Dataset for 'Market efficiency research and its intellectual structure'

This study provides a comprehensive bibliometric analysis of the literature on financial market efficiency, aiming to map its intellectual structure and examine its evolution over time. Performing a co-citation analysis of 1,553 Web of Science-indexed articles published between 2000 and 2025 using CiteSpace software, the paper identifies the main research clusters shaping the field and explores their interconnections. In addition, the analysis highlights key intellectual turning points through network centrality measures and examines the temporal dynamics of research attention using citation burst detection. The results reveal a highly heterogeneous and fragmented research landscape, encompassing traditional asset pricing models, behavioral explanations, market microstructure, informational frictions, dynamic conceptions of efficiency, and emerging topics such as cryptocurrency markets and COVID-19. By combining structural and temporal perspectives, this study offers an integrated view of how research on market efficiency has evolved and how different strands of the literature are connected. Finally, the paper proposes a forward-looking research agenda that identifies promising avenues for future research and contributes to a more nuanced understanding of market efficiency as a multifaceted and evolving concept.