First of all, the imbalance of market participants is the most important factor. The phenomenon of widening basis is closely related to the mechanism design and investor structure of stock index futures market in China. Futures market participants have three forces, namely, speculative force, hedging force and arbitrage force. Investment power is the risk taker, hedging power is the risk transferer, and arbitrage power is the power to balance futures and spot and keep consistent. Three forces are indispensable. China's stock index futures market is an emerging market, which has only been launched for more than half a year. In line with the requirements of "high standard and steady start", the regulatory authorities are very cautious about the introduction and implementation of various measures. For example, the structure of investors, at present, individual investors account for the vast majority of participants in stock index futures, brokers participate in hedging in a small amount, and important institutional investors such as funds and QFII hardly participate. This makes the power of trend investment and speculation obviously overwhelm the power of arbitrage and hedging, and occupy an absolute advantage in the case of relatively clear trend market. The lack of relatively rational institutional investors makes speculation more prevalent, and the arbitrage basis is constantly enlarged and does not converge. If a large number of institutional arbitrage funds are allowed to enter the stock index futures market, the risk-free arbitrage opportunity with the current annualized rate of return close to 40% will attract tens of billions of funds to earn, which will be much larger than the current speculation and will soon smooth the basis. Therefore, it is very important to maintain the channel for institutional funds to enter the market for arbitrage, so as to stabilize the sharp deviation of stock index futures.
Secondly, arbitrage funds lack effective spot products. ETF is the most widely used spot product, such as SSE 50ETF, SSE 180ETF and SZSE 100ETF, but it still has a big deviation from CSI 300, and its fitting degree is not high. Although investors can use ETF portfolio to track the CSI 300 index, they need more professional ability and high transaction cost, which leads to poor results.
Third, the unilateral trend of the stock market makes some investors adopt the strategy of "long insurance" when they have no time to choose stocks, that is, they directly buy long contracts of stock index futures, so as to achieve the purpose of keeping up with the index without choosing stocks, thus making the stock index futures price "overshoot". Moreover, in the unilateral market, the unilateral trend strategy is more popular, because for investors with risk preference, when the unilateral trend of the market is determined, the unilateral long strategy is far more attractive than arbitrage.