Assessing the relationship between closing prices and trading volume in the US livestock futures markets: A quantile regressions methodology

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.

The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used.

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).

This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.