Price returns and trading volume changes in agricultural futures markets: An empirical analysis with quantile regressions

Panos Fousekis and Dimitra Tzaferi

The Journal of Economic Asymmetries, 2019, vol. 19, issue C, -

Abstract: This work examines the price-volume relationship in six agricultural futures markets using quantile regressions and daily data from 2010 to 2018. The results suggest that the association between the two variables is highly non-linear (convex). In particular, the association is positive (negative) under positive (negative) returns in line with the theoretical proposition of Blume et al. (1995) for stock markets. The existence of non-linearity explains why earlier empirical studies, that assumed a priori a linear association, ended up with conflicting and often counterintuitive findings.

Keywords: Price; Volume; Futures markets; Non-linearity; Asymmetry (search for similar items in EconPapers)
JEL-codes: C12 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:19:y:2019:i:c:3

DOI: 10.1016/j.jeca.2019.e00116

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