Content: --------- <doc id='1'>金融工程日报 A 股单边下行，AI 应用逆势走强、锂电池产业链全线下挫</doc> <doc id='2'>核心观点 金融工程日报 市场表现：20251121 市场全线下跌，规模指数中上证 50 指数表现较好，板 块指数中上证综指表现较好，风格指数中沪深 300 价值指数表现较好。行业 指数全线下跌，家电、传媒、食品饮料、银行、农林牧渔行业表现较好，综 合、有色金属、基础化工、通信、电子行业表现较差。中船系、水产、小红 书平台、拼多多合作商、短剧游戏等概念表现较好，锂矿、锂电正极、锂电 隔膜、盐湖提锂、锂电电解液等概念表现较差。 市场情绪：20251121 收盘时有 33 只股票涨停，有 107 只股票跌停。昨日涨 停股票今日表现低迷，赚钱效应较弱，高开低走，收盘收益为-0.55%，昨日 跌停股票今日收盘收益为-5.58%。今日封板率 61%，较前日提升 10%，连板 率 24%，较前日下降 0%。 市场资金流向：截至 20251120 两融余额为 24917 亿元，其中融资余额 24744 亿元，融券余额 173 亿元。两融余额占流通市值比重为 2.6%，两融交易占市 场成交额比重为 10.1%。</doc> <doc id='3'>折溢价：20251120 当日 ETF 溢价较多的是创科技 ETF，ETF 折价较多的是芯 片 ETF 景顺。近半年以来大宗交易日均成交金额达到 20 亿元，20251120 当 日大宗交易成交金额为 19 亿元，近半年以来平均折价率 6.36%，当日折价率 为 7.71%。近一年以来上证 50、沪深 300、中证 500、中证 1000 股指期货主 力合约的年化贴水率中位数分别为 0.48%、3.39%、10.86%、13.39%，当日上 证 50 股指期货主力合约年化贴水率为 4.00%，处于近一年来 29%分位点，当 日沪深 300 股指期货主力合约年化贴水率为 7.08%，处于近一年来 25%分位 点；当日中证 500 股指期货主力合约年化贴水率为 8.69%，处于近一年来 69% 分位点；当日中证 1000 股指期货主力合约年化贴水率为 8.76%，处于近一年 来 80%分位点。</doc> <doc id='4'>机构关注与龙虎榜：近一周内调研机构较多的股票是九号公司-WD、蓝思科 技、泰恩康、中航重机、沃尔德、超颖电子、宏昌科技、斯菱股份等，九号 公司-WD 被 179 家机构调研。20251121 披露龙虎榜数据中，机构专用席位净 流入前十的股票是天华新能、易点天下、安妮股份、久其软件、榕基软件、 古麒绒材、江龙船艇、荃银高科、华瓷股份、神农种业等，机构专用席位净 流出前十的股票是西藏城投、视觉中国、浪潮软件、德力佳、禾信仪器、中 水渔业、梦天家居、亚通精工、南侨食品、北方长龙等。陆股通净流入前十 的股票是天华新能、江龙船艇、英利汽车、国风新材、久其软件、久之洋、 荃银高科、西藏城投、南侨食品等，陆股通净流出前十的股票是华胜天成、 视觉中国、方大炭素、诺德股份、浪潮软件、易点天下、禾信仪器等。 风险提示：市场环境变动风险；本报告基于历史客观数据统计，不构成投资 建议。</doc> <doc id='5'> | 金融工程·数量化投资 | | | --- | --- | | 证券分析师：张欣慰 | 联系人：李子靖 | | 021-60933159 | 021-60875177 | 021-60933159 021-60875177 zhangxinwei1@guosen.com.cn lizijing1@guosen.com.cn S0980520060001 相关研究报告 《金融工程日报-A 股高开低走，封板率创近一个月新低》 —— 2025-11-20 《金融工程日报-沪指震荡收红，水产股集体大涨、黄金股午后 拉升》 ——2025-11-19 《金融工程日报-沪指震荡走低，锂电产业链回调、互联网电商 概念逆势走强》 ——2025-11-18 《金融工程日报-沪指震荡下跌，锂矿题材逆势爆发》 —— 2025-11-17 《金融工程日报-沪指冲高回落，算力、半导体产业链领跌》 — —2025-11-14</doc> <doc id='6'>市场表现 宽基与风格指数表现 今日(20251121，下同) 市场全线下跌，规模指数中，上证 50 指数表现较好，上 证 50 指数下跌 1.74%，沪深 300 指数下跌 2.44%，中证 500 指数下跌 3.46%，中 证 1000 指数下跌 3.72%，中证 2000 指数下跌 3.99%。 板块指数中，上证综指表现较好，上证综指下跌 2.45%，深证综指下跌 3.43%，中 小 100 指数下跌 3.25%，创业板指下跌 4.02%，科创 50 指数下跌 3.19%，科创 100 指数下跌 4.04%，北证 50 指数下跌 4.71%。 风格指数中，沪深 300 价值指数表现较好，沪深 300 价值指数下跌 1.70%，沪深 300 成长指数下跌 2.47%，中证 500 价值指数下跌 3.30%，中证 500 成长指数下跌 3.16%。主要宽基、板块及风格指数今日表现如下图所示。</doc> <doc id='7'>图1：今日宽基、板块与风格指数表现 行业指数表现 今日行业指数全线下跌，家电、传媒、食品饮料、银行、农林牧渔行业表现较好， 收益分别为-0.27%、-0.50%、-0.89%、-1.00%、-1.58%，综合、有色金属、基础 化工、通信、电子行业表现较差，收益分别为-5.41%、-5.30%、-5.26%、-4.59%、 -4.41%，中信一级行业指数今日表现如下图所示。</doc> <doc id='8'>资料来源：Wind，国信证券经济研究所整理</doc> <doc id='9'>图2：今日中信一级行业指数表现 概念主题表现 今日中船系、水产、小红书平台、拼多多合作商、短剧游戏等概念表现较好，收 益分别为 3.51%、0.65%、0.47%、0.42%、0.22%，锂矿、锂电正极、锂电隔膜、 盐湖提锂、锂电电解液等概念表现较差，收益分别为-9.67%、-8.66%、-8.18%、 -8.08%、-7.99%，今日收益较高与较低的前十个概念指数表现如下图所示。</doc> <doc id='10'>资料来源：Wind，国信证券经济研究所整理</doc> <doc id='11'>图3：今日收益较高与较低的前十个概念指数 资料来源：Wind，国信证券经济研究所整理</doc> <doc id='12'>市场情绪 日内涨跌停家数 我们统计上市满 3 个月以上的股票在今日盘中的实时涨跌停家数情况。今日盘中 最高有 33 只股票

