股C 指分红点位监控周报：市场情绪转暖，IH及IF合约升水，IC及IM贴水加速收敛-20250625

• The report introduces a method for calculating index dividend points, which is crucial for estimating the premium or discount of stock index futures contracts. The formula for dividend points is: $Dividend\ Points = \frac{\sum_{n=1}^{N} \text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stocks}} \times \text{Component Stock Weight} \times \text{Index Closing Price}$ This calculation considers component stock weights, dividend amounts, and index closing prices[37][38][40] - Component stock weights are adjusted dynamically to ensure accuracy. The formula for weight adjustment is: $W_{n,t} = \frac{w_{i0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{n})}$ Here, $w_{i0}$ represents the weight at the last disclosed date, and $r_{n}$ is the non-adjusted price change of the stock[41][42] - Dividend amounts are estimated using historical net profit distributions and dividend payout ratios. The formula is: $Dividend\ Amount = Net\ Profit \times Dividend\ Payout\ Ratio$ Net profit is predicted based on historical stability or prior-year data, while dividend payout ratios are derived from historical averages[43][46][47] - The report uses a linear extrapolation method to predict ex-dividend dates based on historical intervals between announcement and ex-dividend dates. If historical data is unavailable or unreliable, default dates are applied[47][52][51] - The accuracy of the dividend point estimation model is validated by comparing predicted dividend points with actual values for major indices like SSE 50, CSI 300, and CSI 500. The model shows high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500[53][57][61] - The report tracks the premium and discount levels of stock index futures contracts, adjusted for dividend impacts. For example, as of June 25, 2025, the annualized premium for IH futures was 7.56%, while the annualized discount for IM futures was -6.77%[4][13][12] - Historical percentile levels of futures contracts are analyzed. For instance, IH futures are at the 97th percentile, IF futures at the 83rd percentile, IC futures at the 53rd percentile, and IM futures at the 34th percentile[26][30][35] - The report highlights the relationship between index coverage and discount depth, noting that smaller market cap indices tend to have deeper discounts[24][26][35] - The dividend progress of major indices is summarized, showing the number of companies at different stages (proposal, decision, implementation, completed, or no dividend). For example, in the CSI 1000 index, 529 companies have completed dividends, while 218 companies will not pay dividends[1][14][36] - The report provides sectoral dividend yield statistics, identifying coal, banking, and steel as the top three sectors with the highest median dividend yields[2][15][16] - The realized and remaining dividend yields for major indices are reported. For example, the SSE 50 index has a realized yield of 0.81% and a remaining yield of 1.45%[3][17][16] - The report includes time-series data on the premium and discount levels of major futures contracts from 2020 to 2025, offering insights into market sentiment and risk preferences[18][21][26]