国泰海通证券研究·2025-05-26 14:53Core Viewpoint - The A-share market is expected to continue its consolidation next week, influenced by technical indicators and upcoming holiday-related risk aversion among investors [1][2]. Market Analysis - The liquidity shock indicator for the CSI 300 index was 1.13 on Friday, lower than the previous week (2.63), indicating current market liquidity is 1.13 times above the average level of the past year [2]. - The put-call ratio for the SSE 50 ETF options decreased to 0.94 from 1.03, suggesting a decline in investor caution regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 0.85% and 1.40%, respectively, indicating a decrease in trading activity, positioned at the 58.47% and 68.54% percentiles since 2005 [2]. Macro Factors - The RMB exchange rate fluctuated last week, with onshore and offshore rates increasing by 0.2% and 0.52%, respectively [2]. - Historical data shows that from May 2005 onwards, the probability of the SSE Composite Index, CSI 300, CSI 500, and ChiNext Index rising in the latter half of May was 45%, 45%, 50%, and 47%, with average gains of -0.1%, -0.02%, 0.67%, and 1.71% [2]. Event-Driven Factors - The US stock market experienced a downward trend last week, with the Dow Jones, S&P 500, and Nasdaq indices reporting weekly returns of -2.47%, -2.61%, and -2.47%, respectively [2]. - The People's Bank of China conducted a 500 billion yuan MLF operation on May 23, with a one-year term, resulting in a net injection of 375 billion yuan for May, marking the third consecutive month of increased liquidity [2]. Technical Analysis - The Wind All A index broke below the SAR point on May 23, but the moving average strength index remains above average, indicating no bottoming pattern has emerged [2]. - The current market score based on the moving average strength index is 154, positioned at the 62.5% percentile since 2021 [2]. Performance Overview - For the week of May 19-23, the SSE 50 index fell by 0.18%, the CSI 300 index also decreased by 0.18%, the CSI 500 index dropped by 1.1%, and the ChiNext index declined by 0.88% [3]. - The overall market PE (TTM) stands at 19.0 times, which is at the 50.6% percentile since 2005 [3]. Factor Crowding Observations - The crowding degree for low valuation factors has decreased, with small-cap factor crowding at 0.91, low valuation factor crowding at 0.25, high profitability factor crowding at -0.23, and high profitability growth factor crowding at -0.03 [3]. - Industry crowding is relatively high in machinery equipment, comprehensive, retail, environmental protection, and automotive sectors, while transportation and non-ferrous metals sectors have seen a significant increase in crowding [3].