A股调整稳固，商品趋势度提升——市场环境因子跟踪周报（2025.12.12）

Market Overview - The A-share market is experiencing limited incremental growth, characterized by stockholder competition as year-end approaches, leading to a seasonal tightening of market liquidity and a tendency for investors to lock in profits, resulting in a potential lack of new funds [3][5] - The overall market is entering a phase of adjustment and consolidation, although it remains in a bull market, suggesting that any temporary corrections may present good investment opportunities [5][6] Equity Market Factors - Last week, market style shifted towards small-cap stocks, while the growth style was favored over value [7][9] - The volatility of small-cap stocks decreased, while the volatility of growth stocks increased [9] - The dispersion of excess returns among industries decreased, and the speed of industry rotation slowed down, with a lower proportion of rising constituent stocks [7][9] - The trading concentration increased, with the top 100 stocks accounting for a higher proportion of trading volume, while the top 5 industries saw a decrease in their trading volume share [7][9] - Market activity decreased, as indicated by lower market volatility and turnover rates [8][9] Commodity Market Factors - In the commodity market, the trend strength of various sectors increased, particularly in precious metals and non-ferrous sectors [25][26] - The basis momentum in the energy and chemical sector increased, while it decreased in other sectors [26] - Volatility levels rose in all sectors except for energy and chemicals, with precious metals maintaining high volatility [25][26] - Liquidity in the black sector decreased, while other sectors saw a slight increase [25][26] Options Market Factors - The implied volatility of the SSE 50 and CSI 1000 indices further declined, reaching historical low levels, closely approaching historical volatility [28] - The skewness of put options for the SSE 50 decreased, while it increased for the CSI 1000, indicating that market adjustments may begin with a divergence in market capitalization styles [28] Convertible Bond Market Factors - The convertible bond market exhibited low volatility and oscillation last week [33] - The premium rate for bonds convertible at 100 remained high with little change, while the premium rate for debt-type bonds decreased [33] - The proportion of low premium convertible bonds declined again, remaining at a low level, with trading volume maintaining near the historical median for the past year [33]