分红对期指的影响20250627：IH升水，IC及IM贴水有所收敛

• The report introduces a dividend forecast model to predict the impact of dividends on index futures contracts, specifically for the July contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices [6][10][19] - The model's construction involves estimating component stocks' net profits, calculating pre-tax dividend totals, assessing the impact of dividends on indices, and predicting the influence on futures contracts based on historical dividend timelines and weights [19][20][22] - The formula for estimating stock weights in the index is provided as: \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{ \1+R }}{\sum_{1}^{n}w_{i0}\times\mathrm{ \1+R }}}} where $w_{i0}$ is the initial weight, and $R$ is the price change ratio over the period [20] - The theoretical pricing model for futures under discrete dividend distribution is: $F_t = (S_t - D)(1 + r)$ where $F_t$ is the futures price, $S_t$ is the spot price, $D$ is the present value of dividends, and $r$ is the risk-free rate [25] - For continuous dividend distribution, the pricing model is: $F_t = S_t e^{(r-d)(T-t)}$ where $d$ is the annualized dividend yield, and other variables are as defined above [26] - The model predicts dividend points for July contracts as follows: SSE 50 (28.77), CSI 300 (27.38), CSI 500 (13.98), and CSI 1000 (12.41) [6][10][13] - The annualized hedging costs (excluding dividends) for July contracts are: SSE 50 (-3.60%), CSI 300 (1.05%), CSI 500 (6.74%), and CSI 1000 (9.50%) [6][10][13] - The remaining impact of dividends on July contracts is estimated as: SSE 50 (1.06%), CSI 300 (0.70%), CSI 500 (0.24%), and CSI 1000 (0.20%) [13] - The report evaluates the model as a useful tool for identifying arbitrage opportunities and managing hedging costs, particularly in the context of dividend season [6][7][10]