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

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.