The ASX200 index is currently sitting at 6458. The risk-free interest rate is 2% per annum....

The ASX200 index is currently sitting at 6458. The risk-free interest rate is 2% per annum. Exactly three months remain before the Nov-19 SPI200 futures contract expires. The SPI200 is quoted at 6410. This futures price implies that the dividend yield on the ASX200 market index is?

Solutions

Expert Solution

Theoretical futures price can be calculated by below formula

F=Se^(r-d)×t

Where s is spot price

r is rate

And d is dividend yield

T is time

6410=6458×e^(0.02-d)×0.25

By solving above equation we get

(0.02-d)×0.25 = -0.00745

So d = 0.0498

So implied dividend yield is 4.98%

jeff jeffy answered 2 years ago

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