Citation analysis for Journal of Financial Markets / Elsevier

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

1.09

5 Years IF

1.11

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		1	0		0			0		0	0.04
1992	0	0.09	0	0	0	0	0		1	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		1	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		1	0		0			0		0	0.06
1995	0	0.2	0	0	0	0	0		1	0		0			0		0	0.08
1996	0	0.22	0	0	0	0	0		1	0		0			0		0	0.1
1997	0	0.23	0	0	0	0	0		2	0		0			0		0	0.1
1998	0	0.27	0.38	0	13	13	786	4	7	0		0			0	4	0.31	0.12
1999	0.54	0.29	0.48	0.54	16	29	487	14	21	13	7	13	7		0	7	0.44	0.14
2000	0.72	0.34	0.77	0.72	15	44	718	30	55	29	21	29	21	6	20	7	0.47	0.15
2001	1.03	0.36	1.07	1.07	15	59	289	62	118	31	32	44	47	6	9.7	5	0.33	0.16
2002	0.97	0.4	1.06	0.83	19	78	2251	78	201	30	29	59	49	20	25.6	15	0.79	0.21
2003	0.82	0.41	1.32	1.14	22	100	412	125	333	34	28	78	89	14	11.2	7	0.32	0.2
2004	0.85	0.46	1.38	1.02	17	117	665	156	494	41	35	87	89	7	4.5	22	1.29	0.21
2005	1.1	0.47	1.62	1.27	16	133	571	212	709	39	43	88	112	17	8	7	0.44	0.22
2006	1.33	0.47	1.58	1.25	18	151	327	230	948	33	44	89	111	16	7	6	0.33	0.21
2007	0.76	0.42	1.57	1.1	15	166	461	253	1209	34	26	92	101	26	10.3	7	0.47	0.19
2008	0.97	0.45	1.89	1.18	17	183	217	337	1554	33	32	88	104	8	2.4	2	0.12	0.21
2009	1.22	0.44	2.04	1.52	32	215	635	433	1992	32	39	83	126	36	8.3	15	0.47	0.21
2010	0.92	0.44	1.97	1.17	20	235	378	459	2455	49	45	98	115	24	5.2	13	0.65	0.18
2011	1.06	0.46	1.98	1.19	23	258	372	506	2967	52	55	102	121	36	7.1	8	0.35	0.21
2012	0.84	0.47	2	1.12	12	270	85	531	3508	43	36	107	120	17	3.2	3	0.25	0.19
2013	1.26	0.53	2.7	1.63	27	297	507	797	4309	35	44	104	170	37	4.6	33	1.22	0.22
2014	1.54	0.55	2.78	1.83	46	343	334	952	5261	39	60	114	209	75	7.9	20	0.43	0.21
2015	1.49	0.55	2.73	1.52	21	364	117	991	6255	73	109	128	195	29	2.9	6	0.29	0.21
2016	1.28	0.56	2.5	1.5	29	393	138	979	7236	67	86	129	194	30	3.1	7	0.24	0.2
2017	1.04	0.58	2.53	1.34	24	417	69	1057	8293	50	52	135	181	27	2.6	4	0.17	0.21
2018	1.3	0.7	2.36	1.64	32	449	55	1061	9354	53	69	147	241	43	4.1	10	0.31	0.28
2019	1.09	0.88	2.09	1.11	30	479	12	999	10353	56	61	152	169	53	5.3	2	0.07	0.33

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations 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

50 most cited documents in this series

#	Year	Title	Cited
1	2002	Illiquidity 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	1816
2	2000	Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258. Full description at Econpapers \|\| Download paper	305
3	1998	Liquidity 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	239
4	2004	Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; 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	236
5	1999	Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134. Full description at Econpapers \|\| Download paper	235
6	1998	Optimal control of execution costs. (1998). Lo, Andrew ; 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	222
7	2002	Price discovery and common factor models. (2002). Baillie, Richard ; 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	173
8	2013	Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; 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	160
9	2004	Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74. Full description at Econpapers \|\| Download paper	149
10	2013	High frequency trading and the new market makers. (2013). Menkveld, Albert. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper	134
11	2000	Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; 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	120
12	2005	Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; 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	112
13	2007	Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25. Full description at Econpapers \|\| Download paper	101
14	1998	Aggressiveness 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. Full description at Econpapers \|\| Download paper	99
15	2002	Some 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. Full description at Econpapers \|\| Download paper	98
16	2003	Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257. Full description at Econpapers \|\| Download paper	94
17	2013	Low-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	90
18	2002	Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; 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	87
19	2005	International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; 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	80
20	2007	Ownership 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	79
21	2005	Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287. Full description at Econpapers \|\| Download paper	78
22	2010	The 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	77
23	2000	On 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	76
