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I would like to know if the dividend yield of and index is correlated with the dividend yields of it's components separately?

The purpose of this, is to use the dividend yield of the index as a proxy in order to estimate the dividend shocks in the context of historical Value At Risk!

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I haven't done the regressions personally, but I would expect that there is a cointegrating relationship between dividend yields for individual stocks and the yield of the index. There is also a mean-reverting effect in dividend yields more generally that you should incorporate. –  John Jun 27 '14 at 20:18

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I can't imagine it would be a good idea to use the dividend yield of an index as a proxy for individual stock yields.

Looking at the Google Finance stock screener for NYSE-listed stocks, the bulk of the stocks are in a dividend range 0-9% and the distribution of yields is fairly flat.

Also, you don't know how the index's dividend yield is calculated exactly. I generally find that the people who construct indices are reluctant to divulge much information unless you are a paying customer. So, there is probably a timing difference between when a company declares or pays a dividend and when that new dividend is incorporated into the index.

Most importantly, however, stocks react to a change in the expectation of dividends not the current or trailing dividend.

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