Combined with the latest trading sentiment tracking, the capital liquidity is obviously under pressure, and the transaction focus returns to finance and consumption. On the one hand, the market experienced significant adjustment, and the trend dominant indicators such as the number of new shares and MACD strong stocks fell significantly; On the other hand, the VIX Index continued to be high, the fermentation of panic led to a significant outflow of foreign capital, the issuance of funds continued to be low, the application and redemption of ETF was moderately repaired, although the financing inflow has not improved, the leverage sentiment has been repaired for two consecutive weeks recently, and the bottom reading sentiment has been agitated. Transaction structure, the transaction concentration and transaction differentiation level have been uplifted, upstream (aluminum, copper, oil and gas refining, gas) and shipping (shipping, aviation equipment) turnover accounted for the majority of the fall, the focus of the transaction to finance and consumption, securities, Baijiu, pharmaceutical circulation and other transactions accounted for a rise.
1. Transaction structure tracking
1) level of differentiation between rise and fall: the center of rise and fall has dropped in the past Sunday, and the differentiation between February and August has increased. Among them, the median daily rise and fall of individual stocks in recent 5 days, 20 days and 60 days were – 0.91%, – 0.21% and – 0.11% respectively; The differentiation of 28 earnings increased to 20.85%, and the degree of differentiation of 28 transactions was 24, unchanged from last week.
2) transaction concentration: the transaction concentration of individual stocks has rebounded. The transaction proportion of the top 1%, top 5% and top 10% stocks changed by 0.42%, 0.79% and 0.65% month on month respectively, and their historical quantiles reached 69.3%, 76.7% and 79.6% 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 – 0.4%, – 0.8% and – 0.79% month on month respectively, and their historical quantiles reached 0.8%, 7.9% and 13.6% respectively.
3) trading differentiation level: the trading differentiation level of individual stocks has rebounded. The trading differentiation coefficients of the top 1%, top 5% and top 10% stocks have changed by 1.91%, 0.24% and – 0.09% month on month respectively, and their historical quantiles have reached 94.6%, 86% and 72.9% respectively. The level of industry transaction differentiation has rebounded. The top 1%, top 5% and top 10% industry transaction differentiation coefficients have changed by 2.1%, 1.24% and 0.28% month on month respectively, and their historical quantiles have reached 56.2%, 63.9% and 68.1% respectively.
2. Market sentiment tracking
1) the 10 day moving average of the price limit ratio of all a fell back to 3.10, and the turnover rate of all a rose to 7.17%. 2) The VIX Index fell 1.23 month on month to 30.75. 3) The number of new stocks in a fell month on month and the number of new low stocks rebounded month on month: the 10-day moving average of the number of new high stocks in 60 days fell to 112, and the 10-day moving average of the number of new low stocks in 60 days rose to 605; The 10 day moving average of the number of record high stocks fell back to 8, and the 10 day moving average of the number of record low stocks rebounded to 61. 4) The number of trend dominated stocks fell. Among them, the number of stocks above the 60 day moving average fell to 23.5% month on month, reaching a record high in recent January, and the number of stocks fell to 58. 5) The proportion of MACD strong stocks in the whole a market fell back to 10.66%, and the proportion of weak stocks rebounded to 56.33%. 6) All a leveraged funds sentiment rebounded to 18.7%. 7) The net outflow of foreign trading ma30 decreased to -2.46 billion yuan.
3. Micro liquidity tracking
1) monetary tightening: the net return of money is 330 billion yuan, the short-term interest rate rises, the Shibor of each period has rebounded as a whole, the interest rate of treasury bonds has fallen, the credit spread of each period has rebounded, and the RMB has depreciated.
2) capital supply: the new issuance scale of partial equity funds is about 6.948 billion yuan, the share of ETF increases by 33.066 billion month on month, the net outflow of funds going north is 36.32 billion yuan, and the financing balance decreases by 13.622 billion yuan month on month.
3) capital demand: there are 8 new IPOs, the initial financing scale is 8.525 billion yuan, the reduction of industrial capital is about 8.678 billion yuan, and there is no new fixed increase refinancing. In addition, the lifting pressure fell month on month this week, with the lifting scale of about 20.651 billion yuan.
Risk tips: 1. Increased volatility in overseas markets; 2. Macroeconomic fluctuations exceeding expectations; 3. There are some errors in the statistical model.
