Quantitative Models and Construction Methods 1. Model Name: Liquidity Impact Coefficient Model - **Model Construction Idea**: This model measures the liquidity impact of index adjustments on individual stocks by calculating the ratio of net fund flows to the stock's recent average daily trading volume[12][13] - **Model Construction Process**: The liquidity impact coefficient for a stock is calculated as follows: $$ impact_{i} = \sum_{k=1}^{N} \frac{\Delta weight_{k,i} \times AUM_{k}}{amt\_avg_{i,20}} $$ - \( \Delta weight_{k,i} \): Estimated weight change of stock \( i \) in index \( k \) - \( AUM_{k} \): Total assets under management of passive products tracking index \( k \) as of the end of November - \( amt\_avg_{i,20} \): Average daily trading volume of stock \( i \) over the past 20 trading days as of the end of November[12][13] - **Model Evaluation**: The model provides a quantitative framework to estimate short-term liquidity shocks caused by index adjustments, but it is subject to data discrepancies and assumptions, which may lead to deviations from actual results[13] --- Model Backtesting Results Liquidity Impact Coefficient Model - **Top 5 Stocks with Highest Positive Impact Coefficients**: - Zhangjiagang Bank (002839 CH): 11.55[15] - Jiangzhong Pharmaceutical (600750 CH): 11.44[15] - Tower Group (002233 CH): 11.04[15] - Jichuan Pharmaceutical (600566 CH): 10.14[15] - Zhengbang Technology (002157 CH): 9.99[15] - **Top 5 Stocks with Highest Negative Impact Coefficients**: - Shenzhen Expressway (600548 CH): -24.95[16] - Vanward Electric (002543 CH): -20.90[16] - Aviation Materials (688563 CH): -14.06[16] - Huaxi Biology (688363 CH): -10.81[16] - Ninghu Expressway (600377 CH): -10.54[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Net Fund Flow Factor - **Factor Construction Idea**: This factor estimates the net fund inflow or outflow for stocks due to index adjustments, based on changes in index weights and the total AUM of passive products tracking the index[9][10] - **Factor Construction Process**: - Outflow Amount: Total AUM of linked products multiplied by the stock's actual weight in the index as of the end of November - Inflow Amount: Total AUM of linked products multiplied by the estimated weight of the stock in the index post-adjustment - Weight estimation is based on free-float market capitalization and index-specific weighting rules, such as dividend yield weighting or market capitalization weighting[9][10] - **Factor Evaluation**: The factor provides a transparent and systematic approach to estimate fund flows, but it is sensitive to assumptions about future index weights and AUM changes[9][10] --- Factor Backtesting Results Net Fund Flow Factor - **Top 5 Stocks with Highest Net Fund Inflows**: - Victory Precision (300476 CH): 112.61 billion CNY[10] - Dongshan Precision (002384 CH): 99.32 billion CNY[10] - Guangqi Technology (002625 CH): 77.81 billion CNY[10] - Sugon Information (603019 CH): 65.44 billion CNY[10] - Top Group (601689 CH): 53.07 billion CNY[10] - **Top 5 Stocks with Highest Net Fund Outflows**: - China Mobile (600941 CH): -40.02 billion CNY[11] - CRRC Corporation (601766 CH): -36.40 billion CNY[11] - Aluminum Corporation of China (601600 CH): -34.29 billion CNY[11] - TCL Zhonghuan (002129 CH): -30.07 billion CNY[11] - Huagong Tech (000988 CH): -27.44 billion CNY[11]

此次签约标志着马家堡项目进入实质性运作阶段，双方将合作打造"资产抵债—改造修复—运营提 升—处置退出"的全周期盘活模式。为筑牢长期合作基础，双方同步签署《框架合作协议》，聚焦特殊 资产、企业重组等领域深化合作，发挥各自优势推动不良资产领域价值创造。此次合作是双方优势互补 的典型成果，对抵债资产盘活具有重要的示范意义。 责任编辑：杨喜亭 日前，中国长城资产北京分公司与华润资产管理有限公司（以下简称"华润资产"）就丰台马家堡项 目正式签署合作协议。该项目是中国长城资产北京分公司与华润资产开展合作盘活低效资产模式上的重 要创新。 据了解，马家堡项目主体是位于北京丰台区6万余平方米购物中心，中国长城资产北京分公司通过 司法抵债取得其物权。华润资产是华润集团重点打造的"特殊资产投资运营"平台，将结合项目商业品牌 定位提供资产改造方向、运营规划建议。与华润资产的合作是中国长城资产北京分公司响应金融服务实 体经济要求、积极防范化解区域金融风险的重要举措。双方发挥各自优势，共同改造运营资产、修复提 升资产价值，共享运营和最终处置收益。 ...

