The maturity effect (delivery effect) of stock index futures refers to the phenomenon that the trading volume and volatility of the underlying index increase significantly on the settlement date of stock index futures. The fundamental reason for the maturity effect is that the stock index futures are settled by cash delivery, and the interaction of arbitrage liquidation, hedging transfer and speculative traders' desire to manipulate the settlement price has produced the maturity effect on the final settlement date. Arbitrage in China will only occur when the stock index futures price is higher than the spot price. Arbitrage traders sell stock index futures and buy spot. For arbitrageurs who still hold the spot on the futures maturity date, they need to clear their positions according to the futures settlement price. If there are more arbitrage traders, the selling pressure will be concentrated at the same time, which will put downward pressure on the index. For hedgers, short contracts need to be transferred to other months when the contract is about to expire, so the price of futures contracts will be under certain pressure one month before the contract expires, and the price discovery effect of futures will affect the transmission to the spot index. The speculators in this contract hope to make the spot price develop in a more favorable direction as far as possible on the final settlement date, so as to achieve the purpose of making profits or reducing losses, so the speculators have the willingness to manipulate the price on the last trading day.

Under the influence of the above different factors, the trading volume, volatility and yield of stock index futures on maturity date are obviously different from the average level. According to statistics, the return on investment of stocks bought on the maturity date of stock index futures is higher than the average level of other trading days; Buying stocks from the first half of the expiration date of stock index futures is higher than buying stocks in the second half. From the statistical results, the expiration date of stock index futures has a depressing effect on spot prices.

For some stock investors, several trading days after the expiration of stock index futures can be regarded as a good time to buy stocks. Similarly, there is a slight premium for selling stocks between the maturity dates of two stock index futures. At the same time, stock investors should pay attention to the number of dates with positive arbitrage space this month, whether there is a substantial increase in positions on trading days with arbitrage space, and whether there are more empty orders held by institutions when conditions permit. These factors may put some pressure on the spot index of stock index futures.

In order to prevent the settlement price from being manipulated, CICC sets the settlement price of stock index futures at maturity date as the arithmetic average price of the last two hours of the last trading day of the underlying index, and has the right to adjust the settlement price of stock index futures according to market conditions. Due to the long time span and the scattered weight of constituent stocks, the probability of being manipulated is greatly reduced. At the same time, CICC sets the settlement date of stock index futures as the third Friday of each month, which avoids other factors that may cause spot fluctuations, such as end-of-month effect and end-of-season effect. CICC has fully considered the impact of the expiration effect of stock index futures, but how much impact the expiration effect of stock index futures has on the spot needs to be proved by the market.