天华新能今日下跌19.71%，全天换手率15.75%，成交额53.48亿元，振幅12.26%。龙虎榜数据显示，机 构净买入2.88亿元，深股通净买入1.03亿元，营业部席位合计净卖出1851.40万元。 深交所公开信息显示，当日该股因日收盘价跌幅达-19.71%上榜，机构专用席位净买入2.88亿元，深股 通净买入1.03亿元。 证券时报·数据宝统计显示，上榜的前五大买卖营业部合计成交17.07亿元，其中，买入成交额为10.40亿 元，卖出成交额为6.68亿元，合计净买入3.72亿元。 具体来看，今日上榜的营业部中，共有4家机构专用席位现身，即买二、买三、买四、卖三、卖四，合 计买入金额5.00亿元，卖出金额2.13亿元，合计净买入2.88亿元，深股通为第一大买入营业部及第一大 卖出营业部，买入金额为3.77亿元，卖出金额为2.74亿元，合计净买入1.03亿元。 资金流向方面，今日该股主力资金净流出4.77亿元，其中，特大单净流出4.58亿元，大单资金净流出 1832.55万元。近5日主力资金净流出12.75亿元。 （文章来源：证券时报网） 融资融券数据显示，该股最新（11月20日）两融余额为16.94亿元，其 ...

Group 1 - On November 21, a total of 28 stocks were identified with institutional activity, with 14 stocks showing net buying and 14 stocks showing net selling [1] - The top three stocks with the highest net buying by institutions were Tianhua Xinneng, Saiwei Electronics, and Yidian Tianxia, with net buying amounts of 288 million, 190 million, and 86.43 million respectively [1] - The top three stocks with the highest net selling by institutions were Tibet Chengtou, Vision China, and Longzhou Co., with net outflow amounts of 76.19 million, 66.92 million, and 60.49 million respectively [1]