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（文章来源：证券日报） 证券日报网讯中国长城11月26日在互动平台回答投资者提问时表示，公司服务器产品适用于数据存储等 多种应用场景。 ...

证券日报网讯 中国长城（000066）11月26日在互动平台回答投资者提问时表示，截至2025年11月20 日，公司股东户数为381332户。 ...

格隆汇11月26日丨中国长城(000066.SZ)在投资者互动平台表示，公司服务器产品适用于数据存储等多 种应用场景。 ...

格隆汇11月26日丨中国长城(000066.SZ)在投资者互动平台表示，公司下属企业为中国航天事业提供特 种显示设备及载人飞船交互系统。 ...

Market Overview - The Shanghai Composite Index rose by 0.87% on November 25, with 29 out of the 31 sectors experiencing gains, led by the communication and media sectors, which increased by 3.54% and 2.85% respectively [2] - The computer sector also saw an increase of 1.10% [2] Capital Flow - The net inflow of capital in the two markets was 13.215 billion yuan, with 19 sectors receiving net inflows [2] - The electronics sector had the highest net inflow of 5 billion yuan, followed closely by the communication sector with a net inflow of 4.881 billion yuan [2] Computer Sector Performance - In the computer sector, 336 stocks were tracked, with 273 stocks rising and 53 stocks declining [3] - The top three stocks with the highest net inflow were Rongji Software (4.25 billion yuan), South Network Digital (4.06 billion yuan), and Dahua Intelligent (1.90 billion yuan) [3] - The sector experienced a net outflow of 3.072 billion yuan, with the largest outflows from Zhongke Shuguang (7.75 billion yuan), Sanliu Ling (4.34 billion yuan), and Nanwei Software (2.04 billion yuan) [3][5] Top Gainers in Computer Sector - The top gainers in the computer sector included: - Rongji Software: +10.03%, turnover rate 47.81%, net inflow 425.13 million yuan - South Network Digital: +19.99%, turnover rate 55.02%, net inflow 406.37 million yuan - Dahua Intelligent: +10.02%, turnover rate 12.05%, net inflow 190.23 million yuan [4] Top Losers in Computer Sector - The top losers in the computer sector included: - Zhongke Shuguang: -0.44%, turnover rate 2.69%, net outflow -775.37 million yuan - Sanliu Ling: +1.15%, turnover rate 7.60%, net outflow -433.98 million yuan - Nanwei Software: -2.29%, turnover rate 22.81%, net outflow -204.03 million yuan [5]

11月24日，中国长城盘中上涨2.02%，截至14:09，报15.12元/股，成交5.84亿元，换手率1.22%，总市值 487.74亿元。 中国长城所属申万行业为：计算机-计算机设备-其他计算机设备。所属概念板块包括：网络安全、国产 软件、一体机概念、无人机、DeepSeek概念等。 截至11月10日，中国长城股东户数38.26万，较上期减少2.00%；人均流通股8429股，较上期增加 2.04%。2025年1月-9月，中国长城实现营业收入102.95亿元，同比增长7.18%；归母净利润1606.67万 元，同比增长102.34%。 资金流向方面，主力资金净流出1357.82万元，特大单买入2564.94万元，占比4.39%，卖出2871.19万 元，占比4.91%；大单买入1.02亿元，占比17.42%，卖出1.12亿元，占比19.22%。 中国长城今年以来股价涨3.77%，近5个交易日跌6.49%，近20日跌8.97%，近60日跌16.92%。 今年以来中国长城已经4次登上龙虎榜，最近一次登上龙虎榜为8月14日。 资料显示，中国长城科技集团股份有限公司位于广东省深圳市南山区科技园中电长城大厦，成立日期 ...