From this, we can draw a general conclusion: in a positive market, if the spot price of stock index falls, the stock index futures price will also fall, and because the stock index futures price is already higher than the spot price of stock index, the decline will be even greater until the delivery month when the stock index futures price and the spot price converge. Similarly, in the forward market, if the spot price of stocks rises, the stock index futures price also rises, but the increase is less than the spot price. By the delivery month, the stock index futures price and the stock index spot price are combined into one.
If the spot price of stock index is higher than that of stock index futures, the contract price in the near delivery month is higher than that in the far delivery month. We call this kind of market a reverse market or a reverse market. The reason for this situation is that the demand for stock spot in the near future is very urgent, far greater than the recent supply; At the same time, it is expected that the spot supply of stocks will increase significantly in the future; In short, the emergence of counter-market is due to people's urgent demand for stock spot goods, no matter how high the stock spot price is, it leads to a sharp rise in the stock spot price. This price relationship does not mean that there is no cost of holding the spot. As long as the spot is held and stored until a certain period in the future, the holding cost is essential. However, in the reverse market, due to the urgent demand for spot and recent futures, buyers are willing to bear and absorb all the holding costs; In the reverse market, with the passage of time, the spot price of stock index and the price of stock index futures will gradually converge and converge in the delivery month, just like the forward market.
In short, because the stock index futures price is the price at a certain time in the future, with the passage of time and the expiration of the stock index futures contract, the stock index futures price will tend to the spot delivery price of the stock index. If the spread between the stock index futures price and the stock index spot price exceeds the transaction cost near the expiration of the contract, traders will inevitably seize the opportunity to carry out arbitrage trading, so that the stock index futures price and the stock index spot price will gradually be consistent.
Stock index futures price and stock index spot price have convergence, but there is a time lag before convergence. The time difference between stock index futures and stock index spot prices refers to the phenomenon that the changes of stock index futures and spot prices are not synchronized in time. Generally speaking, the change of stock index futures price is ahead of the change of stock spot price.
This phenomenon has the following reasons:
(1) The trading volume of small-cap stocks is small.
(2) The transaction cost in the spot market is high.
(3) Reduce the futures margin.
In short, in addition to the advance of futures price changes, the adequacy of futures trading determined by the low cost and high efficiency of futures trading is also the reason for the time difference between stock index futures and spot prices.