:1412.4839.

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2014Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip . In: Working Papers. RePEc:ofr:wpaper:14-08.

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2014High-Frequency Trading Competition. (2014). Pomeranets, Anna ; Brogaard, Jonathan ; Garriott, Corey . In: Staff Working Papers. RePEc:bca:bocawp:14-19.

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[Citation Analysis]
2014The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000044.

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2014Speed, algorithmic trading, and market quality around macroeconomic news announcements. (2014). Frijns, Bart ; Scholtus, Martin ; van Dijk, Dick . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:38:y:2014:i:c:p:89-105.

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[Citation Analysis]
2014International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares. (2014). Otsubo, Yoichi . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:36-51.

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[Citation Analysis]
2014Technology Upgrades in Emerging Equity Markets: Effects on Liquidity, Trading Activity and Volatility. (2014). Arik, Evren ; Eraslan, Veysel ; Erdem, Orhan ; Yilmaz, Kemal M.. In: Working Paper. RePEc:bor:wpaper:1420.

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2014Price Discovery in Brazilian FX Markets. (2014). Santos, Francisco ; Garcia, Marcio ; Medeiros, Marcelo . In: Textos para discussão. RePEc:rio:texdis:622.

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2014Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets. (2014). Gerig, Austin ; Fricke, Daniel . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100402.

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2014Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09.

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[Citation Analysis]
2014Anonymity and the Information Content of the Limit Order Book. (2014). Duong, Huu Nhan ; Kalev, Petko S.. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:30:y:2014:i:c:p:205-219.

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2014Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index. (2014). Gresse, Carole ; de Winne, Rudy ; DEWINNE, Rudy ; Platten, Isabelle . In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:31-43.

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2014A simple approximation of intraday spreads using daily data. (2014). Chung, Kee H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:94-120.

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[Citation Analysis]
2014Did CDS trading improve the market for corporate bonds?. (2014). Kalimipalli, Madhu ; Nayak, Subhankar ; Das, Sanjiv . In: Journal of Financial Economics. RePEc:eee:jfinec:v:111:y:2014:i:2:p:495-525.

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[Citation Analysis]
2014Informed trading around acquisitions: Evidence from corporate bonds. (2014). Kedia, Simi ; Zhou, Xing . In: Journal of Financial Markets. RePEc:eee:finmar:v:18:y:2014:i:c:p:182-205.

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[Citation Analysis]
2014Corporate yield spreads and real interest rates. (2014). Jacoby, Gady ; Liao, Rose C. ; Batten, Jonathan A.. In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:89-100.

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2014The delta- and vega-related information content of near-the-money option market trading activity. (2014). Rourke, Thomas . In: Journal of Financial Markets. RePEc:eee:finmar:v:20:y:2014:i:c:p:175-193.

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[Citation Analysis]
2014Liquidity risk in stock returns: An event-study perspective. (2014). Cao, Charles ; Petrasek, Lubomir . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:45:y:2014:i:c:p:72-83.

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2014Asset Trading and Valuation with Uncertain Exposure. (2014). Hatchondo, Juan Carlos ; Krusell, Per ; Schneider, Martin . In: Working Paper. RePEc:fip:fedrwp:14-05.

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[Citation Analysis]
2014Phase-shifting behaviour revisited: An alternative measure. (2014). Kang, Bo Soo ; Ryu, Doowon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:167-173.

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2014The value premium, aggregate risk innovations, and average stock returns. (2014). Lindaas, Knut F. ; Simlai, Prodosh . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:3:p:303-317.

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2014Tick size reduction and price clustering in a FX order book. (2014). Abergel, Frederic ; Lallouache, Mehdi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:416:y:2014:i:c:p:488-498.

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2014Effects of the Limit Order Book on Price Dynamics. (2014). Cenesizoglu, Tolga ; Zhou, Xiaozhou . In: Cahiers de recherche. RePEc:lvl:lacicr:1426.

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[Citation Analysis]
2014Technical Trading and Testing of Intra-day Market Efficiency in the Foreign Exchange Market. (2014). Zeman, Petr . In: Acta Universitatis Bohemiae Meridionales. RePEc:boh:actaub:v:17:y:2014:i:1:p:3-13.

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[Citation Analysis]
2014Statistical Arbitrage in the Black-Scholes Framework. (2014). . In: Papers. RePEc:arx:papers:1406.5646.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

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YearTitleSee
2014Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618.

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[Citation Analysis]
2014Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Jose Fernando Moreno Gutierrez, ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: Borradores de Economia. RePEc:bdr:borrec:854.

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2014Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Jose Fernando Moreno Gutierrez, ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012333.

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[Citation Analysis]
2014Reflecting on the VPIN dispute. (2014). Bondarenko, Oleg ; Andersen, Torben G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64.

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[Citation Analysis]
2014The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000044.

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[Citation Analysis]
2014Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09.

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[Citation Analysis]
2014Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market. (2014). Kapetanios, George ; Neumann, Michael . In: Working Papers. RePEc:qmw:qmwecw:wp730.