24	2001	On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84. Full description at Econpapers \|\| Download paper	75
25	2009	Technology 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	74
26	1998	Financial analysts and information-based trade. (1998). Easley, David ; 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	73
27	2006	Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan. In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309. Full description at Econpapers \|\| Download paper	66
28	2005	Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399. Full description at Econpapers \|\| Download paper	66
29	2002	Measures 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. Full description at Econpapers \|\| Download paper	64
30	2004	Impacts of trades in an error-correction model of quote prices. (2004). Patton, Andrew ; Engle, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25. Full description at Econpapers \|\| Download paper	64
31	2010	A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19. Full description at Econpapers \|\| Download paper	63
32	2003	Quote 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	62
33	2011	Automation, 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	62
34	2013	Very 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	60
35		A simple approximation of intraday spreads using daily data. (2014). Zhang, Hao ; Chung, Kee H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:94-120. Full description at Econpapers \|\| Download paper	54
36	2007	Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; 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	54
37	2004	The 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. Full description at Econpapers \|\| Download paper	51
38	1998	Long-lived information and intraday patterns. (1998). Back, Kerry ; Pedersen, Hal. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402. Full description at Econpapers \|\| Download paper	51
39	2002	Stalking 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	51
40	2006	Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; NÃÂ¦s, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432. Full description at Econpapers \|\| Download paper	50
41	1999	Market 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. Full description at Econpapers \|\| Download paper	50
42	1999	Intra-day market activity. (1999). Le Fol, Gaelle ; Jasiak, Joann ; gourieroux, christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226. Full description at Econpapers \|\| Download paper	50
43	2009	Liquidity 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. Full description at Econpapers \|\| Download paper	50
44	2009	Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336. Full description at Econpapers \|\| Download paper	48
45	2009	Gone fishin: Seasonality in trading activity and asset prices. (2009). Hong, Harrison ; Yu, Jialin . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:672-702. Full description at Econpapers \|\| Download paper	47
46	2000	Stock returns and trading at the close. (2000). Madhavan, Ananth ; Cushing, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67. Full description at Econpapers \|\| Download paper	46
47	2005	Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Chakravarty, Sugato ; Anand, Amber ; Martell, Terrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308. Full description at Econpapers \|\| Download paper	46
48	2009	Systematic noise. (2009). zhu, ning ; Odean, Terrance ; Barber, Brad. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569. Full description at Econpapers \|\| Download paper	46
49	1998	Strategic 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. Full description at Econpapers \|\| Download paper	45
50	2005	Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; 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	45

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2002	Illiquidity 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	471
2	2004	Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; 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	62
3	2013	High frequency trading and the new market makers. (2013). Menkveld, Albert. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper	54
4	1998	Optimal control of execution costs. (1998). Lo, Andrew ; 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	47
5	2013	Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; 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	39
6	1998	Liquidity 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	38
7	1999	Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134. Full description at Econpapers \|\| Download paper	34
8	2002	Price discovery and common factor models. (2002). Baillie, Richard ; 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	33
9	2013	Low-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	29
