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

Author

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  • Fousekis, Panos
  • Tzaferi, Dimitra

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.

Suggested Citation

  • Fousekis, Panos & Tzaferi, Dimitra, 2019. "Price returns and trading volume changes in agricultural futures markets: An empirical analysis with quantile regressions," The Journal of Economic Asymmetries, Elsevier, vol. 19(C), pages 1-1.
    • Handle: RePEc:eee:joecas:v:19:y:2019:i:c:3
    DOI: 10.1016/j.jeca.2019.e00116
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    Citations

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    Cited by:

    1. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
    2. Baris Kocaarslan & Ugur Soytas, 2021. "The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis," Sustainability, MDPI, vol. 13(4), pages 1-12, February.
    3. Zofia Gródek-Szostak & Gabriela Malik & Danuta Kajrunajtys & Anna Szeląg-Sikora & Jakub Sikora & Maciej Kuboń & Marcin Niemiec & Joanna Kapusta-Duch, 2019. "Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function," Sustainability, MDPI, vol. 11(15), pages 1-14, August.

    More about this item

    Keywords

    Price; Volume; Futures markets; Non-linearity; Asymmetry;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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