Combined with the latest trading sentiment tracking, market sentiment continued to weaken, new low stocks hit a record high, and the trading structure was inclined to banking and agriculture. First, in terms of market performance, the central trend of rise and fall distribution moved downward, the number of vulnerable stocks accelerated, and the number of new low stocks hit a new high in 13 years; Second, in terms of sentiment, the devaluation of RMB accelerated during the week, the interest rate difference between China and the United States continued to close negative, the new fund and foreign capital remained weak, the two financing funds continued to flow out, and the leverage sentiment index fell to the quantile level of about 20% since this year; Third, in terms of transaction structure, the concentration and differentiation levels continue to fall, and the transaction structure is inclined to banks and agriculture. Among them, the transaction proportion of banks (joint-stock banks), agriculture (pigs, seeds, feed) and automobile related (parts, engines, lithium batteries) has increased, while the transaction proportion of real estate infrastructure, traditional Chinese medicine, securities companies and Baijiu has mostly fallen.
1. Transaction structure tracking
1) level of differentiation between rise and fall: the center of both rise and fall has dropped in the past Sunday, and the differentiation between February and August has declined. Among them, the median daily rise and fall of individual stocks in recent 5 days, 20 days and 60 days were 1.07%, – 0.59% and – 0.34% respectively; The Income Differentiation of February 8th has rebounded, rising to 23.62%, and the degree of transaction differentiation of February 8th has dropped to 22.
2) transaction concentration: the transaction concentration of individual stocks has declined. The transaction proportion of the top 1%, top 5% and top 10% stocks changed by 0.45%, – 0.99% and – 1.3% month on month respectively, and their historical quantiles reached 72.2%, 65.7% and 69.9% respectively. The transaction concentration of the industry as a whole has declined. Among them, the proportion of transactions in the top 1%, top 5% and top 10% industries changed by – 0.08%, – 0.69% and – 0.65% month on month respectively, and their historical quantiles reached 30.8%, 29.9% and 27.2% 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 1.9%, – 0.51% and – 0.59% month on month respectively, and their historical quantiles have reached 81%, 63.2% and 53.4% respectively. The level of industry transaction differentiation has declined. The top 1%, top 5% and top 10% industry transaction differentiation coefficients have changed by – 1.86%, – 6.52% and – 2.03% month on month respectively, and their historical quantiles have reached 90.2%, 66.1% and 58% respectively.
2. Market sentiment tracking
1) the 10 day moving average of the price limit ratio of all a fell back to 1.14, and the turnover rate of all a fell back to 6.04%. 2) The VIX Index rose 5.51 month on month to 28.21. 3) The number of new stocks in a fell month on month, and the number of new low stocks rebounded month on month. Among them, the number of 60 day high stocks fell to 81 on the 10th, and the number of 60 day low stocks rose to 1063 on the 10th; At the same time, the 10 day moving average of the number of record high stocks fell back to 4, and the 10 day moving average of the number of record low stocks rebounded to 223. 4) The number of trend dominated stocks fell. Among them, the number of stocks above the 60 day moving average fell to 12.85% month on month, reaching a record high in recent January, and the number of stocks fell to 40. 5) The proportion of MACD strong stocks in the whole a market fell back to 6.82%, and the proportion of weak stocks rebounded to 59.92%. 6) All a leveraged funds sentiment fell to 14.19%. 7) The net outflow of foreign trading ma30 rose to 1.462 billion yuan.
3. Micro liquidity tracking
1) monetary tightening: the net recovery of 10 billion yuan of currency, the decline of short-term interest rate, the overall decline of Shibor in each period, the rise of treasury bond interest rate, the decline of credit spread in each period and the depreciation of RMB.
2) capital supply: the newly issued scale of partial equity funds is about 2.515 billion yuan, the share of ETF increases by 11.604 billion month on month, the net inflow of funds going north is 445 million yuan, and the financing balance decreases by 23.294 billion yuan month on month.
3) capital demand: there are 15 new IPOs, the initial financing scale is 47.029 billion yuan, the reduction of industrial capital is about 2.623 billion yuan, and there are no new fixed growth projects. In addition, the lifting pressure fell month on month this week, with the lifting scale of about 51.776 billion yuan.
Risk tips: 1. Increased volatility in overseas markets; 2. Macroeconomic fluctuations exceeding expectations; 3. There are some errors in the statistical model.
