"Maturity effect" in other markets: there are two main ways to produce the maturity delivery price of stock index futures in overseas markets: one is to deliver the stock according to the price at a certain point in the spot market, that is, the closing price or the opening price; The other is to deliver according to the average price in a certain period of time. In both markets, the stock spot trading volume will basically change significantly on the maturity date of stock index futures, but in the market where the price is delivered on time, the fluctuation of stock spot is more obvious, and the maximum deviation from the average price is close to the transaction cost. Maturity arbitrage strategy: applying the subscription and redemption mechanism of ETF trading to the maturity date of stock index futures can avoid the restriction of T+0 delivery system of stock spot on grasping the arbitrage opportunity of maturity date. By buying ETF and converting it into a basket of stocks, and selling stock index futures at the same time, we can get a large premium income of stock index futures relative to the stock spot, while selling stock index futures can get a large discount income of stock index futures relative to the stock spot. Influencing factors of maturity arbitrage: Due to the particularity of maturity arbitrage strategy, there are many possible influencing factors that need to be considered in the actual arbitrage process, including: explicit transaction cost, ETF transaction impact cost, ETF premium, ETF minimum purchase and redemption unit, stock spot transaction impact cost, stock order execution speed, etc. According to the experience of overseas markets, the settlement date effect of stock index futures will appear on the settlement date, that is, when the stock index futures contract is due to the imbalance between buying and selling, the trading volume and volatility of spot prices will change abnormally. It is generally believed that the maturity effect is mainly caused by the trading behavior of arbitrageurs. When the relative pricing of stock index futures contracts deviates from the stock spot price to a certain extent, the arbitrator will join the market in the stock spot market and the stock index futures market respectively to form an arbitrage portfolio, and then maintain the arbitrage portfolio until the futures maturity date and then close the position to end the arbitrage. According to the settlement rules of stock index futures, futures contracts are delivered in cash instead of stock spot, so there will be a large number of arbitrageurs who need to sell or buy a large number of stock spot in a concentrated period of time on the maturity date, which will obviously affect the liquidity of the market, produce a greater impact cost, and the abnormal change of stock spot price is easy to understand. Some manipulation of stock prices may also lead to maturity effect. The research shows that the purpose of stock price manipulation on the maturity date of stock index futures includes two aspects: directly to obtain more income from the arbitrage portfolio with maturity date, and indirectly to obtain income from the arbitrage position that has not been settled and will be maintained. The direct way to gain income is that some arbitrageurs close the spot positions of stocks before the maturity date, and obtain more favorable futures settlement prices by manipulating the spot prices of stocks on the maturity date, thus gaining income. The way of indirect benefit is that some market participants use the maturity effect to influence the price change in the direction they want through intentional trading, so as to establish an arbitrage portfolio on subsequent contracts to set a larger spread. From the experience of overseas markets, in some markets with obvious maturity effect, the spot price of stocks can deviate from the equilibrium level to a considerable extent, which can basically cover the transaction costs of ordinary investors. According to the Trading Rules of Shanghai and Shenzhen 300 Index Futures of China Financial Futures Exchange, the settlement price of stock index futures is the arithmetic average price of the last two hours of the underlying index on the previous trading day. Obviously, the maturity effect can be expected under such a settlement method that the settlement price is generated in a certain period of time and cash settlement is implemented. However, the settlement price of domestic stock index futures is not only different from the price of the United States, Japan and other markets at a certain point in time, but also different from the average price of Hong Kong, Australia and other markets in a long period of time. In addition, due to the common characteristics of speculative trading in the domestic securities market, we believe that it is inevitable that the spot price of stock index futures will fluctuate greatly on the maturity date in the future, which lays the foundation for the emergence of arbitrage opportunities. The lack of traditional arbitrage power and the T+ 1 delivery mechanism of domestic stock trading make it impossible for the traditional arbitrage power of stock index futures to arbitrage on the maturity date. When the premium of the stock index futures price relative to the spot price exceeds the transaction cost on the maturity date, the price difference set by the spot stock can be sold according to the standard arbitrage transaction. Because the stock you bought needs to be sold at the futures settlement price on the maturity date, and the stock you bought on that day cannot be sold under the delivery mechanism of T+ 1, it is impossible to carry out such arbitrage activities. In addition, based on the current situation, even if the domestic stock index futures market has launched the margin financing and securities lending business in the future, it is difficult to make a difference in the relatively common short-selling of individual stocks, so it is impossible to establish an arbitrage position by buying stock index futures and shorting the stock spot when the stock index futures are discounted relative to the stock spot. In addition to the lack of arbitrage motivation, we believe that the spot price on the maturity date will deviate from the equilibrium level to a great extent, so before the settlement date of stock index futures, a large deviation between stock index futures and stock spot is inevitable, which means the emergence of arbitrage opportunities. Maturity effect of other markets Stock index futures have experienced a long period of development in overseas markets, and the maturity effect of stock index futures has always been the focus of many researchers and insiders. According to the different ways of settlement price generation, two types of market research can be distinguished. The earliest stock index futures in the United States and Japan are the value index futures (VLF) launched by Kansas Futures Exchange on February 6th, 1982. At present, the most active trading