分红与股指期货基差月报-20260227

Group 1: Dividend Statistics of Broad-based Index Constituents - In 2026, the dividend progress for broad-based index constituents shows that among the CSI 300, one company is in the implementation stage with a total dividend of 12.51 billion; the SSE 50 also has one company in the implementation stage with the same dividend amount; the CSI 500 has one company in the implementation stage with a dividend of 1.30 billion; and the CSI 1000 has one company in the shareholder proposal stage [10][11]. - The dividend yield comparison between 2025 and 2026 indicates a slight increase in the yield for the CSI 300 and SSE 50, while the CSI 500 and CSI 1000 show lower yields in 2026 compared to 2025 [12][20]. Group 2: Dividend Statistics of Industry Index Constituents - The dividend progress for industry index constituents in 2026 shows that in the pharmaceutical sector, one company is in the implementation stage with a dividend of 0.66 billion, and another has passed the shareholder meeting stage; in the public utilities sector, one company is in the implementation stage with a dividend of 12.51 billion; in the machinery equipment sector, one company is in the implementation stage with a dividend of 0.63 billion, and another is in the shareholder proposal stage; in the coal sector, one company is in the implementation stage with a dividend of 1.30 billion; and in the oil and petrochemical sector, one company is in the implementation stage with a dividend of 0.14 billion [14][16][17]. Group 3: Index Futures Basis - The annualized basis rates considering dividends for the CSI 300 near-month, far-month, near-quarter, and far-quarter contracts are -1.11%, 0.54%, 0.67%, and 0.79% respectively; for the SSE 50, the rates are -3.26%, -1.82%, -2.07%, and -1.65%; for the CSI 500, they are 2.50%, 2.97%, 1.59%, and 3.28%; and for the CSI 1000, they are 5.71%, 6.35%, 6.70%, and 7.52% [5][26]. - The basis calculation process considering dividends is illustrated, showing how the basis is derived from the difference between the futures contract price and the spot index price [22].