20240311-国元证券-股指期货基差跟踪周报_基差整体下行_IM贴水持续扩大_8页_1mb

Summary

Key Findings from Stock Index Futures Basis Tracking Report

Market Performance

The stock market showed divergence this week, with large-cap blue-chip indices rising and small-cap indices declining. Specifically, the Shanghai Composite 50 increased by 0.47%, with the Shanghain Stock High Index up 0.43%. Broader indices saw mixed results: the CSI 300 rose 0.20%, the CSI 500 fell 0.55%, and the CSI 1000 dropped 0.58%.

Basis Changes

The overall basis declined across indices, with the Chinese IM series experiencing persistent backwardation expansion. After adjusting for dividends, the annualized basis rates were: IH at 0.82%, IF at -0.67%, IC at -2.45%, and IM at -7.57%.

Holding Volume

Average daily holding volume for futures contracts decreased notably compared to the previous month, indicating reduced market activity.

Dividend Points

Estimated remaining dividend points for various contracts include: IH (0, 0, 2,339, 6,574 points), IF (0, 0, 2,941, 7,975 points), IC (0, 188, 4,943, 7,613 points), and IM (0, 38, 3,583, 5,404 points).

High-Dividend Yield Stocks

A list of high-dividend yield stocks based on annual reports includes: China Overseas Shipping (11.81%), China Zhongtie Group (9.61%), Tongwei Shares (7.55%), Yankuang Energy (11.09%), Sichuan Bridge Road (9.99%), Jianfa Shares (12.67%), Jizhong Energy (11.87%), Da'an Gene (10.20%), Mingde Bio (9.80%), Xiamen Xiangyu (7.57%), and Tianjian Group (7.43%).

Risk Considerations

This report relies on historical data and model testing, which do not guarantee future performance. Market changes may render models ineffective, and this is advisory only.