The increased prevalence of algorithmic trading (AT) has an economically meaningful positive effect on the sensitivity of corporate investment to stock prices. The effect is pervasive in that the positive impact of AT on the investment-to-price sensitivity holds in even stocks with relatively...

Using the staggered entry of Chi-X in 12 European equity markets as a source of exogenous variation in high frequency trading (HFT), we find that HFT causes significant increases in co-movement in returns and in liquidity. About one-third of the increase in return co-movement is due to faster...