Returns and volume in the US grains futures markets: Empirical evidence from the cross-extremogram

This work examines the contemporaneous and cross-temporal links between price returns and trading volume in major U.S. grain futures markets under extreme market conditions. Using daily data for corn, soybeans, and soft red winter wheat, it employs the cross-extremogram—a tool grounded in extreme value theory—to capture nonlinear, tail-specific dependence without parametric assumptions. The empirical results indicate that: (a) contemporaneous and lagged spillovers are bidirectional and persistent; (b) extreme price movements, irrespective of sign, tend to generate surges in trading activity, while extreme volume realizations are equally likely to be associated with very high or very low price returns; and (c) the magnitude of extremal spillovers varies across market states. Overall, the findings provide novel insights into the microstructure of futures markets, with important implications for hedging, speculative behavior, and regulatory oversight during extreme events.