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Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market

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  • Wei Xie
  • Yi An

Abstract

In China's corn futures market, the dominant contracts, characterized by the highest liquidity, were traditionally concentrated in those expiring within 3 to 6 months. However, the market structure underwent significant shifts in 2023. We use 1‐min trading data of China's corn futures from 2019 to 2023 and apply an information entropy model to explore the information flow between contracts with different maturities. Our findings indicate that an increase in market liquidity enhances mutual‐information levels, whereas changes in market structure have an adverse effect. Before the structural changes, contracts with maturities of 5 to 9 months primarily served as information senders, whereas contracts with maturities exceeding 9 months acted as the main receivers. Since the change in market structure, contracts expiring within 2 to 3 months emerged as critical senders of information transmission. Additionally, the COVID‐19 pandemic significantly impacted information flow.

Suggested Citation

  • Wei Xie & Yi An, 2025. "Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 896-916, August.
    • Handle: RePEc:wly:jfutmk:v:45:y:2025:i:8:p:896-916
    DOI: 10.1002/fut.22595
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    References listed on IDEAS

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