- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount of stock index futures contracts. The method involves estimating dividend points based on constituent stock dividends, total market capitalization, stock weights, and index closing prices[48][49][51] - The calculation formula for dividend points is provided as: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Capitalization of Constituent Stock}} \times \text{Stock Weight} \times \text{Index Closing Price}$$ This formula ensures that only stocks with ex-dividend dates between the current date and the futures contract expiration date are considered[48] - The report details the process of estimating constituent stock weights, transitioning from approximate monthly data to precise daily weights using data disclosed by the China Securities Index Company. The formula for weight estimation is: $$W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})}$$ Here, \(w_{n0}\) represents the weight of stock \(n\) at the last disclosed date, and \(r_{n}\) is the non-reinvested return of stock \(n\) during the period[52][53] - The report explains the dynamic prediction method for estimating net profits of constituent stocks. For companies with stable profit distributions, historical patterns are used, while for others, the previous year's profit is adopted. Dividends are calculated as: $$\text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio}$$ This approach ensures accurate dividend estimation for stocks without disclosed data[54][56] - Historical dividend payout ratios are used to predict current ratios, with adjustments for companies that have not paid dividends in recent years or have payout ratios exceeding 100%. The prediction process includes linear extrapolation based on historical intervals between dividend announcement and ex-dividend dates[57][60][63] - The report evaluates the accuracy of the dividend point estimation model, showing minimal errors for indices like the SSE 50 and CSI 300 (around 5 points), while slightly larger errors (around 10 points) are observed for CSI 500 and CSI 1000 indices. The model demonstrates strong predictive performance for stock index futures contracts[64][68] - Backtesting results for stock index futures contracts reveal varying annualized premium or discount rates across indices. For example, IH contracts show a premium of 1.27%, IF contracts a premium of 0.79%, IC contracts a discount of 0.94%, and IM contracts a discount of 4.48%[4][13][25]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount levels of stock index futures contracts, which track price indices rather than total return indices[43][12][44] - The dividend point estimation process involves key metrics such as component stock weights, dividend amounts, total market capitalization, and index closing prices. While some data like market capitalization and closing prices are directly accessible, component stock weights and dividend amounts require further estimation[48][43][44] - Component stock weights are refined from monthly data provided by mainstream data providers to daily weights using a formula that adjusts for non-reinvested price changes. The formula is: $$W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$$ where \(w_{i0}\) represents the weight of stock \(n\) at the last disclosed date, and \(r_{n}\) is the non-reinvested price change of stock \(n\) during the period[49][50] - Dividend amounts are estimated using the formula: Dividend Amount = Net Profit × Dividend Payout Ratio Net profit is dynamically predicted based on historical profit distributions, categorizing companies into stable and unstable profit distribution groups. Stable companies follow historical patterns, while unstable ones use prior-year data as a reference[51][53][56] - Dividend payout ratios are predicted using historical averages. If a company paid dividends last year, the previous year's ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[54][57][55] - Ex-dividend dates are forecasted using historical intervals and linear extrapolation methods. If historical dates are deemed unreasonable, default dates are applied based on typical dividend announcement timelines[55][60][58] - The accuracy of the dividend point estimation model is validated by comparing predicted dividend points with actual points for major indices like the SSE 50, CSI 300, CSI 500, and CSI 1000. The model demonstrates high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[61][65][43] - The report highlights the predictive accuracy of the model for stock index futures contracts, showing minimal deviation between forecasted and actual dividend points for contracts across different indices[65][68][70]