Core Viewpoint - On November 21, the Shanghai Composite Index fell by 2.45%, the Shenzhen Component Index by 3.41%, and the ChiNext Index by 4.02%, indicating a significant market downturn [2] Group 1: Stock Performance - Tianhua Xinneng (300390.SZ) saw the highest net inflow of funds at 372 million yuan, despite closing down by 19.71% with a turnover rate of 15.75% [2][7] - Huasheng Tiancai (600410.SH) experienced the largest net outflow of funds, amounting to 295 million yuan, and closed down by 9.99% with a turnover rate of 26.7% [2][6] - Among the 43 stocks on the leaderboard, 21 stocks were net bought while 22 were net sold [2] Group 2: Institutional Activity - Institutions participated in 21 stocks on the leaderboard, with a total net purchase of 237 million yuan, net buying 10 stocks and net selling 11 stocks [6][12] - The highest net purchase by institutions was also in Tianhua Xinneng, which closed down by 19.71% [7][12] Group 3: Northbound Capital - Northbound capital was involved in 16 stocks on the leaderboard, with a total net outflow of 137 million yuan [10] - The highest net purchase by northbound capital was in Tianhua Xinneng, amounting to 103 million yuan, while the largest net sale was in Huasheng Tiancai at 134 million yuan [10][12]

Group 1: Stock Market Activity - On the institutional trading leaderboard, 39 stocks were listed, with 13 experiencing net buying and 26 facing net selling [1] - The top three stocks with the highest institutional buying were Tianhua Xinneng (397 million), Saiwei Electronics (319 million), and Yidian Tianxia (86.42 million) [1] - Tianhua Xinneng saw a significant decline of 19.71%, while Saiwei Electronics increased by 11.82%, and Yidian Tianxia rose by 19.99% [1] Group 2: Company Developments - Yidian Tianxia received a net purchase of 86.42 million from one institution and has entered into a framework cooperation agreement with Alibaba Cloud to develop the first AI comic drama overseas acceleration engine [2] - Visual China, a provider of visual content and services, has launched a new AI-driven intelligent search engine [3] - Jiuxi Software, a leading report management software provider, has introduced a new generation model application management platform, Nüwa GPT, which offers rapid integration and deployment capabilities [3] Group 3: AI and Video Trends - Google announced an upgrade to its image generation and editing model, Gemini, introducing the Nano Banana Pro model, which aims to enhance precision and control in professional design applications [3] - Tencent's Yuanbao has launched a "one-sentence video generation" feature, allowing users to create videos from a single sentence or image, based on the HunyuanVideo 1.5 model [3] - According to Orient Securities, the next phase of AI video application development will see three trends: deep integration with social interaction, evolution of ChatGPT into an ecosystem, and a one-stop solution for video creation through AI agents [4] Group 4: Military Industry Insights - Jianglong Shipbuilding specializes in public enforcement vessels, leisure boats, and special operation vessels, and has qualified as an equipment manufacturer for the People's Liberation Army [5] - Jiuzhiyang, a subsidiary of China Shipbuilding Industry Corporation, focuses on military applications for surveillance, intelligence gathering, and target detection [5]

Market Overview - On November 21, the Shanghai Composite Index fell by 2.45%, the Shenzhen Component Index dropped by 3.41%, and the ChiNext Index decreased by 4.02%. A total of 5,100 stocks in the market declined, with nearly 100 stocks hitting the daily limit down [1] - The market saw active trading in the China Shipbuilding sector and AI application stocks, while sectors such as batteries, silicon energy, and lithium mining experienced significant declines [1] Focus Stocks - In the aquaculture sector, Zhongshui Fishery achieved six consecutive trading limits, while Zhangzidao recorded two trading limits in three days. AI application concept stocks like Rongji Software and Shida Group saw five and two consecutive trading limits, respectively [3] - Huaci Co. exhibited a "quasi-limit-up" trend with five trading limits over six days [3] Key Stock Performance - Notable stocks included: - Weixin Instruments (688622) rose by 20.00% to 117.60 with a turnover rate of 6.23% [4] - Pingao Shares (688227) increased by 20.00% to 49.02 with a turnover rate of 2.46% [4] - Yidian Tianxia (301171) surged by 19.99% to 39.97 with a turnover rate of 38.15% [4] - Nanchao Food (603555) rose by 10.03% to 20.96 with a turnover rate of 1.92% [4] Trading Dynamics - The top net buying stocks on the day included Tianhua New Energy, Jiuqi Software, and Yidian Tianxia, with net purchases of 372 million, 169 million, and 122 million, respectively [5] - The top net selling stocks included Huasheng Tiancai, Anni Shares, and Fangda Carbon, with net sales of 295 million, 170 million, and 106 million, respectively [5] Institutional Activity - Tianhua New Energy saw a significant drop of 19.71% but had a net institutional buy of 288 million [6] - Yidian Tianxia experienced a 19.99% increase with a net institutional buy of 86 million [6] - Jiuqi Software had a net institutional buy of 29 million, reflecting strong interest in AI and digital solutions [11] Sector Insights - The AI application sector is gaining traction, with companies like Jiuqi Software and Yidian Tianxia leading the charge through innovative solutions and partnerships with major tech firms [20][21] - Nanchao Food is expanding its market presence in Southeast Asia, leveraging the Belt and Road Initiative and RCEP policies to enhance its growth potential in the baking oil and pre-prepared baking products market [25]

