Quantitative Models and Construction Methods 1. Model Name: Index Adjustment Prediction Model - **Model Construction Idea**: The model predicts the adjustment of constituent stocks in major indices (CSI 300 and CSI 500) based on the index compilation rules published by the China Securities Index Company[12][13][15] - **Model Construction Process**: - **Data Reference**: The model uses trading and financial data from May 1 of the previous year to April 30 of the current year for mid-year reviews, and from November 1 of the previous year to October 31 of the current year for year-end reviews[12] - **Adjustment Date**: Adjustments occur on the trading day following the second Friday of June and December each year[12] - **Sample Space**: - Excludes ST, *ST stocks, and delisted securities - Includes STAR Market and ChiNext stocks listed for over a year, or those with daily average market capitalization ranking in the top 30 since listing[12] - **Selection Method**: - For CSI 300: Securities are ranked by daily average trading volume, with the bottom 50% excluded, and then ranked by daily average market capitalization, selecting the top 300[12] - For CSI 500: Excludes CSI 300 constituents and the top 300 by market capitalization, then ranks by trading volume and market capitalization, selecting the top 500[12] - **Buffer Zone Rules**: - CSI 300: New samples ranked in the top 240 are prioritized for inclusion, while existing samples ranked in the top 360 are prioritized for retention[12] - CSI 500: New samples ranked in the top 400 are prioritized for inclusion, while existing samples ranked in the top 600 are prioritized for retention[12] 2. Model Name: Event Return Analysis Model - **Model Construction Idea**: This model analyzes the relationship between index sample adjustments and the cumulative excess returns of the adjusted stocks before and after the adjustment date[24] - **Model Construction Process**: - Collects data on all adjustment cycles since 2010 for CSI 300 and CSI 500 indices[24] - Calculates the cumulative excess returns of adjusted stocks relative to the index over a 60-day window before and after the adjustment date[24] - **Model Evaluation**: The model highlights that pre-adjustment event returns are more significant for investment strategies, as investors can trade in advance based on predictions or announcements[24] --- Model Backtesting Results 1. Index Adjustment Prediction Model - CSI 300 Index: Predicted 7 constituent stock adjustments, with additions primarily in the transportation and defense industries, and removals concentrated in the electrical equipment industry[13][14] - CSI 500 Index: Predicted 49 constituent stock adjustments, with additions mainly in the electronics, electrical equipment, and computer industries, and removals concentrated in the electrical equipment and pharmaceutical industries[15][16][23] 2. Event Return Analysis Model - **CSI 300 Index**: Stocks removed from the index showed negative excess returns before the adjustment date, while no significant conclusions were drawn for added stocks[5][24] - **CSI 500 Index**: Stocks added to the index exhibited positive excess returns before the adjustment date, while removed stocks showed negative excess returns[5][24]

5月12日，上证指数上涨0.82%，深证成指上涨1.72%，创业板指上涨2.63%。盘后龙虎榜数据显示，共 有49只个股因当日异动登上龙虎榜，资金净流入最多的是中航成飞（302132.SZ），达8.98亿元。 据21投资通智能监测，23只个股龙虎榜出现了机构的身影，北向资金参与龙虎榜中的个股共涉及13只。 | | 1217 12 11 11 | | | | | | | --- | --- | --- | --- | --- | --- | --- | | 名称 | 涨跌幅 | 买方机 构数 | 卖方机 构数 | 机构净买额 (万元 | 机构净买额占 总成交比 | 换手率 | | 中坚科技 | 10% | 3 | | 11101 | 10.61% | 8.01% | 8.98亿元资金抢筹中航成飞，2.26亿元资金出逃南方精工 49只上榜的龙虎榜个股中，26只个股被净买入，23只个股被净卖出。其中，资金净买入最多的是中航成 飞，达8.98亿元，占总成交金额的9.22%。中航成飞当日收盘上涨20.01%，换手率为18.29%。 | 名称 | 涨跌幅 | 戊席榜净买 | 净买额占 | 换手率 | 解读 | | --- ...

Market Overview - On May 12, A-shares opened lower but closed higher, with the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index rising by 0.82%, 1.72%, and 2.63% respectively [1] - The market experienced a broad rally with over 4,000 stocks rising, and the total trading volume reached 1.31 trillion yuan, an increase of 116.4 billion yuan from the previous trading day [1] Sector Performance - Afternoon trading saw significant gains in multiple sectors including brokerage, diversified finance, shipping, and trade [2] - The brokerage sector saw notable performances with Jinlong Co. hitting the daily limit up with an 8.53% increase, and Dongfang Caifu attracting nearly 1.4 billion yuan in net inflow, rising by 4.27% [2] - The diversified finance sector also performed well, with Hongye Futures up by 5.94% and several other stocks following suit [2] Railway Infrastructure - The railway infrastructure sector saw strong gains, with Tian Tie Technology rising over 13% and Jin Ying Heavy Industry up over 11% [3] - According to the China National Railway Group, fixed asset investment in railways reached 194.7 billion yuan in the first four months of the year, a year-on-year increase of 5.3% [3] Military Industry - The military sector continued its strong performance, with aerospace stocks like AVIC Chengfei and Morningstar Aviation hitting the daily limit up [4] - A report from AVIC Securities indicated that the military industry is experiencing a recovery in market sentiment, with new themes in military trade and commercial aerospace expected to deepen [4] - The shipbuilding sector also saw positive performance, with China Shipbuilding rising by 9.54% and China Heavy Industry up by 7.62% [4] Shipbuilding Industry - The shipbuilding industry is currently in a new cycle of prosperity, driven by aging vessels and new environmental policies leading to stable order volumes and rising prices [5]

