Combined with the latest tracking, overseas disturbances continue, but China's actions can continue to strengthen, and the cross-year market has spread. On the one hand, the overseas uncertainty continues and the VIX Index continues to rise, but the momentum of the Chinese market continues to strengthen. The rise and fall limit ratio has remained high since mid November. Recently, it has climbed again, approaching the high point of the year. Moreover, foreign capital and leveraged funds continue to enter, and the trading sentiment continues to heat up. On the other hand, the market transaction concentration continued to fall, the market coverage over the next year gradually expanded, the differentiation level that repeatedly reached new highs in the early stage also began to fall, and the transaction structure continued to be optimized. In addition, we still need to pay attention to the year-end rise of the scale of the lifting of the ban. The stock lifting of the ban in December is expected to reach 546.8 billion yuan, a significant rise month on month.
1. Transaction structure tracking
1) Rise and fall differentiation level: the rise and fall center has dropped in the past Sunday, and the 28 differentiation has declined. The median daily increases and decreases of individual stocks in recent 5 days, 20 days and 60 days were 0.05%, 0.34% and 0.06% respectively; The income of 28 fell to 27.13%, and the degree of transaction differentiation fell to 17.
2) Transaction concentration: the transaction concentration of individual stocks has decreased. The transaction proportion of the top 1%, top 5% and top 10% stocks changed by - 0.48%, - 1.15% and - 1.49% month on month respectively, and their historical quantiles reached 55.7%, 65.6% and 69.9% respectively. The overall transaction concentration of the industry has declined, among which the proportion of transactions in the top 1%, top 5% and top 10% industries changed by - 0.04%, 0.04% and - 0.1% month on month respectively, and their historical quantiles reached 1.9%, 14.4% and 24.5% respectively.
3) Trading differentiation level: the trading differentiation level of individual stocks has declined. The trading differentiation coefficients of the top 1%, top 5% and top 10% stocks have changed by - 6.01%, - 1.85% and - 1.07% month on month respectively, and their historical quantiles have reached 67.4%, 72.8% and 76.5% respectively. The level of industry transaction differentiation has declined. The top 1%, top 5% and top 10% industry transaction differentiation coefficients have changed by - 3.9%, - 4.25% and - 1.79% month on month respectively, and their historical quantiles have reached 78.2%, 70.1% and 77.3% respectively.
2. Market sentiment tracking
1) The 10 day moving average of all a rose to 12.05, and the turnover rate of all a rose to 6.74%. 2) VIX Index rose 2.05 month on month to 30.67. 3) The number of all a's new high and new low stocks rose month on month: the 60 day high and new low, and the 10 day moving average rose to 284 and 41; The record high 10 day moving average rose to 50 and the record low 10 day moving average was 2. 4) The number of trend dominated stocks rebounded. The proportion of stocks above the 60 day moving average and the number of stocks that reached a record high in recent January rebounded month on month to 62.89% and 246 respectively. 5) The proportion of MACD strong stocks in the whole a market dropped to 39.91%, and the proportion of weak stocks rebounded to 8.06%. 6) All a leveraged funds sentiment rebounded to 30.03%. 7) The net inflow of foreign capital trading ma30 rebounded to 427 million yuan.
3. Micro liquidity tracking
1) Monetary tightness: the net recovery of 170 billion yuan, the decline of short-term interest rate, the overall rise of Shibor in each period, the overall rise of treasury bond interest rate, the overall decline of credit spread in each period, and the appreciation of RMB.
2) Capital supply: the newly issued scale of partial equity funds was about RMB 17.274 billion, the share of ETFs increased by 473 million month on month, the net inflow of funds going north was RMB 15.117 billion, and the financing balance increased by RMB 6.418 billion month on month.
3) Capital demand: six new IPOs were added last week, the initial financing scale was 6.603 billion yuan, and the reduction of industrial capital was about 15.326 billion yuan, with no fixed increase. The pressure of lifting the ban rose month on month this week, about 254.905 billion yuan.
Risk tips: 1. Increased volatility in overseas markets; 2. Macroeconomic fluctuations exceeding expectations; 3. There are some errors in the statistical model.