10	2014	A simple approximation of intraday spreads using daily data. (2014). Zhang, Hao ; Chung, Kee H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:94-120. Full description at Econpapers \|\| Download paper	29
11	2013	Very 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	26
12	2000	Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258. Full description at Econpapers \|\| Download paper	23
13	2016	Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef ; Barunik, Jozef ; Koenda, Even. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78. Full description at Econpapers \|\| Download paper	22
14	2010	A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19. Full description at Econpapers \|\| Download paper	20
15	2007	Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25. Full description at Econpapers \|\| Download paper	19
16	2009	Technology 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	18
17	2004	Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74. Full description at Econpapers \|\| Download paper	17
18	2005	Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; 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	16
19	2002	Some 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. Full description at Econpapers \|\| Download paper	15
20	2009	Gone fishin: Seasonality in trading activity and asset prices. (2009). Hong, Harrison ; Yu, Jialin . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:672-702. Full description at Econpapers \|\| Download paper	15
21	2014	Commodity index trading and hedging costs. (2014). Brunetti, Celso ; Reiffen, David . In: Journal of Financial Markets. RePEc:eee:finmar:v:21:y:2014:i:c:p:153-180. Full description at Econpapers \|\| Download paper	15
22	2005	International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; 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	15
23	2009	Liquidity 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. Full description at Econpapers \|\| Download paper	15
24	2011	Automation, 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	14
25	2013	The 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. Full description at Econpapers \|\| Download paper	13
26	2000	Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; 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	13
27	2011	Effects of foreign ownership on payout policy: Evidence from the Korean market. (2011). Lee, Cheolwoo ; Jeon, Jin Q. ; Moffett, Clay M.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:344-375. Full description at Econpapers \|\| Download paper	13
28	1998	Long-lived information and intraday patterns. (1998). Back, Kerry ; Pedersen, Hal. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402. Full description at Econpapers \|\| Download paper	12
29	2016	Time series momentum and volatility scaling. (2016). Kim, Abby Y ; Wald, John K ; Tse, Yiuman. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:103-124. Full description at Econpapers \|\| Download paper	12
30	2016	Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62. Full description at Econpapers \|\| Download paper	12
31	2013	Do mutual fund managers time market liquidity?. (2013). Cao, Charles ; Wang, Ying ; Simin, Timothy T.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:2:p:279-307. Full description at Econpapers \|\| Download paper	12
32	2014	How should individual investors diversify? An empirical evaluation of alternative asset allocation policies. (2014). Weber, Martin ; Jacobs, Heiko ; Muller, Sebastian. In: Journal of Financial Markets. RePEc:eee:finmar:v:19:y:2014:i:c:p:62-85. Full description at Econpapers \|\| Download paper	12
33	2016	Price discovery and the cross-section of high-frequency trading. (2016). Benos, Evangelos ; Sagade, Satchit. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:54-77. Full description at Econpapers \|\| Download paper	11
34	2007	Ownership 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	11
35	2009	Which past returns affect trading volume?. (2009). Weber, Martin ; Glaser, Markus . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:1:p:1-31. Full description at Econpapers \|\| Download paper	11
36	1998	Aggressiveness 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. Full description at Econpapers \|\| Download paper	11
37	2011	Carry trades, momentum trading and the forward premium anomaly. (2011). Chang, Sanders ; 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	11
38	2010	Institutional ownership stability and the cost of debt. (2010). Mao, Connie X. ; Jia, Jingyi ; Elyasiani, Elyas. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:4:p:475-500. Full description at Econpapers \|\| Download paper	11
39	2010	The 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	11
40	2004	The 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. Full description at Econpapers \|\| Download paper	10