Group 1: Dividend Progress of Constituent Stocks - As of January 7, 2026, there are no companies in the proposal, decision, or implementation stages for dividends in the Shanghai 50 Index, and 4 companies do not plan to distribute dividends [1][3] - In the CSI 300 Index, there are also no companies in the proposal, decision, or implementation stages, with 25 companies not distributing dividends [1][3] - The CSI 500 Index has 1 company in the proposal stage, with 63 companies not distributing dividends [1][3] - The CSI 1000 Index has 1 company in the proposal stage, with 187 companies not distributing dividends [1][3] Group 2: Dividend Yield Comparison by Industry - The current dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [4] Group 3: Realized and Remaining Dividend Yields - As of January 7, 2026, the realized dividend yield for the Shanghai 50 Index is 0.00%, with a remaining yield of 2.34% [8] - The CSI 300 Index has a realized yield of 0.00% and a remaining yield of 1.85% [8] - The CSI 500 Index shows a realized yield of 0.00% and a remaining yield of 1.14% [8] - The CSI 1000 Index has a realized yield of 0.00% and a remaining yield of 0.89% [8] Group 4: Tracking of Index Futures Premium/Discount - As of January 7, 2026, the annualized discount for the IH main contract is 0.28%, for the IF main contract is 2.69%, for the IC main contract is 2.47%, and for the IM main contract is 12.36% [1][3] - The report will regularly track the premium/discount levels of index futures, considering the impact of dividends on the index [2] Group 5: Methodology for Dividend Point Estimation - The report outlines a methodology for estimating dividend points, which is crucial for accurately assessing the premium/discount of index futures [28] - The methodology includes obtaining constituent stock weights, dividend amounts, total market capitalization, and index closing prices [30] - The estimation process involves predicting net profits and dividend payout ratios based on historical data [33][38] Group 6: Historical Accuracy of Dividend Point Estimation - The accuracy of the dividend point estimation model has been analyzed, showing that predictions for the Shanghai 50 and CSI 300 indices are generally accurate within 5 points, while the CSI 500 and CSI 1000 indices have a slightly larger error margin of around 10 points [44] - The model demonstrates good predictive accuracy for the main contracts of index futures [44]

Group 1 - The core viewpoint of the article highlights the dividend progress of constituent stocks in major indices as of December 24, 2025, indicating a lack of active dividend distributions across various indices [1][3] - In the Shanghai Stock Exchange 50 Index, no companies are in the proposal, decision, or implementation stages for dividends, with 4 companies not distributing dividends [1] - The Shanghai and Shenzhen 300 Index has 1 company in the proposal stage, while 21 companies are not distributing dividends [1] - The China Securities 500 Index and the China Securities 1000 Index show similar trends, with no companies in any dividend stages and a significant number not distributing dividends [1] Group 2 - The article provides a comparison of dividend yields across industries, with coal, banking, and steel sectors ranking the highest in terms of dividend yield [2][4] - As of December 24, 2025, the realized dividend yields for major indices are as follows: Shanghai Stock Exchange 50 Index at 2.70% with a remaining yield of 0.15%, Shanghai and Shenzhen 300 Index at 2.19% with a remaining yield of 0.08%, China Securities 500 Index at 1.23% with a remaining yield of 0.02%, and China Securities 1000 Index at 0.97% with a remaining yield of 0.01% [1][9] Group 3 - The article tracks the annualized premium and discount of stock index futures as of December 24, 2025, with the IH main contract showing an annualized premium of 2.65%, while the IF, IC, and IM main contracts show annualized discounts of 4.05%, 5.50%, and 8.67% respectively [1][4] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures, as dividend distributions can lead to a natural decline in index points [2][24] Group 4 - The article outlines the methodology for estimating dividend points in stock indices, noting that the price index reflects the impact of dividend distributions differently than total return indices [24][29] - It discusses the need for accurate data on constituent stock weights and dividend amounts to improve the precision of dividend point estimations [31][32] - The article also highlights the predictive accuracy of the dividend point estimation model, showing that it performs well for the Shanghai Stock Exchange 50 and Shanghai and Shenzhen 300 indices, with a deviation of around 5 points [42][44]

========= - The report tracks the dividend progress of constituent stocks in major indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000, noting the number of companies at different stages of the dividend process[1][13] - The dividend yield of stocks with announced dividend plans is highest in the coal, banking, and steel industries[2][14] - The realized and remaining dividend yields for the SSE 50, CSI 300, CSI 500, and CSI 1000 indices as of December 24, 2025, are provided, with the SSE 50 having the highest realized yield at 2.70%[3][16] - The annualized premium and discount rates for the main contracts of IH, IF, IC, and IM futures as of December 24, 2025, are tracked, with IM having the highest annualized discount rate at -8.67%[4][12] - The methodology for calculating index dividend points is briefly reviewed, including the use of constituent stock weights, dividend amounts, and total market value[5][41] - The process for estimating constituent stock weights, including adjustments for stock price changes and the use of daily closing weights from the China Securities Index Company, is detailed[6][45][46] - The dynamic prediction method for net profit based on historical profit distribution is explained, including the classification of companies into stable and unstable profit distribution categories[7][47][50] - The prediction of dividend payout ratios using historical data and the linear extrapolation method for predicting ex-dividend dates are described[8][51][55] - The accuracy of the index dividend point estimation model is analyzed, showing higher accuracy for the SSE 50 and CSI 300 indices compared to the CSI 500 index[9][57][61] - The report includes charts showing the historical premium and discount rates of the main contracts for IH, IF, IC, and IM futures from 2020 to 2025[10][17][18][22] - The historical percentile positions of the basis for IH, IF, IC, and IM contracts are provided, indicating the relative premium levels of these contracts[11][27][29][35] =========

