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

Core Viewpoint - The media industry is the only sector to receive net inflows of capital, while the overall market experiences significant outflows, particularly in the technology and materials sectors [1][2]. Capital Flow Summary - The main capital outflow from the Shanghai and Shenzhen markets today amounts to 985.55 billion yuan, with the ChiNext board seeing a net outflow of 377.44 billion yuan and the CSI 300 index experiencing a net outflow of 267.85 billion yuan [1][2]. - Among the 31 primary industries, all experienced declines, with the comprehensive, non-ferrous metals, and power equipment sectors dropping over 5%. Other sectors like basic chemicals, electronics, and communications fell over 4% [2]. - Only the media industry saw a net inflow of 13.26 billion yuan, while the electronic, power equipment, and computer sectors had the largest outflows, each exceeding 100 billion yuan. Other sectors such as non-ferrous metals, pharmaceuticals, machinery, communications, and non-bank financials also faced significant outflows, each exceeding 42 billion yuan [2]. Individual Stock Performance - In individual stock performance, 37 stocks saw net inflows exceeding 1 billion yuan, with 6 stocks receiving over 3 billion yuan. The leading stock in net inflow was the photolithography concept stock, Kaimete Gas, with 7.75 billion yuan [3]. - The photolithography concept stocks rose against the market trend, with stocks like Guofeng New Materials hitting the daily limit, and Kaimete Gas reaching its limit during trading [3]. - AI application concept stock Yidian Tianxia saw a limit increase with a net inflow of 6.54 billion yuan, with significant buying from specific trading desks [4]. Tail-End Capital Flow - At the market close, there was a net outflow of 143.68 billion yuan, with the ChiNext board experiencing a net outflow of 57.56 billion yuan and the CSI 300 index seeing a net outflow of 41.92 billion yuan [8]. - Among individual stocks, 19 stocks had net inflows exceeding 20 million yuan at the close, with the leading stock being Changxin Bochuang, which had a net inflow of 1.13 billion yuan [8]. - A total of 22 stocks had net outflows exceeding 80 million yuan, with 13 stocks seeing outflows exceeding 1 billion yuan [9].

两市全天特大单净流出793.01亿元，其中21股特大单净流入超2亿元，凯美特气特大单净流入8.70亿元， 特大单净流入资金居首。 沪指今日收盘下跌2.45%。资金面上看，沪深两市全天特大单净流出793.01亿元，共计1128股特大单净 流入，3729股特大单净流出。 从申万一级行业来看，今日仅有1个行业特大单净流入，分别是传媒，特大单净流入金额分别为18.82亿 元。 特大单资金净流出的行业共有30个，净流出资金最多的是电子，特大单净流出资金192.84亿元，其次是 电力设备，特大单净流出资金119.86亿元，净流出资金居前的还有有色金属、计算机等行业。 具体到个股来看，21股特大单净流入超2亿元，凯美特气特大单净流入8.70亿元，净流入资金规模居 首；易点天下特大单净流入资金7.60亿元，位列第二；净流入资金居前的还有视觉中国、特发信息、龙 溪股份等。特大单净流出股中，胜宏科技特大单净流出资金20.40亿元，净流出资金最多；新易盛、工 业富联特大单净流出资金分别为17.99亿元、15.12亿元，净流出资金规模位列第二、第三。 股价表现方面，特大单资金净流入超2亿元个股今日平均上涨9.18%，表现强于沪指。具 ...