41	2014	Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). PETITJEAN, Mikael ; Boudt, Kris. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149. Full description at Econpapers \|\| Download paper	10
42	2001	On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84. Full description at Econpapers \|\| Download paper	10
43	2014	Investor sentiment and bond risk premia. (2014). Olmo, Jose ; Laborda, Ricardo. In: Journal of Financial Markets. RePEc:eee:finmar:v:18:y:2014:i:c:p:206-233. Full description at Econpapers \|\| Download paper	10
44	2009	Credit 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. Full description at Econpapers \|\| Download paper	10
45	2006	Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; NÃÂ¦s, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432. Full description at Econpapers \|\| Download paper	10
46	2011	What happened to the quants in August 2007? Evidence from factors and transactions data. (2011). Lo, Andrew ; Khandani, Amir E.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:1:p:1-46. Full description at Econpapers \|\| Download paper	10
47	2006	Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan. In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309. Full description at Econpapers \|\| Download paper	10
48	2011	Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets. (2011). Yang, Minxian ; Wang, Jianxin. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108. Full description at Econpapers \|\| Download paper	9
49	2002	Measures 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. Full description at Econpapers \|\| Download paper	9
50	2013	Trade and information in the corporate bond market. (2013). Ronen, Tavy ; Zhou, Xing. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:61-103. Full description at Econpapers \|\| Download paper	9

Citing documents used to compute impact factor: 61

Year	Title
2019	Informed contrarian trades and stock returns. (2019). Chang, Sanders ; Wang, Albert F. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:75-93. Full description at Econpapers \|\| Download paper
2019	Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing . In: MPRA Paper. RePEc:pra:mprapa:96784. Full description at Econpapers \|\| Download paper
2019	Intraday momentum and reversal in Chinese stock market. (2019). Zhou, Haigang ; Gu, Zherong ; Chu, Xiaojun. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:83-88. Full description at Econpapers \|\| Download paper
2019	Intraday Time-series Momentum: Evidence from China. (2019). Li, Youwei ; Yang, Yung Chiang ; Kearney, Fearghal ; Jin, Muzhao . In: MPRA Paper. RePEc:pra:mprapa:97134. Full description at Econpapers \|\| Download paper
2019	Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741. Full description at Econpapers \|\| Download paper
2019	The anchoring effect of underwriters proposed price ranges on institutional investors bid prices in IPO auctions: Evidence from China. (2019). Fok, Robert ; Cao, Feng ; Gao, Shenghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:63:y:2019:i:c:p:111-127. Full description at Econpapers \|\| Download paper
2019	Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000. Full description at Econpapers \|\| Download paper
2019	The Determinants of Securities Trading Activity: Evidence from four European Equity Markets. (2019). Galea, Francelle ; Camilleri, Silvio John. In: MPRA Paper. RePEc:pra:mprapa:95298. Full description at Econpapers \|\| Download paper
2019	The cost of clearing fragmentation. (2019). Menkveld, Albert ; Vasios, Michalis ; Huang, Wenqian ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0800. Full description at Econpapers \|\| Download paper
2019	The cost of clearing fragmentation. (2019). Vasios, Michalis ; Menkveld, Albert ; Huang, Wenqian ; Benos, Evangelos . In: BIS Working Papers. RePEc:bis:biswps:826. Full description at Econpapers \|\| Download paper
2019	Stock return predictability: Using the cyclical component of the price ratio. (2019). McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:228-242. Full description at Econpapers \|\| Download paper
2019	Out-of-sample equity premium prediction in the presence of structural breaks. (2019). Yin, Anwen. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918304745. Full description at Econpapers \|\| Download paper
2019	Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55. Full description at Econpapers \|\| Download paper
2019	Multiscale Features of Cross Correlation of Price and Trading Volume. (2019). Jafari, Reza G ; Haven, Emmanuel ; Osoolian, Mohammad ; Ardalankia, Jamshid. In: Papers. RePEc:arx:papers:1903.01744. Full description at Econpapers \|\| Download paper
2019	When stock futures dominate price discovery. (2019). Aggarwal, Nidhi ; Thomas, Susan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:263-278. Full description at Econpapers \|\| Download paper