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of December 17, 2025, highlighting that no companies in the Shanghai 50, CSI 500, and CSI 1000 indices have declared or implemented dividends, while only one company in the CSI 300 is in the proposal stage [1][3] - The article provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for various indices are reported, with the Shanghai 50 index having a realized yield of 2.54% and a remaining yield of 0.27%, while the CSI 1000 index has a realized yield of 0.97% and a remaining yield of 0.01% [1][8] - The article tracks the premium and discount of stock index futures, indicating annualized discounts for various contracts, with the IM contract showing a discount of 9.94% [1][4] Dividend Progress of Constituent Stocks - As of December 17, 2025, the Shanghai 50 index has 0 companies in the proposal, decision, or implementation stages, and 4 companies that do not pay dividends [1][3] - The CSI 300 index has 1 company in the proposal stage, 0 in decision or implementation stages, and 21 companies that do not pay dividends [1][3] - The CSI 500 and CSI 1000 indices show similar trends with no companies in the proposal, decision, or implementation stages, and 54 and 149 companies not paying dividends, respectively [1][3] Industry Dividend Yield Comparison - The article highlights that the coal, banking, and steel industries rank highest in terms of dividend yields among the disclosed dividend proposals [2][4] Realized and Remaining Dividend Yields - The realized dividend yields as of December 17, 2025, are as follows: - Shanghai 50: 2.54% realized, 0.27% remaining - CSI 300: 2.11% realized, 0.16% remaining - CSI 500: 1.22% realized, 0.02% remaining - CSI 1000: 0.97% realized, 0.01% remaining [1][8] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized discounts for stock index futures as of December 17, 2025: - IH contract: 0.29% - IF contract: 3.74% - IC contract: 4.69% - IM contract: 9.94% [1][4]

- The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the basis and premium/discount levels of stock index futures contracts. The model incorporates key variables such as component stock weights, dividend amounts, total market capitalization, and index closing prices[43][48][12] - The model's construction process involves several steps: 1. Determining whether a company has announced dividend amounts and ex-dividend dates. If not, the ex-dividend date is estimated based on historical patterns[46] 2. Estimating dividend amounts for companies that have not disclosed them, which involves predicting net profits and dividend payout ratios. Net profit predictions are based on historical profit distributions, while payout ratios are estimated using historical averages[51][55] 3. Predicting ex-dividend dates using a linear extrapolation method based on the stability of historical intervals between announcement and ex-dividend dates[60] 4. Calculating the dividend points for the index using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}_n}{\text{Market Cap}_n} \times \text{Weight}_n \times \text{Index Closing Price} \right) $$ Here, \(N\) represents the number of component stocks, and the calculation only includes stocks with ex-dividend dates between the current date and the futures contract expiration date[43][48][49] - The model's accuracy was evaluated by comparing predicted dividend points with actual dividend points for indices like the SSE 50, CSI 300, and CSI 500. The prediction error for the SSE 50 and CSI 300 indices was approximately 5 points, while the error for the CSI 500 index was around 10 points, indicating high accuracy for the first two indices and slightly larger deviations for the latter[65][66][70] - The model's application to stock index futures contracts showed strong predictive performance. For the SSE 50 and CSI 300 futures, the predicted dividend points closely matched the actual values, while the CSI 500 futures exhibited slightly larger deviations. This demonstrates the model's robustness, particularly for indices with larger market capitalization coverage[65][66][70]

