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A股市场快照：宽基指数每日投资动态-20251111
Jianghai Securities·2025-11-11 09:09
  • The report focuses on the daily investment dynamics of broad-based indices in the A-share market, highlighting the performance of indices such as the CSI 2000, SSE 50, and ChiNext Index, with CSI 2000 and SSE 50 showing the highest daily gains of 0.61% and 0.51%, respectively[2][10][11] - The analysis includes comparisons of indices with their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their proximity to the 250-day high and low levels, showing that most indices are above their short-term moving averages except for the ChiNext Index, which fell below MA5 and MA10[14][15] - Turnover rates and trading volume proportions are analyzed, with CSI 2000 having the highest turnover rate at 4.5, followed by ChiNext Index at 2.85, and CSI 1000 at 2.82, while SSE 50 has the lowest turnover rate at 0.29[17][18] - The daily return distribution of indices is examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while CSI 1000 has the smallest negative kurtosis deviation and CSI 2000 has the smallest negative skewness[24][26] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that SSE 50 and CSI 300 have the highest risk premiums at 73.73% and 66.43%, respectively, while ChiNext Index has the lowest at 27.3%[28][31][34] - PE-TTM values and historical percentiles are analyzed, indicating that CSI 1000 and CSI 500 have the highest 5-year percentiles at 98.26% and 97.19%, respectively, while CSI 2000 and ChiNext Index have lower percentiles at 83.39% and 56.61%[37][40][41] - Dividend yield analysis shows that ChiNext Index has the highest 5-year historical percentile at 65.21%, followed by SSE 50 at 35.12%, while CSI 500 and CSI 2000 have lower percentiles at 14.38% and 12.73%, respectively[45][50][51] - The report also examines the net asset value (NAV) break rate, with SSE 50 having the highest break rate at 18.0%, followed by CSI 300 at 15.0%, while ChiNext Index has the lowest break rate at 1.0%[52][54]