2019	Information or noise: What does algorithmic trading incorporate into the stock prices?. (2019). Elliott, Robert J ; Zhou, Hao ; Kalev, Petko S. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:27-39. Full description at Econpapers \|\| Download paper
2019	Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-. (2019). Demertzidis, Anastasios. In: MAGKS Papers on Economics. RePEc:mar:magkse:201932. Full description at Econpapers \|\| Download paper
2019	High frequency trading strategies, market fragility and price spikes: an agent based model perspective. (2019). Gerding, Enrico ; Booth, Ash ; McGroarty, Frank ; Raju, V L. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3019-4. Full description at Econpapers \|\| Download paper
2019	Order flow analysis of cryptocurrency markets. (2019). Silantyev, Eduard. In: Digital Finance. RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00007-w. Full description at Econpapers \|\| Download paper
2019	Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange. (2019). Lien, Donald ; Hung, Pi-Hsia . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:231-251. Full description at Econpapers \|\| Download paper
2019	STOCK PRICE ANCHORING. (2019). Inghelbrecht, Koen ; Disli, Mustafa ; Stieperaere, Hannes ; Schoors, Koen. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/966. Full description at Econpapers \|\| Download paper
2019	The Effects of Short Selling on Financial Markets Volatilities. (2019). Baidoo, Kwaku Boafo. In: European Journal of Business Science and Technology. RePEc:men:journl:v:5:y:2019:i:2:p:218-228. Full description at Econpapers \|\| Download paper
2019	Legal institutions and fragile financial markets. (2019). Chung, Huimin ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:277-298. Full description at Econpapers \|\| Download paper
2019	Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358. Full description at Econpapers \|\| Download paper
2019	The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:8. Full description at Econpapers \|\| Download paper
2019	. Full description at Econpapers \|\| Download paper
2019	The Design and Regulation of High Frequency Traders. (2019). Ladley, Daniel. In: Discussion Papers in Economics. RePEc:lec:leecon:19/02. Full description at Econpapers \|\| Download paper
2019	When do regulatory interventions work?. (2019). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2019-011. Full description at Econpapers \|\| Download paper
2019	Economic constraints and stock return predictability: A new approach. (2019). Wei, YU ; Zhang, Yaojie ; Yi, Yongsheng ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:1-9. Full description at Econpapers \|\| Download paper
2019	Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Wei, YU ; Zhang, Yaojie ; Jin, Daxiang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433. Full description at Econpapers \|\| Download paper
2019	Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?. (2019). Wang, Yudong ; Ma, Feng ; Zhang, Yaojie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:97-117. Full description at Econpapers \|\| Download paper
2019	Momentum and the Halloween Indicator: Evidence of a new seasonal pattern in momentum returns. (2019). Bhootra, Ajay. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:26-31. Full description at Econpapers \|\| Download paper
2019	Feedback trading: Strategies during day and night with global interconnectedness. (2019). Rudolf, Markus ; Kusen, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463. Full description at Econpapers \|\| Download paper
2019	Do closed-end fund investors herd?. (2019). Gebka, Bartosz ; Cui, Yueting ; Kallinterakis, Vasileios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:194-206. Full description at Econpapers \|\| Download paper
2019	Do investors herd in cryptocurrencies â and why?. (2019). Wang, Ying ; Kallinterakis, Vasileios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:240-245. Full description at Econpapers \|\| Download paper
2019	The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market. (2019). Zeng, Hongchao ; Wu, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:96-110. Full description at Econpapers \|\| Download paper
2019	Catastrophic risk and institutional investors: Evidence from institutional trading around 9/11. (2019). Yu, Danlei Bonnie ; Hu, Gang ; Chen, Yangyang ; Zhao, Jingran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:211-233. Full description at Econpapers \|\| Download paper
2019	The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK. (2019). Gregoriou, Andros ; Zhang, Sijia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:191-200. Full description at Econpapers \|\| Download paper