Group 1: Military Industry - The military-related concepts experienced a significant surge, with the China Shipbuilding sector rising by 6.55%, Chengfei concept up by 5.77%, and military electronics increasing by 5.21% [2] - Individual stocks such as AVIC Chengfei (302132.SZ) hit a 20% limit up, marking a nearly 62% increase over the last four trading days [2] - The recent India-Pakistan conflict has positively impacted the reputation of China's military industry, leading to heightened investment sentiment [3] Group 2: Geopolitical Context - The frequency of geopolitical conflicts has increased, which may lead to a rise in demand for China's advanced weaponry in the global market [4] - The article from People's Daily titled "Accelerate the Liberation and Development of New Quality Combat Power" is expected to further enhance market attention towards the military sector [4] Group 3: Apple Supply Chain - The Apple supply chain stocks, including Lens Technology (300433.SZ) and Changying Precision (300115.SZ), also saw significant gains [5] - Apple announced price reductions for various iPhone models, which may stimulate consumer demand and positively affect the overall performance of the supply chain [5] - Recent developments in US-China trade relations, including a 90-day suspension of 24% tariffs, have provided additional support for Apple-related stocks [6] Group 4: Market Performance - The three major indices closed higher, with the Shanghai Composite Index rising by 0.82%, the Shenzhen Component Index up by 1.72%, and the ChiNext Index increasing by 2.63% [2] - The total trading volume in the Shanghai and Shenzhen markets reached approximately 1.31 trillion yuan [2]

- The report predicts adjustments to the sample stocks of seven major broad-based indices in the Chinese market, including CSI 300, CSI 500, SSE 50, STAR 50, STAR 100, ChiNext Index, and ChiNext 50, based on the index compilation rules and data as of April 30, 2025 [1][7] - The CSI 300 Index selects stocks from the Shanghai and Shenzhen markets that meet criteria such as good operational status, no significant financial issues, and no abnormal price fluctuations. The selection process involves ranking stocks by daily average trading volume and market capitalization over the past year, applying buffer rules, and excluding stocks with significant losses or long-term suspensions. Adjustments are limited to 10% of the constituent stocks per review [8] - The CSI 500 Index excludes CSI 300 constituents and follows a similar methodology, focusing on stocks with good operational status, no financial irregularities, and stable price movements. Stocks are ranked by daily average trading volume and market capitalization, with buffer rules applied, and adjustments are capped at 10% of the constituent stocks [10] - The SSE 50 Index is derived from the SSE 180 Index, selecting stocks based on daily average market capitalization and trading volume over the past year. The accuracy of SSE 50 predictions depends on the SSE 180 Index's accuracy. Adjustments are limited to 10% of the constituent stocks [13] - The STAR 50 Index represents the top 50 securities on the STAR Market by market capitalization and liquidity. Stocks are ranked by daily average market capitalization, with buffer rules applied, and adjustments are capped at 10% of the constituent stocks [15] - The STAR 100 Index includes 100 mid-sized securities from the STAR Market, reflecting the performance of mid-cap companies. The selection process is similar to STAR 50, with adjustments limited to 10% of the constituent stocks [17] - The ChiNext Index selects stocks from the ChiNext Board based on the top-ranked daily average market capitalization over the past six months. Buffer rules are applied, and stocks with significant losses or long-term suspensions are excluded. Adjustments are capped at 10% of the constituent stocks [20] - The ChiNext 50 Index selects the most liquid stocks from the ChiNext Index's 100 constituents, considering industry coverage and applying buffer rules. Adjustments are limited to 10% of the constituent stocks [24]

每日经济新闻消息，5月12日，市场全天高开高走，创业板指领涨。截至收盘，沪指涨0.82%，深成指 涨1.72%，创业板指涨2.63%。 板块方面，军工、轨交设备、机器人、消费电子等板块涨幅居前，农业、创新药、电力、代糖概念等板 块跌幅居前。 个股涨多跌少，全市场超4100只个股上涨。沪深两市全天成交额1.31万亿元，较上个交易日放量1164 亿。 近期持续火热的军工板块，今天又是A股主角。 个股方面，市值2500多亿元的中航成飞（302132）低开高走，收盘20cm涨停，3天2板；全天成交额 97.39亿元，仅次于午后放量的东方财富（112.48亿元）；其早间的强势拉升，带动了多只军工股掀起涨 停潮。 | 英型代码 | 名称 | 涨跌幅 | 成交额 | 年初至今 | 周涨跌幅 跟踪指数名称 | | --- | --- | --- | --- | --- | --- | | 主 512710 | 军工龙头ETF | 5.53% | 15.30 Z | 4.68% | 5.85% 军工龙头 | | 主 512670 | 国防ETF | 5.05% | 5.30 Z | 7.77% | 5.47% 中证国防 | | ...

