This paper compares the effective bid-ask spread and examines the decomposition of spread in the London Stock Exchange (LSE) and New York Stock Exchange (NYSE). Results indicate that order persistence cost is generally higher in NYSE than in LSE while order processing cost in NYSE is lower, and...

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during Asian financial crisis using intraday data of 418 stocks traded on the Stock Exchange of Thailand (SET) from January 1996 to October 2003. The inverse relationship between the past...