Stock Convenience And Dynamics Of Stock Index Futures Basis

Since the listing of China’s stock index futures,the basis has always been changing dynamically.Taking stock index component stocks as collateral for loans and lending to customers for short selling can bring investors with additional convenience income relative to futures.Ignoring this convenience income may overestimate or underestimate the change of stock index futures basis,to attribute some reasonable basis to anomalies.Correctly understanding the basis dynamics of stock index futures is core for evaluating the function of stock index futures market and reasonably pricing stock index futures.This paper studies the relationship between the change of stock convenience and the basis of stock index futures.Firstly,using the full sample data from the listing of SSE 50 and SSE 500 stock index futures on April 16,2015,to December31,2020,this paper studies the relationship between stock pledge demand,securities lending demand and stock index futures basis and net basis.Then we further use the pledge supervision policy and the expansion of securities lending scale as the event impact to construct the difference-in-difference and triple difference test,which proves that the demand for stock spot pledge and securities lending can bring convenience income,and the convenient income can significantly affect the change of stock index futures basis.The higher the stock convenient income,the smaller the stock index futures basis.This paper supports and expands the intermediary asset pricing theory and provides a new perspective for explaining the continuous backwardation phenomena in Chinses stock index futures market.