分红季即将来临关注期指基差变化2024年4月11日（2024年3月1日-2024年3月31日）•研究员-于虎山•yuhs1@cmschina.com.cn •联系电话：0755-82709642 •执业资格号：Z0002746 期货研究报告|金融研究 分红季即将来临关注期指基差变化股指期货策略机会股指期权策略机会010203目录contents后市策略配置04 01 股指期货基差影响因素股指期货基差影响因素主要为：指标股分红、对冲盘的力度、市场情绪股指期货基差影响因素分红对冲力度市场情绪 01 分红季即将来临关注期指基差变化基差分红快照2023/12/31合约收盘价基差分红点数考虑分红后的基差年化升贴水幅度上证50000016.SH2023/12/312024/1/19IH00IH2401.CFE2326.6-0.43 0.00 -0.43 0.35%000016.SH2023/12/312024/2/19IH01IH2402.CFE2332-5.83 0.00 -5.83 1.80%000016.SH2023/12/312024/3/15IH02IH2403.CFE2336.2-10.03 0.00 -10.03 2.07%000016.SH2023/12/312024/6/21IH03IH2406.CFE2337-10.83 0.00 -10.83 0.97%沪深300000300.SH2023/12/312024/1/19IF00IF2401.CFE3439.4-8.29 0.00 -8.29 4.58%000300.SH2023/12/312024/2/19IF01IF2402.CFE3446.8-15.69 0.00 -15.69 3.29%000300.SH2023/12/312024/3/15IF02IF2403.CFE3456.4-25.29 0.00 -25.29 3.54%000300.SH2023/12/312024/6/21IF03IF2406.CFE3452.6-21.49 0.00 -21.49 1.30%中证500000905.SH2023/12/312024/1/19IC00IC2401.CFE5431.8-2.57 0.09 -2.66 0.93%000905.SH2023/12/312024/2/19IC01IC2402.CFE541910.23 0.09 10.14 -1.34%000905.SH2023/12/312024/3/15IC02IC2403.CFE540920.23 0.09 20.14 -1.78%000905.SH2023/12/312024/6/21IC03IC2406.CFE5349.679.63 0.09 79.54 -3.05%中证1000000852.SH2023/12/312024/1/19IM00IM2401.CFE5894.8-7.57 0.00 -7.57 2.43%000852.SH2023/12/312024/2/19IM01IM2402.CFE5873.413.84 0.00 13.84 -1.69%000852.SH2023/12/312024/3/15IM02IM2403.CFE585532.23 0.00 32.23 -2.63%000852.SH2023/12/312024/6/21IM03IM2406.CFE5764.2123.04 0.00 123.04 -4.35%资料来源：WIND，招商期货 01 分红季即将来临关注期指基差变化分红影响-IH0102030405060700123456781月2月3月4月5月6月7月8月9月10月11月12月单股分红影响（左轴）累计分红影响（右轴）2023/12/31代码简称预测除权除息日单股分红影响累计分红影响收盘价权重预测每股分红（元）2326.17603260.SH合盛硅业2023/5/250.00 0.00 510.0000.88600309.SH万华化学2023/5/261.05 1.05 76.822.2601.6600031.SH三一重工2023/5/310.34 1.39 13.771.2770.16600438.SH通威股份2023/5/312.48 3.87 25.031.0562.86603288.SH海天味业2023/6/10.41 4.28 37.950.9890.7603799.SH华友钴业2023/6/10.10 4.38 32.930.7040.2600276.SH恒瑞医药2023/6/80.25 4.63 45.233.1540.16600048.SH保利发展2023/6/91.11 5.74 9.91.1100.45600887.SH伊利股份2023/6/132.28 8.02 26.752.6601.04601318.SH中国平安2023/6/143.50 11.52 40.36.7740.93603259.SH药明康德2023/6/140.65 12.16 72.762.3330.89601899.SH紫金矿业2023/6/151.16 13.32 12.463.2050.2600893.SH航发动力2023/6/160.07 13.40 37.380.7780.15601012.SH隆基绿能2023/6/190.85 14.25 22.92.1680.4601166.SH兴业银行2023/6/195.77 20.02 16.213.6811.19603986.SH兆易创新2023/6/200.15 20.17 92.390.9620.62600028.SH中国石化2023/6/210.99 21.16 5.581.6580.15600406.SH国电南瑞2023/6/210.55 21.71 22.321.4000.39600809.SH山西汾酒2023/6/260.57 22.28 230.731.7583.32688599.SH天合光能2023/6/270.18 