Market Overview - The Shanghai Composite Index fell by 2.45%, the Shenzhen Component Index dropped by 3.41%, and the ChiNext Index decreased by 4.02% on November 21 [1] - The total net outflow of funds was 128.99 billion yuan, marking six consecutive trading days of net outflows [1] Sector Performance - The sectors with the largest declines were Comprehensive and Nonferrous Metals, with declines of 5.50% and 5.26% respectively [2] - Only the Media sector experienced a net inflow of funds, with a slight decline of 0.32% and a net inflow of 1.48 billion yuan [2] - The Electronics sector had the largest net outflow, with a decline of 4.58% and a net outflow of 26.48 billion yuan [2] Detailed Sector Fund Flow - The following sectors had significant fund flows: - Media: -0.32%, +1.48 billion yuan - Electronics: -4.58%, -26.48 billion yuan - Electric Equipment: -5.17%, -19.54 billion yuan - Nonferrous Metals: -5.26%, -10.78 billion yuan - Computer: -3.01%, -11.45 billion yuan [3] Individual Stock Performance - A total of 973 stocks saw net inflows, with 294 stocks having inflows exceeding 10 million yuan, and 42 stocks with inflows over 100 million yuan [3] - The stock with the highest net inflow was Kaimete Gas, which rose by 5.05% with a net inflow of 843 million yuan [3] - The stocks with the largest net outflows included Industrial Fulian, Shenghong Technology, and New Yi Sheng, with net outflows of 2.018 billion yuan, 1.768 billion yuan, and 1.748 billion yuan respectively [3]

Core Points - The Shanghai Composite Index fell by 2.45% today, with 9 stocks reaching historical closing highs [1] - Among the tradable A-shares, 354 stocks rose (6.50%) while 5072 stocks fell (93.17%), with 33 stocks hitting the daily limit up and 107 stocks hitting the limit down [1] Group 1: Historical Highs - A total of 9 stocks reached historical closing highs today, with 4 from the main board, 1 from the ChiNext, and 2 from the Sci-Tech Innovation Board [1] - The industries with the most stocks reaching historical highs include computer, electric equipment, and banking, with 2, 2, and 1 stocks respectively [1] - The average price of stocks that reached historical highs was 47.68 yuan, with one stock priced over 100 yuan and another between 50-100 yuan [1] Group 2: Stock Performance - Stocks that reached historical highs saw an average increase of 7.00%, with notable gainers including Pingao Co., Yidian Tianxia, and Luokai Co. [1] - The highest closing price was for Pinming Technology at 148.56 yuan, which increased by 4.77%, followed by Zhenai Meijia and Pingao Co. at 57.00 yuan and 49.02 yuan respectively [1] Group 3: Capital Flow - The total net inflow of main funds into stocks reaching historical highs was 658 million yuan, with the highest net inflows seen in Yidian Tianxia, Luokai Co., and Pingao Co. [2] - The average total market capitalization of stocks reaching historical highs was 174.197 billion yuan, with the highest market capitalizations belonging to China Bank, Yidian Tianxia, and Pinming Technology [2] Group 4: Recent Performance - Among the stocks that reached historical highs, Zhenai Meijia recorded 9 new highs in the past month, while Kunong Technology, Shanghai Port, and China Bank recorded 6, 5, and 4 new highs respectively [2]

易点天下今日涨停，全天换手率38.15%，成交额55.40亿元，振幅13.55%。龙虎榜数据显示，机构净买 入8642.86万元，深股通净卖出510.56万元，营业部席位合计净买入4045.06万元。 资金流向方面，今日该股主力资金净流入6.47亿元，其中，特大单净流入7.60亿元，大单资金净流出 1.13亿元。近5日主力资金净流入9.14亿元。 融资融券数据显示，该股最新（11月20日）两融余额为9.53亿元，其中，融资余额为9.50亿元，融券余 额为275.47万元。近5日融资余额合计增加1.38亿元，增幅为16.95%，融券余额合计增加31.80万元，增 幅13.05%。（数据宝） 易点天下11月21日交易公开信息 | 买/ | 会员营业部名称 | 买入金额（万 | 卖出金额（万 | | --- | --- | --- | --- | | 卖 | | 元） | 元） | | 买一 | 国泰海通证券股份有限公司上海松江区中山东路证券营 业部 | 16067.95 | 39.12 | | 买二 | 机构专用 | 12811.07 | 4168.21 | | 买三 | 深股通专用 | 11105.67 | 1 ...

