The relationship between volume and price variability in futures markets

1981 ◽  
Vol 1 (3) ◽  
pp. 303-316 ◽  
Author(s):  
Bradford Cornell
Keyword(s):  
Futures Markets ◽  
Price Variability ◽  
The Relationship

SEARCHING FOR THE OPTIMAL LEVEL: INFLATION AND PRICE VARIABILITY IN TURKEY

2019 ◽  
pp. 1-19
Author(s):  
HATICE KARAHAN ◽  
M. EGE YAZGAN
Keyword(s):  
Functional Form ◽  
Optimal Level ◽  
Parametric Estimation ◽  
Relative Price ◽  
Price Variability ◽  
Relative Price Variability ◽  
Price Data ◽  
Large Fluctuations ◽  
Main Item ◽  
The Relationship

This paper explores the relationship between inflation and relative price variability (RPV) in Turkey for the period 2004–2017 to shed further light on the issue with relatively recent data. For this purpose, we use monthly price data for 12 main item groups and 414 specific items thereof. Analyses show that RPV for the period of interest exhibits large fluctuations, being particularly salient in the categories of communications and food. Regarding the underlying functional form, semi-parametric estimation results indicate a U-shaped relationship between inflation and RPV, where the latter reaches its minimum at an inflation level close to 8%.

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

2020 ◽  
Vol 37 (3) ◽  
pp. 413-428
Author(s):  
Dimitrios Panagiotou ◽  
Alkistis Tseriki
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Quantile Regressions ◽  
Content Type ◽  
Feeder Cattle ◽  
Daily Data ◽  
The Us ◽  
Volume Relationship ◽  
Agricultural Futures ◽  
The Relationship

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.

LIQUIDITY AND PRICE VARIABILITY IN FUTURES MARKETS

1986 ◽  
Vol 21 (2) ◽  
pp. 211-238 ◽  
Author(s):  
Nikolaos T. Milonas
Keyword(s):  
Futures Markets ◽  
Price Variability

Robustness of the relationship between price variability and inflation for US manufacturing

1998 ◽  
Vol 30 (4) ◽  
pp. 513-519 ◽  
Author(s):  
Elizabeth M. Caucutt ◽  
Mrinal Ghosh ◽  
Christina M.L. Kelton
Keyword(s):  
Price Variability ◽  
The Relationship
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