Transaction sentiment tracking issue 129: transactions tend to be balanced and differences continue to increase

Combined with the latest trading sentiment tracking, the market action can weaken, the transaction structure tends to be balanced, and the differences between domestic and foreign capital have reached a new high in recent two years. On the one hand, although the turnover rate of the whole a has been repaired, the indicators such as new high stocks, MACD strong stocks and trend dominant stocks have declined, the peripheral VIX panic index has also risen again, and the market action can continue to weaken; On the other hand, the differences between domestic and foreign funds have increased, the foreign trading market continues to flow in, while the sentiment of leveraged funds continues to decline, and the level of differences between the two has reached a new high since 2020. In addition, in terms of transaction structure, the transaction concentration and transaction differentiation level are basically maintained near the historical center, and the market transaction structure returns to equilibrium. The transactions of in vitro diagnosis, chemical agents, residential development and other subdivided industries in the pharmaceutical sector have increased, while the transaction proportion of games in the media and traditional Chinese medicine in medicine has begun to decline.

1. Transaction structure tracking

1) rise and fall differentiation level: the rise and fall center has dropped in the past Sunday, and the 28 February differentiation has increased. The median daily increases and decreases of individual stocks in recent 5 days, 20 days and 60 days were – 0.31%, 0.04% and 0.13% respectively; The Income Differentiation of February 8th rose to 23.74%, and the degree of transaction differentiation of February 8th fell to 13.

2) transaction concentration: the transaction concentration of individual stocks has declined. The transaction proportion of the top 1%, top 5% and top 10% stocks has changed by – 1.04%, – 0.48% and – 0.02% month on month respectively, and their historical quantiles have reached 45.4%, 52.9% and 56.7% respectively. The overall transaction concentration of the industry has rebounded, of which the proportion of transactions in the top 1%, top 5% and top 10% industries changed by – 0.33%, 0.06% and 0.1% month on month respectively, and their historical quantiles reached 1.9%, 10.8% and 16.7% 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 3.7%, 0.44% and 0.15% month on month respectively, and their historical quantiles have reached 92.6%, 87.6% and 80.3% respectively. The level of industry transaction differentiation has rebounded. The top 1%, top 5% and top 10% industry transaction differentiation coefficients have changed by 3.86%, 0.42% and 0.49% month on month respectively, and their historical quantiles have reached 77%, 64.5% and 70% respectively.

2. Market sentiment tracking

1) the 10 day moving average of the price limit ratio of all a rebounded to 4.34, and the turnover rate of all a rebounded to 6.96%. 2) VIX Index rose 0.43 month on month to 19.19. 3) The number of new highs and new lows in the whole a rose month on month: the 60 day high 10 day moving average rose to 408 and the new low 10 day moving average rose to 130; The record high 10 day moving average fell back to 16, and the record low 10 day moving average rebounded to 3. 4) The number of trend dominated stocks fell. The proportion of stocks above the 60 day moving average fell to 60.96% month on month, reaching a record high in recent January, and the number of stocks fell to 140. 5) The proportion of MACD strong stocks in the whole a market dropped to 32.10%, and the proportion of weak stocks rebounded to 23.14%. 6) All a leveraged funds sentiment fell to 21.87%. 7) The net inflow of foreign trading ma30 rose to 1.253 billion yuan.

3. Micro liquidity tracking

1) monetary tightness: the net monetary investment is 10 billion yuan, the short-term interest rate rises, the Shibor of each period has dropped as a whole, the interest rate of treasury bonds has dropped, the credit spread of each period has rebounded, and the RMB has appreciated.

2) capital supply: the newly issued scale of partial equity funds is about 15.614 billion yuan, the share of ETF increases by 13.003 billion month on month, the net inflow of funds going north is 7.445 billion yuan, and the financing balance decreases by 1.251 billion yuan month on month.

3) capital demand: seven new IPOs were added last week, with initial financing of 17.627 billion yuan and reduction of industrial capital of 11.142 billion yuan. There was no new fixed increase refinancing. In addition, the lifting pressure picked up month on month this week, with the lifting scale of about 130.313 billion yuan.

Risk tips: 1. Increased volatility in overseas markets; 2. Macroeconomic fluctuations exceeding expectations; 3. There are some errors in the statistical model.

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