Combined with the latest micro sentiment tracking, the high level of market sentiment weakened, the transaction differentiation strengthened again, and the media heat increased significantly. First, the recent financial sentiment is still high, but the leveraged funds and foreign capital trading have fallen marginally, the enthusiasm for ETF redemption has also cooled, and the scale of reduction at the end of the year remains high, and the overall financial sentiment has weakened; Second, the differentiation of trading structure has strengthened again, the differentiation coefficient of individual stock trading has significantly increased and returned to the 90% quantile line. At the same time, the market rotation has accelerated, the concept of meta universe has greatly promoted the change of hands of the media, and the change of hands of household appliances, food and beverage and non bank finance has decreased significantly. In the future, the marginal weakening of capital sentiment may continue, and there may be some callback pressure on the trading heat.
1. Transaction structure tracking
1) Level of rise and fall differentiation: the rise and fall center has rebounded 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 0.11%, 0.18% and 0.03% respectively; 28 earnings declined to 21.46%, and the degree of transaction differentiation increased to 24.
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 - 2.03%, - 2.5% and - 2.31% month on month respectively, and their historical quantiles reached 58.6%, 67% and 71.8% 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 0.2%, - 0.24% and - 0.41% month on month respectively, and their historical quantiles reached 1.3%, 5.5% and 13.1% respectively.
3) Trading differentiation level: the trading differentiation level of individual stocks rebounded. The trading differentiation coefficients of the top 1%, top 5% and top 10% stocks changed by 9.42%, 2.47% and 1.36% month on month respectively, and their historical quantiles reached 96.5%, 88.4% and 86.2% respectively. The level of industry transaction differentiation has declined. The top 1%, top 5% and top 10% industry transaction differentiation coefficients have changed by - 0.69%, 0% and - 1.26% month on month respectively, and their historical quantiles have reached 46.3%, 62.8% and 64.9% respectively.
2. Market sentiment tracking
1) The 10 day moving average of the price limit ratio of all a fell to 6.40, and the turnover rate of all a rose to 7.24%.
2) The VIX Index rose 2.88 month on month to 21.57. 3) The number of all a's new high and new low stocks fell month on month: the 60 day high 10 day moving average fell to 215 and the new low 10 day moving average fell to 29; The record high 10 day moving average fell to 18 and the record low 10 day moving average fell to 1. 4) The number of trend dominated stocks rebounded. The proportion of stocks above the 60 day moving average rebounded month on month, hitting a record high in recent January, and the number of stocks remained unchanged to 69.05% and 244 respectively. 5) The proportion of MACD strong stocks in the whole a market rebounded to 39.06%, and the proportion of weak stocks rebounded to 12.80%. 6) All a leveraged funds sentiment fell to 30.90%. 7) The net inflow of foreign capital trading ma30 fell to 763 million yuan.
3. Micro liquidity tracking
1) Monetary tightness: the net recovery of 450 billion yuan, the decline of short-term interest rate, the overall recovery of Shibor in each period, the recovery of treasury bond interest rate, the recovery of credit spread in each period and the depreciation of RMB.
2) Capital supply: the newly issued scale of partial equity funds was about 16.672 billion yuan, the share of ETF increased by 2.858 billion month on month, the net inflow of funds going north was 11.467 billion yuan, and the financing balance decreased by 1.553 billion yuan month on month.
3) Capital demand: eight new IPOs were added last week, with an initial financing scale of 37.083 billion yuan and a reduction in industrial capital of about 17.971 billion yuan, with four fixed additions. This week, the lifting pressure picked up month on month, with the lifting scale of about 78.073 billion yuan.
Risk tips: 1. Increased volatility in overseas markets; 2. Macroeconomic fluctuations exceeding expectations; 3. There are some errors in the statistical model.
