Assessing the relationship between closing prices and trading volume in the US livestock futures markets

Dimitrios Panagiotou and Alkistis Tseriki

Studies in Economics and Finance, 2020, vol. 37, issue 3, 413-428

Abstract: Purpose - The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach - The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings - Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value - This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.

Keywords: Prices; Co-movement; Livestock futures; Quantiles regression; Trading volume; Q14; G12; C13 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-09-2019-0352

DOI: 10.1108/SEF-09-2019-0352

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