Fig. 3.

Transaction cost and trade size around the COVID-19 crisis.

This figure presents the daily average transaction cost for trades with different sizes separately for investment-grade bonds (Panel A) and high-yield bonds (Panel B). Transaction cost is calculated for each customer trade using Eq. (1). Trades are classified into four size categories based on their par amount: micro ($1 to $100,000), odd lot ($100,000 to $1000,000), round lot ($1000,000 to $5000,000), and block (above $5000,000).