报告要点 证券研究报告 | 宏观研究 内需偏弱下的经济修复与政策应对 平减指数出现较长期负增长，通缩螺旋持续强化，且与过去两次有所不同。 2023 年二季度以来，GDP 平减指数连续 9 个季度负增长，包含 2025 年二季 度，已经达到三年时间。超过了亚洲金融危机时期的 6 个季度以及全球金融危 机冲击下的 3 个季度。我们认为尽管三轮平减指数为负的现象在表面上相似， 其背后的成因、机制与表现形式却存在实质性差异。1998 年和 2008 年是由 外部冲击诱发、通过快速政策刺激予以对冲的短期收缩，而本轮则是缺乏外部 冲击背景下持续时间偏长、结构特征较为复杂的一轮名义价格收缩周期。我们 认为不仅表征出物价下行的表层问题，更预示着经济运行内部机制面临深度调 整的转折期。 内需偏弱并非周期性，而是结构性。本轮通缩不是单纯的"需求不足"，而是由 房地产、债务和财政相互咬合、反复放大的链式反应：房价下跌和销量转弱削 弱了居民财富效应与企业利润，资产负债表恶化进一步压低银行风险偏好与信 贷派生；土地财政退潮令专项债从"增量投资"转为"缺口填补"，公共投资乘数 下降；名义增速与物价随之走弱，通缩预期被固化。正因如此，政策 ...

Group 1 - The financial technology sector remains active, with the China Securities Financial Technology Theme Index rising over 1% on September 22 [1] - Notable stocks include Donghua Software reaching the daily limit, Guoao Technology increasing over 6%, and several others like Zhihui and Dazhihui rising over 3% [1] - The financial technology ETF (159851) has a market size exceeding 10 billion yuan, with a trading volume of over 400 million yuan on the same day [1] Group 2 - Goldman Sachs attributes the strong performance of the Chinese stock market this year to "re-inflation" expectations and artificial intelligence, suggesting that improved valuations and liquidity could further benefit the market [3] - A-shares are experiencing a significant liquidity surge, with trading volumes consistently exceeding 2 trillion yuan, and foreign and long-term institutional funds continuing to flow into the market [3] - The financial technology sector is highlighted as a key area of focus, with internet brokerages expected to see a net profit increase of 70% in the upcoming quarterly reports [3] Group 3 - The financial technology ETF (159851) and its linked funds are recommended for investment, covering various themes such as internet brokerages, financial IT, cross-border payments, and AI applications [4] - As of September 17, the financial technology ETF (159851) has a scale exceeding 10 billion yuan, with an average daily trading volume of over 1.4 billion yuan, indicating strong liquidity [4]

