Price and volume relationship in the U.S. livestock futures markets
(EN)
Tseriki, Stamatia Alkistis
(EN)
Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών
(EL)
Παναγιώτου, Δημήτριος
(EL)
Tseriki, Stamatia Alkistis
(EN)
The objective of this work 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 employed. Daily data between 1/1/2010 and 31/7/2019 were utilized. 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 utilizes the parametric quantile regressions method in the livestock futures market, in order to examine the returns-volume dependence.
(EN)