2019	Non-macro-based Google searches, uncertainty, and real economic activity. (2019). Gerotto, Luca ; Donadelli, Michael. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:111-142. Full description at Econpapers \|\| Download paper
2019	M&A price pressure revisited. (2019). Nie, Yulin ; Kryzanowski, Lawrence. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:299-308. Full description at Econpapers \|\| Download paper
2019	The impact of trade reporting and central clearing on CDS price informativeness. (2019). Zhu, LU ; Yu, Fan ; Marra, Miriam . In: Journal of Financial Stability. RePEc:eee:finsta:v:43:y:2019:i:c:p:130-145. Full description at Econpapers \|\| Download paper
2019	Assimilation of oil news into prices. (2019). McDonald, Bill ; Loughran, Tim ; Pragidis, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:105-118. Full description at Econpapers \|\| Download paper
2019	Establishing an automated brand index based on opinion mining: analysis of printed and social media. (2019). Harkonen, Janne ; Nuortimo, Kalle. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:7:y:2019:i:3:d:10.1057_s41270-019-00060-9. Full description at Econpapers \|\| Download paper
2019	The Sound Of Many Funds Rebalancing. (2019). Fos, Vyacheslav ; Chinco, Alex. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13561. Full description at Econpapers \|\| Download paper
2019	The quality of governance and momentum profits: International evidence. (2019). Chen, Jiaqi ; Sherif, Mohamed. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:5:s0890838919300484. Full description at Econpapers \|\| Download paper
2019	Co-jumping of Treasury Yield Curve Rates. (2019). BarunÃÂk, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541. Full description at Econpapers \|\| Download paper
2019	Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384. Full description at Econpapers \|\| Download paper
2019	Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95. Full description at Econpapers \|\| Download paper
2019	Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches. (2019). Mensi, Walid ; Ur, Mobeen ; Al-Yahyaee, Khamis Hamed ; Wanas, Idries Mohammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:47-56. Full description at Econpapers \|\| Download paper
2019	The causality between liquidity and volatility in the Polish stock market. (2019). Kliber, Agata ; Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:110-115. Full description at Econpapers \|\| Download paper
2019	Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146. Full description at Econpapers \|\| Download paper
2019	Forecasting stock returns: Do less powerful predictors help?. (2019). Shi, Benshan ; Ma, Feng ; Zeng, Qing ; Zhang, Yaojie. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:32-39. Full description at Econpapers \|\| Download paper
2019	The role of technical indicators in exchange rate forecasting. (2019). Panopoulou, Ekaterini ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221. Full description at Econpapers \|\| Download paper
2019	Does investor risk perception drive asset prices in markets? Experimental evidence. (2019). Zeisberger, Stefan ; Palan, Stefan ; Huber, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302109. Full description at Econpapers \|\| Download paper
2019	To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from Virtual Globes and its rate of diffusion in a financial market. (2019). , Johnnie ; Ma, Tiejun ; Sung, Ming-Chien ; Green, Lawrence . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:226-239. Full description at Econpapers \|\| Download paper
2019	Pulling Starters. (2019). Mills, Brian ; Stone, Daniel ; Finigan, Duncan. In: OSF Preprints. RePEc:osf:osfxxx:te4wg. Full description at Econpapers \|\| Download paper
2019	Tick size change and market quality in the U.S. treasury market. (2019). Fleming, Michael ; Ruela, Francisco ; Nguyen, Giang. In: Staff Reports. RePEc:fip:fednsr:886. Full description at Econpapers \|\| Download paper
2019	CME Iceberg Order Detection and Prediction. (2019). Antonov, Anton ; Zotikov, Dmitry. In: Papers. RePEc:arx:papers:1909.09495. Full description at Econpapers \|\| Download paper
2019	Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597. Full description at Econpapers \|\| Download paper
2019	Inverted fee structures, tick size, and market quality. (2019). Zhong, Zhuo ; Gregoire, Vincent ; Comerton-Forde, Carole. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:141-164. Full description at Econpapers \|\| Download paper
2019	Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange. (2019). Nguyen, Giang ; Ghysels, Eric. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:164-:d:280394. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets. (2019). Yang, Chunpeng ; Zhou, Liyun. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:14:y:2019:i:4:d:10.1007_s11403-019-00264-3. Full description at Econpapers \|\| Download paper