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[Citation Analysis]
2014The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange. (2014). Brown, Alasdair . In: University of East Anglia Applied and Financial Economics Working Paper Series. RePEc:uea:aepppr:2012_68.

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[Citation Analysis]
2014Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. (2014). Yang, Baozhong ; Tang, Yuehua ; Agarwal, Vikas ; Mullally, Kevin Andrew . In: CFR Working Papers. RePEc:zbw:cfrwps:1304r.

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[Citation Analysis]
2014Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures. (2014). Herrmann, Klaus ; Yu, Weijun ; Teis, Stefan . In: IWQW Discussion Paper Series. RePEc:zbw:iwqwdp:152014.

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[Citation Analysis]

Recent citations received in: 2013

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YearTitleSee
2013Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Papers. RePEc:arx:papers:1012.0349.

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2013A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD). (2013). Shen, Jackie Jianhong . In: Papers. RePEc:arx:papers:1309.5046.

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2013Probabilistic aspects of finance. (2013). Schied, Alexander ; Follmer, Hans . In: Papers. RePEc:arx:papers:1309.7759.

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[Citation Analysis]
2013Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets. (2013). Gerig, Austin ; Myers, Benjamin . In: Papers. RePEc:arx:papers:1311.4160.

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2013A Monte Carlo method for optimal portfolio executions. (2013). Nuyens, Dirk ; Achtsis, Nico . In: Papers. RePEc:arx:papers:1312.5919.

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2013Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward W. ; Kruse, Timm . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00627.

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[Citation Analysis]
2013A dynamic limit order market with fast and slow traders. (2013). Hoffmann, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20131526.

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[Citation Analysis]
2013The gateway to the profession: Assessing teacher preparation programs based on student achievement. (2013). Goldhaber, Dan ; Liddle, Stephanie ; Theobald, Roddy . In: Economics of Education Review. RePEc:eee:ecoedu:v:34:y:2013:i:c:p:29-44.

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2013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

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[Citation Analysis]
2013Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711.

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[Citation Analysis]
2013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

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[Citation Analysis]
2013The diversity of high-frequency traders. (2013). Hagstromer, Bjorn ; Norden, Lars . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:741-770.

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2013High Frequency Traders: Taking Advantage of Speed. (2013). Saglam, Mehmet ; Ait-Sahalia, Yacine . In: NBER Working Papers. RePEc:nbr:nberwo:19531.

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[Citation Analysis]
2013Competition between high-frequency traders, and market quality. (2013). . In: MPRA Paper. RePEc:pra:mprapa:66715.

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[Citation Analysis]
2013Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770.

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[Citation Analysis]
2013Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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[Citation Analysis]
2013Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Christensen, Hugh L. ; Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799.

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[Citation Analysis]

Recent citations received in: 2012

[Click on heading to sort table]

YearTitleSee
2012Non-Fundamental Information and Market-Makers Behavior during the NASDAQ Preopening Session. (2012). Lescourret, Laurence . In: ESSEC Working Papers. RePEc:ebg:essewp:dr-12012.

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[Citation Analysis]
2012IPO characteristics of index firms. (2012). Colak, Gonul . In: Managerial Finance. RePEc:eme:mfipps:v:38:y:2012:i:12:p:1134-1159.

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[Citation Analysis]
2012Non-fundamental Information and Market-makers Behavior during the NASDAQ Preopening Session. (2012). Lescourret, Laurence . In: Post-Print. RePEc:hal:journl:hal-00772798.

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[Citation Analysis]

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee
2011Illiquidity Premia in the Equity Options Market. (2011). Jacobs, Kris ; Goyenko, Ruslan ; Christoffersen, Peter ; Karoui, Mehdi . In: CREATES Research Papers. RePEc:aah:create:2011-43.

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2011The Joint Dynamics of Equity Market Factors. (2011). Langlois, Hugues ; Christoffersen, Peter . In: CREATES Research Papers. RePEc:aah:create:2011-45.

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2011Growth Enterprise Board Initial Public Offerings: Characteristics, Volatility and the Initial‐day Performance. (2011). Guo, Haifeng ; Fung, HungGay . In: China & World Economy. RePEc:bla:chinae:v:19:y:2011:i:1:p:106-121.

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[Citation Analysis]
2011Possible solutions to the forward bias paradox. (2011). Richard T., Baillie, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:21:y:2011:i:4:p:617-622.

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[Citation Analysis]
2011Asset pricing in large information networks. (2011). Ozsoylev, Han N. ; Walden, Johan . In: Journal of Economic Theory. RePEc:eee:jetheo:v:146:y:2011:i:6:p:2252-2280.

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[Citation Analysis]
2011The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange. (2011). Wang, Ming-Chun ; Szu, Wen-Ming ; Yang, Wan-Ru . In: International Review of Economics & Finance. RePEc:eee:reveco:v:20:y:2011:i:4:p:826-838.

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2011The Effect of Ownership Structure on Corporate Social Responsibility: Empirical Evidence from Korea. (2011). Martynov, Aleksey ; Chang, Young ; Oh, Won . In: Journal of Business Ethics. RePEc:kap:jbuset:v:104:y:2011:i:2:p:283-297.

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[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.