The domestic stock index futures market is actually a relatively young market. In the futures market, we find that most of the main contracts are in a forward discount state. From the definition of financial terms, if the main contract value of futures index is lower than the corresponding spot index value, it will produce discount phenomenon. For example, if the main contract of IF2 1 10 is 4500 and the Shanghai and Shenzhen 300 Index is 45 10 at the same time, the futures index will have a discount of 10. The long-term premium status of these contracts actually consists of the following factors.

First of all, the overall trend of major domestic indexes is still weak. Generally speaking, participants in stock index futures include a large number of hedging investors. Such investors often buy stocks, funds and other long-term assets in large quantities, and at the same time choose to release a certain number of empty orders (short assets) in the futures market to protect long-term assets. In the real market, the index is easier to get out of the weak form, which makes hedge investors willing to release empty orders below the corresponding index to protect long assets. Therefore, this willingness of investors has led to a long-term discount on the futures index.

Secondly, the domestic blue-chip dividend cycle is longer, which makes the futures index more prone to the trend of discount. Generally speaking, the dividends of blue-chip stocks will be directly reflected in the index. The dividend of each blue chip will reduce the value of its corresponding index. In the domestic A-share market, blue-chip stocks constitute the constituent stocks of major indexes, and their dividend cycle covers the period from the release of the annual report to the end of the semi-annual report. The period of gradual dividend of this blue chip is relatively long. In the corresponding period, the quotation of futures contracts in the futures market will take dividend deduction into account. So we see the forward discount of the corresponding futures index.

Third, the rapid issuance of new shares in China has also caused the long-term discount of futures index. At present, the speed of domestic IPO is maintained at the level of 300/ year to 600/ year. This degree makes listed companies face the potential environment of "drawing blood from market value". After all, the chips in the A-share market are increasing, but the overall increment of incremental funds is lower than the growth rate of chips. This situation makes listed companies face great price pressure as a whole, and this pressure reflects the long-term discount phenomenon in the futures market.

To sum up, the phenomenon of forward discount of futures index is actually caused by the comprehensive game of market pricing by various investors. This discount phenomenon also reflects some "hidden rules" in the current A-share market.