Core view: for quite a long time in 2022, risky assets will face a fundamental combination of falling economic growth premium, fluctuating commodity prices and rising residual liquidity. (1) From the perspective of equity asset valuation, the effect of liquidity underpinning valuation will not appear with the loose monetary policy of the central bank. We need to continue to wait for the medium and long-term credit growth of residents and enterprise sectors and the debt expansion of non bank institutions. Therefore, the increase of local currency credit from January to February is particularly important; (2) Since November to December 2021, when the macro liquidity index has gradually picked up, while the balance sheet repair of the residential sector and non-financial enterprise sector will not start, and the risk appetite has not been repaired, from the perspective of market style, or it is still in the junior middle school period with strong market relative to small market, which is just coupled with the micro liquidity difference between Shanghai and Shenzhen markets before the Spring Festival.
From 2021, liquidity indicators with different dimensions such as macro liquidity, excess liquidity and residual liquidity deviate from risk assets. (1) With the deepening of "financial deleveraging" from 2016 to 2017, the phenomenon of "financial deepening" such as interbank business and financial management business was restricted by financial supervision, the capital chain was shortened and multi-layer nesting was restricted, resulting in the instability and gradual failure of the linear relationship between M2 and M1 and other traditional macro liquidity indicators, economic variables and asset prices; (2) After deleveraging from 2016 to 2017, the de channelization and net worth transformation blocked the chain of capital transfer from the banking system to the equity market, and the correlation between excess liquidity of the banking system and equity assets deviated after 2019; (3) It began to appear at the beginning of 2021. Last year, the residual liquidity was in a tightening environment, but the equity assets were still stable. The index level and residual liquidity showed a state of "volume price deviation" in 2021.
Micro liquidity index: starting from the volume price relationship of stock market transactions, there are micro liquidity differences between Shanghai and Shenzhen markets by the end of January 2022. (1) After entering January 2022, the balance of financing purchase in both Shanghai and Shenzhen markets continued to decline, and the ratio of transaction amount to contracted volume also broke the low point in recent two years, and the relationship between "volume price deviation" between Shanghai Composite Index and Shenzhen composite index continued to expand; (2) From the analysis of the "volume price" of transactions in Shanghai and Shenzhen stock exchanges, the bottom signal of the index appears in the amount and number of shares ratio of Shanghai Stock Exchange, and the downward trend of the amount and number of shares ratio of Shenzhen Stock Exchange has not shown the signal of stabilization.
Risk tip: the degree of macro liquidity easing is lower than expected; Sudden credit risk events; The balance sheet repair of the real economy sector lags behind.