Report Industry Investment Rating - The report recommends a long position for IF, IC, IM, and IH in the stock index futures of the macro and financial sector [1]. - Goldman Sachs maintains an overweight rating for A - shares and H - shares [1]. - CITIC Construction Investment Research Report is bullish on the overall Hong Kong stock market [1]. Report's Core View - The Chinese stock market's strong performance this year may be driven by "re - inflation" expectations and artificial intelligence, and future improvements in valuation and liquidity may contribute to further prosperity [1]. - International capital is actively increasing its positions in China's technology sector as China has global competitiveness in frontier fields such as AI, robotics, and biotechnology, and the window for stock market valuation repair is opening [1]. - The narrowing of the Sino - US interest rate spread will attract more global funds to focus on RMB assets, and investors will adjust their asset allocation to increase holdings of Chinese bonds and stocks [1]. - After entering September, the A - share market is in a consolidation period, and the advantages of Hong Kong stocks are emerging [1]. - The current stock market is in a rest stage after a sharp decline on Thursday. The traditional industries are strengthening, and the CSI 300 index stabilizes the market. The market is undergoing a phased style shift from growth to defense, but the upward trend remains unchanged [2]. Summary by Relevant Catalogs Market Review - On Friday, the main indexes of the two markets fluctuated and closed slightly lower, with the CSI 300 index rising. The trading volume of the two markets was 2.32 trillion yuan, showing a rapid contraction. The CSI 300 index closed at 4501 points, up 3 points or 0.08%; the SSE 50 index closed at 2909 points, down 3 points or - 0.11%; the CSI 500 index closed at 7170 points, down 29 points or - 0.41%; the CSI 1000 index closed at 7438 points, down 38 points or - 0.51% [1]. - Among industry and theme ETFs, coal ETF, military industry leading ETF, engineering machinery ETF, real estate ETF, and tourism ETF led the gains, while auto parts ETF, robot 50ETF, and integrated circuit ETF led the losses. Among the sector indexes of the two markets, energy metals, engineering machinery, tourism, film and television theaters, and coal mining indexes led the gains, while motor manufacturing, home appliance parts, auto services, reducers, and PEEK material indexes led the losses [1]. - The settlement funds of stock index futures for the CSI 1000, CSI 500, CSI 300, and SSE 50 indexes had net outflows of 5.8 billion, 3.1 billion, 2.6 billion, and 2.2 billion yuan respectively [1]. Important Information - Goldman Sachs believes that "re - inflation" expectations and artificial intelligence may be the key drivers of the Chinese stock market's strong performance this year, and future improvements in valuation and liquidity may contribute to further prosperity [1]. - Goldman Sachs maintains an overweight rating for A - shares and H - shares, and international capital is actively increasing its positions in China's technology sector [1]. - The narrowing of the Sino - US interest rate spread will attract more global funds to focus on RMB assets [1]. - CITIC Construction Investment Research Report shows that after entering September, the A - share market is in a consolidation period, and the attention of domestic and foreign funds to Hong Kong stocks is increasing, and the advantages of Hong Kong stocks are emerging [1]. - Huawei's core strategy is "super - node + cluster", and its Atlas 950 super - node is leading compared with NVIDIA's planned NVL576 in 2027 [1]. - In July, Japan and the UK increased their holdings of US Treasury bonds, while China reduced its holdings by 25.7 billion US dollars to 730.7 billion US dollars, the lowest level since 2009 [2]. - The Bank of Japan announced that it will sell its ETF holdings at a rate of about 330 billion yen per year and real - estate REIT at a rate of about 5 billion yen per year [2]. - The US Department of Energy launched the "Power Acceleration" plan to meet the surging power demand from artificial intelligence and data centers [2]. - Microsoft will invest 3.3 billion US dollars in a data center in Wisconsin, which will be put into use early next year and will be 10 times more powerful than the current fastest supercomputer [2]. Market Logic - The Chinese stock market's current rally is mainly driven by liquidity, with "re - inflation" expectations and AI autonomy as key catalysts [2]. - If the proportion of foreign institutional holdings in the A - share market rises to the average level of emerging or developed markets, it may bring 14 trillion to 30 trillion yuan of potential capital inflows [2]. Future Market Outlook - The narrowing of the Sino - US interest rate spread will attract more global funds to focus on RMB assets, and investors will increase their holdings of Chinese assets [2]. - The current stock market is in a rest stage after a sharp decline on Thursday. The traditional industries are strengthening, and the CSI 300 index stabilizes the market. The market is undergoing a phased style shift from growth to defense, but the upward trend remains unchanged [2]. Trading Strategy - For stock index futures directional trading, in the rest stage, traditional industries are strengthening, and the CSI 300 index stabilizes the market. The market is undergoing a phased style shift from growth to defense, and the upward trend remains unchanged [2]. - For stock index option trading, during the volatile period when the market is undergoing a phased style shift from growth to defense, it is advisable to wait and see [2].

Report Industry Investment Rating - The industry rating is not explicitly mentioned in the report regarding the bond market. However, the general tone seems to suggest a cautious view on the bond market, with potential risks and adjustments ahead [27]. Core View of the Report - The bond market has been weakening recently with a divergence in bond varieties. Both bulls and bears in the bond market are currently confused. The report presents multiple reasons for both bullish and bearish outlooks on the bond market and concludes that the risk in the bond market has not been eliminated, with potential for further adjustments within the year [2][6]. Summary by Related Catalogs Bullish Reasons - **Bond Supply Mismatch in Q4**: This year, the fiscal bond issuance has been front - loaded, with the remaining quotas for national and local bonds in Q4 at 21.5% and 22.1% respectively, lower than last year's 26.3% and 30.5%. Q4 is also the insurance "opening - up" period, leading to increased allocation demand from insurance companies [7]. - **Favorable Economic Data**: The corporate loans in the social financing data have weakened for two consecutive months, and the economic data in August was generally weak. The production slowed down, with the industrial added - value growth rate in August at 5.2%, down 0.5pct from the previous month. The fixed - asset investment also slowed down. Weak economic data is beneficial for the bond market [8]. - **Monetary Policy and Treasury Bond Transactions**: With a weakening economy, weak social financing and credit, and the Fed's rate cut, there is an increased probability of rate cuts and reserve requirement ratio cuts in Q4. The adjustment of the 14 - day reverse repurchase operation by the central bank implies a potential rate cut. The discussion on government bond issuance management and central bank's treasury bond transactions also provides room for speculation [12]. Bearish Reasons - **Nominal GDP and Re - inflation**: The "anti - involution" policy has a positive impact on inflation. PPI has shown signs of bottoming out. Nominal GDP may rise due to the narrowing of the GDP deflator, which could be unfavorable for bond yields. Expectations of inflation are also increasing [16]. - **Mutual Fund Redemption Chain Reaction**: Due to weakening profitability and the potential redemption fee, mutual bond funds may face scale shrinkage, which could lead to liquidity and valuation spread pressures on certain bond varieties favored by mutual funds [20]. - **Weak Monetary Policy Coordination**: The monetary policy has not adjusted policy rates. To cooperate with the "anti - involution" policy, interest rates may not be further reduced. The desired growth rate of loans may decline, and the current interest rate level may be appropriate [23]. - **Sustained Breakthrough in the Equity Market**: The equity market has shifted from a situation of "no fundamental support" to "having performance support from specific sectors". This may lead to a long - term trend of capital flowing from the bond market to the equity market [24]. Outlook for Monday - Two news events, a news conference on the "14th Five - Year Plan" and a positive phone call between the Chinese and US presidents, may boost risk appetite. The bond and equity markets are likely to have a "risk - on" trading pattern. The risk in the bond market has not been eliminated, and there is still room for adjustment within the year [27].

