Dax is a total return index of 30 selected German blue chip stocks traded on the Frankfurt Stock Exchange. The equities use free float shares in the index calculation. And maturities are March,June, September, and December.
Theoretically, Dax Future price shouldn't be affected by the dividend because of the "total return" calculation, which will reinvest gross dividend at ex-dividend day. However, after I plotted the difference of Future and spot index price, i found that there would be a big gap between March and June contract.
I'm not sure the reason why there had some gaps., but I guess maybe it relates to the dividends' taxation.
Because if i long a portfolio that constitutes stocks which are the components in Dax index with the same weight, I will lose Dividend*Tax at the ex-dividend day compared to the future. Then, there will be a arbitrage, which allows me to long future and short the spot portfolio. At the end, the future price between the new contract's first trading day and company ex-dividend day will increase and this is the reason that i guess why there would be a gap between March and June contract.
Also, I' m wondering if the reason what i mentioned above is correct, then what the tax rate should be? Because different marginal investor will cause different tax rate.
Unfortunately, I couldn't find any resource to proof whether I' m correct or not. I hope someone can help me to deal with this problem.
Thank you very much.