2019	Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Magris, Martin ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.12200. Full description at Econpapers \|\| Download paper
2018	Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196. Full description at Econpapers \|\| Download paper
2018	Distilling liquidity costs from limit order books. (2018). Amaya, Diego ; Roch, Alexandre F ; Okou, Cedric ; Filbien, Jean-Yves . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:16-34. Full description at Econpapers \|\| Download paper
2018	Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. (2018). Ghadhab, Imen. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:1-10. Full description at Econpapers \|\| Download paper
2018	Market volatility, liquidity shocks, and stock returns: Worldwide evidence. (2018). Marshall, Ben ; Anderson, Hamish D. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:164-199. Full description at Econpapers \|\| Download paper
2018	The Shift from Active to Passive Investing: Potential Risks to Financial Stability?. (2018). Shin, Chae Hee ; Osambela, Emilio ; McCabe, Patrick E ; Kruttli, Mathias S ; Anadu, Kenechukwu E. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa18-4. Full description at Econpapers \|\| Download paper
2018	The Shift from Active to Passive Investing : Potential Risks to Financial Stability?. (2018). Shin, Chae Hee ; Osambela, Emilio ; McCabe, Patrick E ; Kruttli, Mathias S ; Anadu, Kenechukwu E. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-60. Full description at Econpapers \|\| Download paper
2018	Sustainability Disclosure in Integrated Reporting: Does It Matter to Investors? A Cheap Talk Approach. (2018). Camodeca, Renato ; Sagliaschi, Umberto ; Almici, Alex. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4393-:d:185253. Full description at Econpapers \|\| Download paper
2018	Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators. (2018). ÃÂdegaard, Bernt ; Klova, Valeriia. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2018_004. Full description at Econpapers \|\| Download paper
2018	Focusing on volatility information instead of portfolio weights as an aid to investor decisions. (2018). Weber, Martin ; Laudenbach, Christine ; Ehm, Christian . In: Experimental Economics. RePEc:kap:expeco:v:21:y:2018:i:2:d:10.1007_s10683-017-9537-0. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Dealing with dealers: sovereign CDS comovements. (). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel. In: Working Papers. RePEc:bde:wpaper:1723. Full description at Econpapers \|\| Download paper
2017	An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00. Full description at Econpapers \|\| Download paper
2017	Detection of algorithmic trading. (2017). Bogoev, Dimitar ; Karam, Arze. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:168-181. Full description at Econpapers \|\| Download paper
2017	2017 Financial Stability Report. (2017). . In: Reports. RePEc:ofr:report:17-2. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1607.08214. Full description at Econpapers \|\| Download paper
2016	Insider competition under two-dimensional uncertainty and informational asymmetry. (2016). Bade, Marco . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:79-82. Full description at Econpapers \|\| Download paper
2016	Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62. Full description at Econpapers \|\| Download paper
2016	Intraday market making with overnight inventory costs. (2016). Vogt, Erik ; Adrian, Tobias ; Capponi, Agostino ; Zhang, Hongzhong. In: Staff Reports. RePEc:fip:fednsr:799. Full description at Econpapers \|\| Download paper
2016	Interactions among High-Frequency Traders. (2016). Hjalmarsson, Erik ; Zikes, Filip ; Benes, Evangelos ; Brugler, James . In: Working Papers in Economics. RePEc:hhs:gunwpe:0680. Full description at Econpapers \|\| Download paper
2016	Exchange Traded Funds (ETFs). (2016). Ben-David, Itzhak ; Franzoni, Francesco ; Moussawi, Rabih. In: NBER Working Papers. RePEc:nbr:nberwo:22829. Full description at Econpapers \|\| Download paper
2016	Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut. In: MPRA Paper. RePEc:pra:mprapa:72197. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	54	269
2	Journal of Banking & Finance / Elsevier	133	248
3	Pacific-Basin Finance Journal / Elsevier	38	214
4	Journal of Financial Markets / Elsevier	46	190
5	Journal of Financial Economics / Elsevier	221	166
6	International Review of Financial Analysis / Elsevier	36	157
7	MPRA Paper / University Library of Munich, Germany	90	144
8	International Review of Economics & Finance / Elsevier	40	131
9	Journal of Empirical Finance / Elsevier	62	127
10	Finance Research Letters / Elsevier	27	118
11	Research in International Business and Finance / Elsevier	24	116