A Study on the Fluctuation of Stock Index Futures Premium under Nonparametric Estimation

This paper mainly studies the fluctuations of China's Shanghai and Shenzhen 300 Index and its futures since 2016-2017. From the analysis results, the stock index futures' premiums and discounts are subject to a normal distribution, and have the same "thick tail" as the stock index returns. As time goes on, the listing of stock index futures has indeed played a role in stabilizing the financial market. The theoretical annualized rate of return on the arbitrage of stock index futures is significantly higher than that of the market's "risk-free yield" financial products. For the stock market index caused by sudden market volatility, the reasonable use of stock index futures for hedging and arbitrage is still conducive to reducing the risk of asset fluctuations.