This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...

We estimate global return autocorrelation by using the quantile autocorrelation model and investigate its determinants across 43 stock markets from 1980 to 2013. Although our results document a decline in autocorrelation across the entire sample period for all countries, return autocorrelation...

This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/Machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...

We compare cross-sectional variation of dividend yields of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the variations in country level variables affect dividend payout policies. The country level variables...