Liquidity is the life force of modern financial market system and the lubricant of financial resources allocation. Using realtime trading records of 20162018,it was found that effective spread which proxies for market liquidity follows intraday Ushaped and intraweek Vshaped distribution in the agricultural commodity futures market. Based on that,this paper constructs “volumesprices” relation regression model with intraday effects and FamaFrench 3factor model with intraweek effects to explore the effect of market liquidity on agricultural futures pricing mechanism,from the perspective of information cost and risk premium. The study found that first agricultural commodity futures trading volume has a longterm and irreversible impact on futures price during opening and closing periods,which results from information effects greater than liquidity effects driven by trading,and a smaller price impact in Night trading plays a role in smoothing spread and sharing risk. Second the excess returns of agricultural futures compensate traders for liquidity risk,with a cyclical feature; there appears a concurrence of “liquidity premium” and an “economics of scale” on Monday driven by the demand of releasing information and increasing position. It is concluded that increasing the proportion of scale trading,perfecting the information disclosure system and expanding the varieties of night trading will help maintain the reasonable and stable market liquidity,and give full play to the important role of agricultural futures market in resource allocation and price discovery.