股指分红点位监控周报：分红接近尾声，IC及IM合约贴水快速收窄-20250821

• The report discusses the methodology for calculating dividend points in stock indices, emphasizing the importance of estimating the dividend impact on price indices, which are used in A-share stock index futures contracts[12][40][46] - The calculation of dividend points involves the formula: $\text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price} \right)$ This formula requires the dividend amount, total market value, component stock weight, and index closing price, with the condition that the ex-dividend date falls between the current date and the contract expiration date[40] - The methodology includes steps for estimating missing data: 1. If the dividend amount is not disclosed, it is estimated using the formula: $\text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio}$ Net profit is predicted based on historical profit distribution, while the dividend payout ratio is estimated using historical averages[49][53] 2. If the ex-dividend date is not disclosed, it is predicted using historical intervals and linear extrapolation[53][58] - The report highlights the accuracy of the dividend point estimation model, showing that the prediction error for the Shanghai 50 and CSI 300 indices is approximately 5 points, while the error for the CSI 500 index is around 10 points[59][63] - The report evaluates the historical basis points of stock index futures contracts, showing that the IH contract is at the 82nd percentile, IF at the 69th percentile, IC at the 32nd percentile, and IM at the 39th percentile, indicating varying levels of premium or discount relative to historical levels[28]