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Yes, and no. First large orders often get smaller spreads than small orders, because of efficiency gains for the market-maker. However, large orders also tend to have larger spreads. The reason for this is that large orders may contain additional information about the future price which is at the expense of the market-maker in the interdealer market. But ...


You should turn to market microstructure research. Large and frequent trades can temporarily increase the spread and observed transaction price. Additionaly, trades done near the release of new information ( macro news, firms news,...) most likely need to overcome larger spreads.

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