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A股市场快照：宽基指数每日投资动态-20251112
Jianghai Securities·2025-11-12 12:22
  • The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, weekly, monthly, quarterly, and annual changes in index returns. For example, on November 11, 2025, the ChiNext Index experienced the largest daily decline (-1.4%), while the CSI 2000 showed the highest daily increase (0.4%) [13][15][18] - The report compares indices against their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their 250-day highs and lows. Most indices, except CSI 1000 and CSI 2000, fell below their 5-day moving averages, with the ChiNext Index showing the steepest decline relative to its moving averages [18][19][21] - Turnover rates and trading volume proportions are analyzed for broad-based indices. On November 11, 2025, CSI 2000 had the highest trading volume proportion (25.16%) and turnover rate (4.48), while the SSE 50 had the lowest turnover rate (0.24) [21][24][27] - The report examines the distribution of daily returns for indices, focusing on kurtosis and skewness. The ChiNext Index exhibited the largest negative kurtosis and skewness, indicating concentrated losses and extreme negative returns, while CSI 2000 showed the smallest negative skewness [27][29][31] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate. CSI 2000 and CSI 1000 had the highest 5-year risk premium percentiles (57.14% and 37.86%, respectively), while the ChiNext Index had the lowest (16.35%) [31][35][38] - PE-TTM ratios are analyzed as valuation metrics. CSI 1000 and CSI 500 had the highest 5-year percentiles (98.02% and 96.53%, respectively), while CSI 2000 and the ChiNext Index had lower percentiles (84.38% and 56.03%, respectively) [41][44][45] - Dividend yield analysis highlights the cash return rates of indices. The ChiNext Index had the highest 5-year historical percentile (66.94%), while CSI 500 and CSI 2000 had the lowest (15.04% and 11.82%, respectively) [49][54][55] - The report evaluates the price-to-book ratio and the proportion of stocks trading below their net asset value (break-net ratio). The SSE 50 had the highest break-net ratio (18.0%), while the ChiNext Index had the lowest (1.0%) [56][58][57]