Core Viewpoint - Tianhua New Energy experienced a significant decline of 19.71% in its stock price, with a trading volume of 53.48 billion yuan and a turnover rate of 15.75% [1] Trading Activity Summary - The Shenzhen Stock Connect recorded a net purchase of 1.03 billion yuan, with 3.77 billion yuan bought and 2.74 billion yuan sold [1] - Four institutional investors collectively bought 5 billion yuan and sold 2.13 billion yuan, resulting in a net purchase of 2.88 billion yuan [1] - The "Hangzhou Gang" retail investors ranked fifth in buying, with a net purchase of 95.76 million yuan [1] - Overall, the top trading seats had total purchases of 10.4 billion yuan and sales of 6.68 billion yuan, leading to a net purchase of 3.72 billion yuan [1]

| 买入金额最大的前5名 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | | 序号 | | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | | 1 | 深股通专用 | | 789次 44.49% | 2 | 37653.92 | 7.04% | | 2 | 机构专用 | | 1629次 40.95% | A | 20604.77 | 3.85% | | 3 | 机构专用 | | 1629次 40.95% | A | 10499.94 | 1.96% | | 4 | 机构专用 | | 1629次 40.95% | ▲ | 10477.49 | 1.96% | | 5 | 中信建投证券股份有限公司杭州庆春路证券营业部 | | 17次 17.65% | A | 9650.26 | 1.80% | | | 卖出金额最大的前5名 | | | | | | | 序号 | | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | | 1 | 深股通专用 | | 789次 44.49% | 2 | 37653.92 | 7.04% ...

| 序号 | 代码 | 名称 | 相关 | 收盘价 | 张浩唱 | 买方 3 卖方 0 | | 机构买入 | 加物园品 | 机构买入 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | 机构数 | 机构数 | 農额(万) | 鳥额(万) | 泽额(万) 3 � | | | 300390 天华新能 明细 股吧 | | | 48.93 | -19.71% | ์ | | 50048.13 | 21269.47 | 28778.66 | | 买入金额最大的前5名 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 序号 | 交易营业部名称 | | | 买入金额(万) | 占总成交比例 | 卖出金额(万) | 占总成交比例 | | 1 | 深般通专用 | | 789次 44.49% 2 | 37653.92 | 7.04% | 27372.85 | 5.12% | | 2 | 机构专用 | | 1629次 40.95% ...

Core Viewpoint - The recent decline in the U.S. stock market has led to a significant drop in the Asia-Pacific markets, particularly affecting sectors that had previously seen substantial gains, such as the battery sector [1] Group 1: Market Performance - The Battery 50 ETF (159796) experienced a sharp decline of 4.76%, with trading volume exceeding 600 million yuan, surpassing the previous day's total [1] - Most component stocks of the Battery 50 ETF index have retreated, with the battery chemicals sector leading the decline. Notable drops include Tianhua New Energy down over 18%, Xingyuan Material down over 11%, and Rongbai Technology down over 10% [3] Group 2: Lithium Carbonate Futures - Lithium carbonate futures have plummeted, hitting a near 8% drop, which has triggered a widespread retreat in lithium mining stocks [3] - The recent imbalance in supply and demand in the lithium carbonate futures market has led to speculative trading, prompting the Guangzhou Futures Exchange to implement measures to stabilize the market [5] Group 3: Industry Insights - A report from China Securities Construction Investment indicates a shift in the lithium carbonate supply-demand dynamic from supply pressure to demand-driven growth, with a projected shortage of 1.3 million tons in November [6] - The price of lithium hexafluorophosphate has surged by 172% since September 1, driven by tight supply and strong downstream demand, with domestic power battery sales increasing by 49.9% year-on-year [6] Group 4: Investment Opportunities - The Battery 50 ETF (159796) has a high content of energy storage and solid-state batteries, with energy storage making up 26% and solid-state batteries 42% of the index, positioning it well to benefit from the expected growth in these sectors [8][10] - The ETF is noted for its low management fee of 0.15% per year, making it an attractive option for investors looking to capitalize on the battery sector's potential recovery [13]