Group 1 - The core viewpoint of the article highlights the dividend progress of constituent stocks in major indices as of December 10, 2025, indicating that many companies are not currently in the dividend distribution phase [1][3]. - In the Shanghai Stock Exchange 50 Index, there are no companies in the proposal, decision, or implementation stages, with three companies not distributing dividends [1][3]. - The Shanghai and Shenzhen 300 Index has one company in the proposal stage, while 20 companies are not distributing dividends [1][3]. - The dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [1][4]. Group 2 - As of December 10, 2025, the realized dividend yields for major indices are as follows: Shanghai Stock Exchange 50 Index at 2.52% with a remaining yield of 0.42%, Shanghai and Shenzhen 300 Index at 2.04% with a remaining yield of 0.24%, and the China Securities 500 Index at 1.25% with a remaining yield of 0.03% [1][8]. - The China Securities 1000 Index has a realized dividend yield of 0.96% and a remaining yield of 0.01% [1][8]. - The article emphasizes the importance of tracking the annualized premium and discount of stock index futures, which reflects institutional investors' market sentiment and risk preferences [2][3]. Group 3 - The article provides a detailed methodology for estimating dividend points in stock indices, which is crucial for accurately assessing the premium and discount of stock index futures [30][32]. - It discusses the significance of considering dividend distributions in the calculation of index futures, as they can lead to a natural decline in index points [30][32]. - The methodology includes estimating individual stock weights, dividend amounts, and the timing of dividend distributions based on historical data [30][32][39].

- The report introduces a method for calculating the dividend points of stock indices, which is crucial for accurately estimating the premium or discount of stock index futures contracts. The formula for dividend points is as follows: $ \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 calculation considers only the component stocks with ex-dividend dates between the current date (t) and the futures contract expiration date (T) [41] - The weight of component stocks is dynamically adjusted to reflect daily changes. The formula for calculating the weight 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 on the last disclosed date, and $r_{n}$ is the non-adjusted return of stock n from the last disclosed date to the current date [45] - The estimation of dividend amounts involves predicting net profits and dividend payout ratios. The dividend amount is calculated as: $ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $ For companies with stable profit distributions, historical patterns are used for prediction. For others, the previous year's profit is used as the estimate [47][50] - The dividend payout ratio is estimated using historical averages. If a company paid dividends in the previous year, the last year's ratio is used. If not, the average of the past three years is applied. If no historical data exists, the company is assumed not to pay dividends [51][53] - The ex-dividend date is predicted using a linear extrapolation method based on the stability of historical intervals between announcement dates and ex-dividend dates. If no reliable historical data is available, default dates are assigned based on typical dividend schedules [56] - The accuracy of the dividend point estimation model is evaluated. For the Shanghai 50 and CSI 300 indices, the annual prediction error is approximately 5 points, while for the CSI 500 index, the error is around 10 points. The model demonstrates high accuracy for predicting dividend points of stock index futures contracts [57][61]

- The report discusses the methodology for calculating dividend points in stock indices, which is crucial for accurately estimating the premium or discount in stock index futures contracts. The calculation involves the following formula: **Dividend Points = (Sum of Dividend Amounts / Total Market Value) × Component Stock Weight × Index Closing Price** This formula considers only the component stocks with ex-dividend dates between the current date and the futures contract expiration date [42][45] - The weight of component stocks is dynamically adjusted to reflect daily changes in stock prices. The formula for calculating the weight is: **$W_{n,t} = \frac{w_{i0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{n})}$** Here, $w_{i0}$ is the weight of stock $n$ on the last disclosed date, and $r_{n}$ is the non-adjusted return of stock $n$ from the last disclosed date to the current date [46] - The estimation of dividend amounts is based on the product of net profit and dividend payout ratio. If the company has not disclosed its dividend amount, the net profit is predicted using historical profit distribution patterns, and the dividend payout ratio is estimated using historical averages. The formula is: **Dividend Amount = Net Profit × Dividend Payout Ratio** For companies with stable profit distribution, historical patterns are used, while for others, the previous year's profit is used as a proxy [48][51][52] - The ex-dividend date is predicted using a linear extrapolation method based on the stability of historical intervals between announcement dates and ex-dividend dates. If no historical data is available, default dates are assigned based on typical market behavior [52][57] - The accuracy of the dividend point estimation model is evaluated by comparing predicted dividend points with actual dividend points. For indices like the SSE 50 and CSI 300, the model achieves high accuracy with errors around 5 points, while for the CSI 500, the error is slightly larger, around 10 points [58][62]