A copula approach based on high frequency is proposed in this paper and it is applied to examine the daily and intraday dependence structure between four major agricultural commodity futures in China over the period of 2006-2014. This paper reveals several stylized facts regarding the Chinese agricultural commodity futures market. First, we find that the daily dependence between the agricultural commodity futures in China is time-varying, slightly asymmetric and significant most of the time during the sample period. Second, this dependence and its asymmetry are more pronounced during the world food crisis (2007-2008) and the global financial crisis (2008-2011). Third, the intraday dependence structure between the major agricultural commodity futures often exhibits a lopsided inverted U-shaped pattern with relatively lower dependence levels around the opening and the closing time, and a peak around the midday.
