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A bibliometric review of Market Microstructure literature: Current status, development, and future directions

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  • V.K., Anand Krishnan
  • Chalissery, Meera Davi
  • Thomas, Sony

Abstract

We present a bibliometric literature review of the research conducted in the field of Market Microstructure over the past two decades. Covering 981 articles from the Web of Science (WOS) database published from 2004–2023, we summarise the publication trends and identify the most important contributors to the field. We map the conceptual structure and identify the popular themes using the Bibliometrix package run in R software. We also suggest several future research topics. Given the growing interest in applying high-frequency data in the finance literature, our study helps in understanding the application of Market Microstructure theories in modern financial markets.

Suggested Citation

  • V.K., Anand Krishnan & Chalissery, Meera Davi & Thomas, Sony, 2024. "A bibliometric review of Market Microstructure literature: Current status, development, and future directions," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011164
    DOI: 10.1016/j.frl.2024.106086
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    More about this item

    Keywords

    Market microstructure; Bibliometric analysis; Content analysis;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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