is the S&: P500 index futures contract. The delivery price before June 1987 is the weighted average of the closing price of the constituent stocks on the maturity date, and then it is adjusted to the weighted average of the opening price of the constituent stocks on the maturity date. The earliest stock index futures launched in Japan's domestic market are 50 stock futures contracts, which started trading on June 1987. At that time, the Japanese Securities Exchange Law prohibited cash delivery, so 50 stock futures contracts were delivered in cash. It was not until1May, 988 that the revised Japanese Securities Exchange Law allowed cash delivery of stock indexes and options. In September, 1988, Osaka Stock Exchange started trading on the 225 index futures. The delivery price of Nikkei 225 index futures is the opening price on the morning of the maturity date. In the American market, the maturity effect of stock index futures is very obvious. The well-known "Three Witches' Meeting" depicts the trading time of the last hour when stock index futures, stock index options and stock options expire at the same time on the third Friday of each quarter. From s & amp；; According to the maturity effect of P500 index futures, because its delivery price is determined by the weighted price of constituent stocks at a certain point, a large number of stocks will be sold at this delivery point. For S&; The study of P500 index futures shows that a large number of arbitrageurs publish the closing price with the closing price as the target price. Obviously, a large number of market orders are concentrated at one time, which can easily lead to the result that there is no rival market, and price distortion is inevitable. It can also be seen from the statistical data that the maturity effect shifts from closing time to opening time because the delivery price changes from closing time to opening time. From s & amp；; According to the statistical data in the study of the maturity effect of P500 index futures, the price recovery rate after maturity is 0.366%, and the minimum quotation difference that market makers can provide enough liquidity is about 0.4 17%, that is, the impact of maturity on the price is basically close to the cost. Considering the cost advantage of market makers, it is obvious that some institutions have arbitrage opportunities on the maturity date. The study of Japanese Nikkei 225 index futures also shows that the spot trading volume of stocks increases significantly on the maturity date, but the degree of price reversal is not obvious, that is, the change is not enough to cover the transaction cost. Caroli made a statistical test on the trading volume and price data of the stock spot market on the maturity date of the Nikkei 225 index futures during the period of1May 19881991.It was found that the trading volume changed abnormally and the price reversed only by about 0.2%. Hong Kong, Australia and other Hong Kong markets launched the Hang Seng Index Futures in May, 1986, and the delivery price on the maturity date is the average of the index points quoted by the Hang Seng Index every five minutes on the maturity date; In Australia, SPI index futures with AOI index as the underlying index were launched on 1983. The delivery price on the maturity date is changed, that is, the delivery price is the closing price of AOI index on the maturity date before March 1997, and then it is delivered at the price determined by the special outcry market after the stock spot market closes 15 minutes. In this way, the settlement price is generated in the spot market on the maturity date. The maturity effect of stock index futures in Hong Kong market is not obvious. In Bollen and Whaley's research, it is found that due to the lack of programmed trading, the growth of maturity trading volume is lower than that of non-maturity trading volume, and with the introduction of programmed trading, the relative abnormal change of maturity trading volume appears; Their research also found that the spot yield of Hang Seng Index futures on maturity date is lower than that on non-maturity date, but the statistical test is not obvious. From the statistical data of spot trading volume and price recovery of stock index futures at maturity in the above two markets with different settlement prices, whether the time-point price or the average price of time period is used as the futures settlement price, the trading volume at maturity has changed obviously, and the spot price recovered to the average level after futures expiration is not enough to cover the transaction cost, while the market price change with time-point price settlement is closer to the general transaction cost. The main reason is that when the spot price is settled on time, the arbitrageur's liquidation of the spot position mostly needs to be concentrated around the time when the settlement price is generated, and the high impact cost of a large number of spot transactions in a short period of time is also an inevitable market performance; According to the average price in a certain period of time or the price that can reflect the previous information after closing, arbitrageurs don't have to focus on closing positions at individual times, and it is far more difficult to manipulate the price trend in a relative period of time than to manipulate the price at the time, so the performance in the spot market is not prone to obvious abnormal changes. The influence of different types of traders' behavior on maturity date is divided from the goal of investors participating in the market. We divide traders who participate in stock index futures and stock spot into three categories: arbitrageurs, hedgers and speculators. Arbitrators try to find opportunities from the pricing deviation between stock index futures and stock spot or within it, and the relative deviation is their focus; Hedgers use stock index futures to hedge the spot risk of their stocks, and the price matching between them is more in line with their trading needs; Speculators decide their trading behavior according to the trend, and they can get more benefits by influencing the trend to change in their own favorable direction. As mentioned above, the stock spot market will change abnormally due to the trading behavior of arbitrageurs on the maturity date of stock index futures. In fact, three different types of traders will conduct various trading activities in the stock spot and stock index futures markets on the maturity date, and different types of traders make decisions based on different expectations, so the stock spot and stock index futures markets are influenced by different types of traders. It should be noted that we believe that even if the domestic stock index futures have launched the margin trading and securities lending business in the future, the harsh restrictions including high cost and limited scale will make the daily spot arbitrage trading of stock index futures mainly the forward arbitrage trading of selling stock index futures and buying stock spot.