股指分红点位监控周报：市场短期调整，四大主力合约均处于贴水状态-20251120

• The report focuses on the methodology for calculating dividend points in stock indices, which is critical for accurately estimating the basis and premium/discount levels of stock index futures contracts[12][41][42] - The calculation of dividend points involves the following formula: $\text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price} \right)$ Here, $N$ represents the number of component stocks, and the calculation considers only those stocks with ex-dividend dates between the current date ($t$) and the futures contract expiration date ($T$)[41][42][46] - The methodology includes several key steps: 1. Component Stock Weight Adjustment: The weights of component stocks are adjusted dynamically based on their price changes since the last disclosed weight data. The formula used is: $W_{n,t} = \frac{w_{n0} \times (1 + r_n)}{\sum_{i=1}^{N} w_{i0} \times (1 + r_i)}$ Here, $w_{n0}$ is the weight of stock $n$ at the last disclosed date, and $r_n$ is its price change since then[47][48] 2. Net Profit Estimation: For stocks without disclosed dividend amounts, net profit is estimated using historical profit distributions. Stable companies use historical patterns, while others rely on the previous year's profit[49][52] 3. Dividend Payout Ratio Estimation: Historical payout ratios are used to estimate the current year's ratio. Adjustments are made for companies with no prior dividends or extreme payout ratios[53][55] 4. Ex-Dividend Date Prediction: Ex-dividend dates are predicted using historical intervals or default dates if no reliable historical data is available[53][58] - The accuracy of the dividend point estimation model is validated by comparing predicted and actual dividend points for indices like the 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[59][63] - The report also tracks the premium/discount levels of major stock index futures contracts (IH, IF, IC, IM) and their historical percentile rankings. For example, as of November 19, 2025, the IH contract is at the 28th percentile, IF at the 41st, IC at the 69th, and IM at the 83rd percentile[28][32][34]