22.47 28.530.4840.48601857.SH中国石油2023/6/280.83 23.30 7.061.2500.21601919.SH中远海控2023/6/282.77 26.07 9.580.9541.39600111.SH北方稀土2023/6/300.15 26.22 19.340.7640.17600519.SH贵州茅台2023/6/305.74 31.97 172616.93125.91601668.SH中国建筑2023/6/301.78 33.75 4.811.5740.25601088.SH中国神华2023/7/52.79 36.54 31.351.6152.55601669.SH中国电建2023/7/110.36 36.90 4.890.6580.12600436.SH片仔癀2023/7/120.13 37.03 241.991.1401.25601225.SH陕西煤业2023/7/122.74 39.78 20.891.2652.18600036.SH招商银行2023/7/137.27 47.05 27.825.3781.74601628.SH中国人寿2023/7/130.29 47.34 28.350.7380.49601633.SH长城汽车2023/7/130.13 47.47 25.220.4870.3601398.SH工商银行2023/7/173.55 51.02 4.782.6160.3601288.SH农业银行2023/7/182.38 53.39 3.641.8150.22600104.SH上汽集团2023/7/190.56 53.95 13.530.9870.34600900.SH长江电力2023/7/212.88 56.83 23.343.5680.85601888.SH中国中免2023/7/210.28 57.11 83.691.2760.8603501.SH韦尔股份2023/7/310.00 57.11 106.711.2150600196.SH复星医药2023/8/90.00 57.11 25.030.0000.42600905.SH三峡能源2023/8/100.40 57.51 4.370.9770.08601066.SH中信建投2023/8/220.00 57.51 23.660.0000.27600030.SH中信证券2023/8/251.68 59.19 20.373.1050.49600690.SH海尔智家2023/8/250.76 59.95 211.2410.57601728.SH中国电信12023/8/310.00 59.95 5.410.0000.14600028.SH中国石化12023/9/151.00 60.95 5.581.6580.15601857.SH中国石油12023/9/200.83 61.78 7.061.2500.21601318.SH中国平安12023/10/253.54 65.32 40.36.7740.93资料来源：WIND，招商期货 01 分红季即将来临关注期指基差变化分红影响-IF0204060801000123451月2月3月4月5月6月7月8月9月10月11月12月单股分红影响（左轴）累计分红影响（右轴）代码简称预测除权除息日单股分红影响累计分红影响收盘价权重预测每股分红（元）002027.SZ分众传媒2023/1/110.52 0.52 6.320.3680.28000651.SZ格力电器2023/2/270.84 1.36 32.170.8341300033.SZ同花顺2023/3/300.10 1.47 156.870.1942.5300496.SZ中科创达2023/3/300.02 1.49 80.060.1700.34000408.SZ藏格矿业2023/4/130.12 1.61 25.340.1150.8300059.SZ东方财富2023/4/180.17 1.78 14.041.0250.07000708.SZ中信特钢2023/4/200.13 1.91 14.040.0820.7002756.SZ永兴材料2023/4/210.00 1.91 52.210.0001002459.SZ晶澳科技2023/4/250.08 1.99 20.720.1980.24688303.SH大全能源2023/4/260.40 2.39 29.570.1103.6300750.SZ宁德时代2023/4/261.27 3.66 163.262.4802.52000895.SZ双汇发展2023/4/270.15 3.81 26.710.1600.75000661.SZ长春高新2023/4/280.06 3.87 145.80.2721603659.SH璞泰来2023/5/90.06 3.92 20.930.1030.34002920.SZ德赛西威2023/5/100.03 3.95 129.510.2070.55300142.SZ沃森生物2023/5/110.00 3.96 23.510.2170.01002352.SZ顺丰控股2023/5/120.12 4.07 40.40.5690.25600588.SH用友网络2023/5/120.00 4.07 17.790.2100600460.SH士兰微2023/5/120.02 4.09 22.830.1090.1001979.SZ招商蛇口2023/5/120.16 4.25 9.530.1990.23002410.SZ广联达2023/5/150.10 4.35 17.140.1310.4300896.SZ爱美客2023/5/150.04 4.39 294.330.1831.85002179.SZ中航光电2023/5/160.11 4.50 390.2380.55002709.SZ天赐材料2023/5/160.13 4.63 25.08