分红对期指的影响20250411

• The report introduces a dividend prediction model to estimate the impact of dividends on stock index futures contracts. The model involves four key steps: estimating the net profit of index constituent stocks, calculating the pre-tax total dividend for each stock, assessing the impact of dividends on the index, and predicting the theoretical impact of dividends on each contract based on historical patterns and assumptions[23][26][33] - The formula for estimating the weight of a stock in the index is provided as follows: \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\left(\mathrm{\scriptsize{\normalsize1+R\mathrm{\scriptsize{\normalsize1}}}\right)}}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\left(\mathrm{\scriptsize{\normalsize1+R\mathrm{\scriptsize{\normalsize1}}}\right)}}}}}} where $w_{i0}$ is the accurate weight of stock $i$ at time $t_0$, and $R$ represents the price change rate of the stock during the period[28] - The theoretical pricing model for stock index futures is based on the no-arbitrage principle. For discrete dividend distributions, the formula is: $\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$ where $D_i$ represents the present value of dividends distributed at different time points, and $\phi$ is the risk-free rate for the period between dividend distributions. The futures price is then calculated as: $F_t = (S_t - D)(1 + r)$ For continuous dividend distributions, the formula is: $F_t = S_t \cdot e^{(r-d)(T-t)}$ where $r$ is the annualized risk-free rate, $d$ is the annualized dividend yield, and $T-t$ is the time to maturity[36][37] - The report evaluates the impact of dividends on various stock index futures contracts (e.g., CSI 300, CSI 500, CSI 1000). For example, the predicted dividend points for April contracts are as follows: - CSI 300: 0.85 - CSI 500: 0.24 - CSI 1000: 0.20 The annualized hedging costs (excluding dividends) for these contracts are also calculated, with values such as 24.28% for CSI 300 and 23.62% for CSI 500[11][13][14] - The report highlights the remaining impact of dividends on April contracts for different indices: - CSI 300: 0.02% - CSI 500: 0.00% - CSI 1000: 0.00%[15]