Research on the structural attribution and market impact of the deep discount of CSI 1000 stock index futures

This study investigates the structural causes and market implications of the persistent deep discount in CSI 1000 Index Futures (IM) since its 2022 launch, where the annualized basis widened from -0.26% to -1.79% by 2025, peaking at - 13.76% as of July 2025. Contrasting with milder discounts in CSI 300 (IF) and SSE 50 (IH) futures, this phenomenon challenges traditional cost-of-carry models. Employing a novel three-dimensional framework—"risk premiumderivative structure-liquidity fragmentation"—and integrating data on Snowball product knock-ins (peaking at 5200 points with RMB 25.4 billion scale), dividend yields (1.26%), and risk-free rates (1.64%), we reveal deviations driven by amplified hedging pressures, small-cap volatility compensation (1.5-2.0%), short-selling constraints, and liquidity disparities (Gini coefficient 0.68). Innovations include the Structural Basis Index (SBI peaking at -8.5) and extended models incorporating implied risk premiums and Gamma factors, explaining 85% of variances via OLS regressions and simulations. Findings highlight self-reinforcing feedback loops exacerbating spot market instability and arbitrage inefficiencies, with cross-market comparisons underscoring China's unique quantitative demands. Policy recommendations advocate tiered Snowball regulations, basis swaps, and liquidity incentives to narrow discounts by 5-8%, while investor strategies emphasize AI-enhanced hedging for rational pricing equilibrium.