Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market
利用2019至2023年中国玉米期货的分钟级交易数据，研究不同到期日合约间的信息流动，发现市场流动性和结构变化影响信息传递，新冠疫情也有显著冲击。
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.