Market Overview - A total of 13 stocks had closing orders exceeding 100 million yuan today, indicating strong market interest [2] - The top three stocks by closing order volume were Haiou Zhugong (855,800 hands), Shida Group (750,400 hands), and Huaci Co., Ltd. (229,100 hands) [2] Stock Performance - Huaci Co., Ltd. experienced a significant price movement, with a cumulative increase of 44.87% over the last six trading days, including five limit-up days and one limit-down day [2] - The stock's trading volume today was 1.67 billion yuan, with a net buying amount of 10.59 million yuan [2] Sector Highlights Aquaculture Sector - Zhongshui Fishery and Zanzida Island were among the stocks that hit the limit-up today, with Zhongshui Fishery actively engaging in deep-sea economic development and sustainable marine resource projects [3] - Zanzida Island has a national-level marine ranch demonstration area of 940 square kilometers and an annual processing capacity exceeding 60,000 tons [3] Cultural Media Sector - Stocks such as E-Dian Tianxia, Xinhua Du, and Visual China saw limit-up performance, with E-Dian Tianxia achieving an average of 220 billion daily advertising requests [4] - Guiguang Network is the only operator in Guizhou with full communication licenses, establishing a comprehensive broadband network [4] Humanoid Robotics Sector - Shida Group is investing 16.72 million yuan to build a data collection factory for humanoid intelligent robots, responding to the growing demand for data training sets [5] - Longxi Co., Ltd. holds over 75% market share in the joint bearing sector and supplies core components to companies like Tesla [5] Institutional Investment - Six stocks on the Dragon and Tiger list had net buying amounts exceeding 100 million yuan, with Tianhua New Energy leading at 372 million yuan [6] - Institutional net buying was prominent in Tianhua New Energy, E-Dian Tianxia, and Annie Co., Ltd., with net buying amounts of 288 million yuan, 86.43 million yuan, and 30.80 million yuan respectively [7] ETF Performance - The Food and Beverage ETF (product code: 515170) saw a decrease of 1.88% over the past five days, with a net redemption of 31.43 million yuan [9] - The Game ETF (product code: 159869) decreased by 3.98%, with a net redemption of 250 million yuan [9] - The Science and Technology 50 ETF (product code: 588000) decreased by 5.59%, but saw an increase in shares by 540 million [9]

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]

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]

Summary of Key Points Core Viewpoint - The trading volume of the Shanghai and Shenzhen Stock Connect reached a total of 233.4 billion, with significant activity in specific stocks and sectors, indicating a dynamic market environment [1]. Group 1: Trading Volume and Key Stocks - The total trading amount for the Shanghai Stock Connect was 112.52 billion, while the Shenzhen Stock Connect was 120.88 billion [2]. - The top traded stock in the Shanghai Stock Connect was Kweichow Moutai (600519) with a transaction amount of 2.202 billion, followed by Industrial Fulian (601138) and Zhaoyi Innovation (603986) [3]. - In the Shenzhen Stock Connect, the leading stock was Zhongji Xuchuang (300308) with a transaction amount of 3.927 billion, followed by CATL (300750) and Luxshare Precision (002475) [3]. Group 2: Sector Performance - The cultural media sector saw the highest net inflow of main funds, amounting to 1.164 billion, while the electronic sector experienced the largest net outflow of 27.808 billion [5][6]. - The AI application sector and the shipbuilding sector showed significant gains, while battery, silicon energy, and lithium mining sectors faced declines [4]. Group 3: ETF Trading - The top ETF by trading volume was the Hang Seng Technology ETF (513130) with a transaction amount of 9.7961 billion, followed by the Hong Kong Securities ETF (513090) with 8.4954 billion [9][10]. - The soybean meal ETF (159985) saw a remarkable increase in trading volume, growing by 428% compared to the previous trading day [11]. Group 4: Futures Positions - In the futures market, both long and short positions increased across major contracts, with notable long position increases in the IH and IC contracts [12]. Group 5: Institutional and Retail Activity - Institutional buying was active in lithium battery concept stock Tianhua Xinneng, which received 288 million from four institutions [13]. - The AI application stock Yidian Tianxia saw a 20% limit up, attracting 249 million from two leading retail trading desks [15].