摩根大通：跨资产流动性状况分析 3Q24 更新 - 纳入中国股票

Investment Rating - The report does not explicitly provide an investment rating for the industry or specific assets covered [2][4]. Core Insights - The report analyzes liquidity conditions across various asset classes, including equities, bonds, FX, and commodities, with a focus on recent market developments and liquidity metrics [2][4]. - It highlights a significant decline in liquidity across multiple markets, particularly in the US, Eurozone, Japan, and China, indicating a challenging environment for investors [2][4]. Summary by Sections Equities - In the US, August 5th experienced a notable sell-off in equities, leading to the lowest liquidity of the year, with average market depth at $2.7 billion, down 16% from the previous quarter but 17% above the 5-year average [5]. - Eurozone equities saw a liquidity drop to an average of EUR 59 million, 51% lower than the previous quarter and 58% below the 5-year average, reflecting a sluggish recovery [9]. - The Japanese market faced historically high volatility, with liquidity slumping to a historical low in August, averaging JPY 18.8 billion, down 35% from Q2 and 31% lower than the 5-year average [13]. Fixed Income - The 10Y US Treasury market liquidity averaged $5.9 billion, 10% lower than both the previous quarter and the 5-year average, with slight improvements noted in September [19]. - Euro Bund liquidity averaged EUR 360 million, 42% lower than Q2 and 55% below the 5-year average, indicating a slowdown in market activity [21]. - The Japanese 10Y bond market also saw a decline in liquidity, averaging JPY 580 billion, representing a 19% decline from Q2 and 29% lower than the 5-year average [25]. Commodities - Oil prices fell significantly, with market depth dropping to the lowest level this year, averaging $86 million, down 16% compared to the previous quarter and the 5-year average [29]. - Gold prices had their best quarter since 2016, but liquidity remained largely unchanged from the previous quarter, averaging $257 million, about 9% lower than the 5-year average [35]. - Copper liquidity averaged $32 million, down 40% from the previous quarter and 12% lower than the 5-year average, reflecting concerns over demand in China [37]. FX - The EUR/USD futures market liquidity averaged $422 million, 12% lower than the previous quarter but 22% higher than the 5-year average [41]. - The USD/JPY futures market liquidity averaged $108 million, representing a 47% decline from the prior quarter and 37% lower than the 5-year average [45].