兴业证券：岁末年初窗口 非银异动往往是躁动行情开启的重要信号

Core Viewpoint - The non-bank sector's effective timing indicator has seen a drop in trading volume share to 2%, historically indicating the potential for excess returns when combined with external catalysts [1][2]. Group 1: Non-Bank Sector Indicators - The trading volume share of the non-bank sector fell to 2%, with a previous low of 1.5% observed [2]. - External catalysts, such as the adjustment of investment risk factors by insurance funds and proposals to expand broker capital space and leverage limits, have triggered excess returns in the non-bank sector [2]. Group 2: Historical Trends and Market Behavior - Historical data shows that non-bank sector movements (daily gains over 3%) during the year-end and early-year window often signal the start of a volatile market [3]. - Since 2010, in 15 instances of year-end and early-year windows, 7 were accompanied by non-bank sector movements, indicating a correlation with the initiation of volatile market conditions [3]. Group 3: Market Performance Post Non-Bank Movements - Following non-bank sector movements, the overall market typically experiences an upward trend, with average increases of 6.8%, 9%, and 12.8% over the subsequent 10, 20, and 30 trading days, respectively [6]. - In the 20 trading days following non-bank movements, indices such as the Shanghai 50, CSI 300, and CSI 1000 have shown superior performance, with large-cap growth and value styles leading in average returns [9].