中航成飞（302132）今日20cm涨停，成交额97.39亿元，换手率18.29%，盘后龙虎榜数据显示，深股通 专用席位买入2.72亿元并卖出2.67亿元。国泰海通证券上海江苏路净买入6.86亿元。 ...

消息面上，今日午后，中美日内瓦经贸会谈联合声明发布，双方承诺将于2025年5月14日前采取修改加 征的从价关税等系列举措。 券商板块拉升 券商板块盘中强势拉升，截至收盘，锦龙股份涨8.5%，盘中一度涨停；华鑫股份、东方财富、中国银 河等涨超4%，中信证券涨近3%。 | 代码 | 名称 | . | 涨幅% | 现价 | 张跌 | 头价 | 卖价 | 总量 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 000712 锦龙股份 | | R | 8.53 | 12.60 | 0.99 | 12.59 | 12.60 | 685177 | | 600621 | 华鑫股份 | R | 4.97 | 14.16 | 0.67 | 14.16 | 14.17 | 385028 | | 300059 | 东方财富 | R | 4.27 | 21.72 | 0.89 | 21.72 | | 524.9万 | | 601881 | 中国银河 | R | 4.23 | 16.50 | 0.67 | 16.50 | | 16.51 120.4万 | | 0026 ...

A股今日全线走高，沪指涨近1%，创业板指涨近3%；港股尾盘飙升，恒生指数目前涨超3%，恒生科技指数暴涨约6%。富时中国A50指数期货直线拉升一度涨 超2%。 具体来看，两市主要股指盘中单边上行，深证成指、创业板指尤为强势。截至收盘，沪指涨0.82%报3369.24点，深证成指涨1.72%报10301.16点，创业板指涨2.63% 报2064.71点，北证50指数涨2.89%，沪深北三市合计成交13410亿元，较此前一日增加近1200亿元。 场内超4100股飘红，券商板块拉升，锦龙股份盘中一度涨停，东方财富、中国银河等涨超4%；军贸概念再度爆发，中航成飞、航天南湖、华如科技等20%涨停；人 形机器人概念活跃，拓斯达20%涨停，埃夫特涨超13%；苹果概念崛起，东尼电子、朝阳科技等涨停。 港股方面，截至发稿，舜宇光学科技、比亚迪电子涨超15%，联想集团涨超10%，京东集团、快手、阿里巴巴、招商银行、中国人寿等涨超5%。 消息面上，今日午后，中美日内瓦经贸会谈联合声明发布，双方承诺将于2025年5月14日前采取修改加征的从价关税等系列举措。 券商板块拉升 军贸概念爆发 军贸概念盘中大幅拉升，截至收盘，中航成飞、航天南 ...

Core Viewpoint - The ChiNext 50 Index has shown strong performance, with significant gains in constituent stocks, indicating a favorable environment for technology growth and investment opportunities in the ChiNext market [1][2]. Group 1: Index Performance - As of May 12, 2025, the ChiNext 50 Index (399673) rose by 2.34%, with stocks like AVIC Chengfei (302132) hitting a 20% limit up and currently up by 17.80% [1]. - The ChiNext 50 ETF (159681) increased by 2.06%, with the latest price at 0.89 yuan [1]. - The latest scale of the ChiNext 50 ETF reached 1.531 billion yuan, ranking it among the top comparable funds [1]. Group 2: Fund Growth and Fees - The ChiNext 50 ETF has seen a significant increase in shares, with a growth of 216 million shares over the past six months, placing it at the top among comparable funds [1]. - The management fee for the ChiNext 50 ETF is 0.15%, and the custody fee is 0.05%, making it the lowest in its category [1]. Group 3: Market Sentiment and Valuation - According to Kaiyuan Securities, the technology growth style is worth focusing on, with a resurgence in mergers and acquisitions and continued domestic policy support for the technology sector [1]. - Guotai Junan Securities suggests that the risk premium in the Chinese stock market is likely to decrease systematically, with the ChiNext 50 Index's price-to-book ratio (PB) at 4.56 times, significantly lower than 84.1% of the time over the past five years, indicating strong valuation attractiveness [1][2]. Group 4: Composition of the Index - The ChiNext 50 Index consists of 50 stocks with high average daily trading volumes, primarily representing well-known, large-cap, and liquid companies in the ChiNext market [2]. - As of April 30, 2025, the top ten weighted stocks in the ChiNext 50 Index accounted for 64.53% of the index, including companies like Ningde Times (300750) and Mindray Medical (300760) [2].