Applying Tsay's multi-variate threshold regression model to volume of transaction and price of pork of Taiwan (January 1981 through December 2009), this paper explores the different interaction patterns between price and volume of tranaction. The results are encouraging. First, when the transaction volume of pork 11 periods before is very small, we observe the following: (i) to a positive shock on the current price, the responses of future volumes are insignificant, and (ii) to a positive (negative) shock on the current volume, the price six periods later is expected to decreases (increases). Second, when the volume 11 periods before is not very small, we observe that (i) the volumes 2~4 and 14 periods later respond negatively (positively) to a positive (negative) shock to current price, and (ii) future price changes are insignificant in response to a positive (negative) shock to current volume of transaction in the Taiwan pork market.