Core Viewpoint - Foreign capital is gradually increasing its allocation to Chinese assets, reflecting optimism about the Chinese market despite recent fluctuations in A-shares and H-shares [1][2][3] Group 1: Market Performance and Outlook - A-shares and H-shares are expected to see an 8% and 3% increase respectively over the next 12 months according to Goldman Sachs [1][6] - The current market is characterized by a "slow bull" trend, supported by market reforms and the introduction of long-term capital [5][6] - The active participation of foreign investors in A-shares has reached a cyclical high, with significant inflows recorded in August [2][3] Group 2: Institutional Investment Trends - Domestic public funds have reduced cash ratios to a five-year low, indicating increased stock exposure [2] - Insurance companies have increased their stock holdings by 26% this year, while private equity fund management scales have risen from 5 trillion RMB to 5.9 trillion RMB [2][3] - The proportion of institutional investors in A-shares is currently at 14%, significantly lower than the averages of 50% for emerging markets and 59% for developed markets [6] Group 3: Potential for Incremental Capital - There is a substantial potential for incremental capital in the Chinese stock market, with household asset allocation heavily skewed towards real estate (55%) and cash deposits (27%), while stocks account for only 11% [6] - The ongoing adjustment in the real estate market is expected to redirect trillions of RMB from deposits and real estate into the stock market [6] - If institutional ownership in A-shares were to rise to the average levels of emerging or developed markets, it could lead to an influx of 14 trillion RMB or 30 trillion RMB respectively [6] Group 4: Economic and Policy Factors - The current bull market is driven by liquidity and valuation improvements, with a global phenomenon observed in stock market performance [3][4] - The normalization of corporate profits is projected to achieve mid-to-high single-digit growth from 2025 to 2027, supporting the market's upward trajectory [3][4]

Core Viewpoint - Goldman Sachs predicts further prosperity in the Chinese stock market driven by valuation and liquidity, maintaining "overweight" ratings for A-shares and H-shares, with an expected 8% upside for A-shares and 3% for H-shares over the next 12 months, recommending investors to increase positions during market corrections [1][3]. Group 1: Market Drivers - The strong performance of the Chinese stock market this year is attributed to "re-inflation" expectations and advancements in artificial intelligence technology, with ongoing valuation recovery and liquidity improvement expected to provide upward momentum [3]. - Goldman Sachs emphasizes that corporate earnings are fundamental for sustained market growth, while liquidity is essential for bull market formation, noting that the current "slow bull" pattern in the A-share market is more stable compared to historical trends [3]. Group 2: Valuation and Liquidity - Current valuation levels indicate that most metrics show large-cap stock valuations are still within a reasonable range, with the index price-to-earnings ratio at a moderate level, suggesting attractive liquidity premium space for both A-shares and H-shares [3]. - The adjusted "A-share investor sentiment index" indicates a current market risk preference composite index of 1.3, suggesting consolidation risks but no trend reversal yet [3]. Group 3: Institutional Investment Potential - If the domestic institutional holding ratio increases from the current 14% to the emerging market average of 50% or the developed market average of 59%, the potential increase in domestic stock holdings could reach between 32 trillion to 40 trillion RMB [4]. - The investable funds available to Chinese households, including 160 trillion RMB in savings and 330 trillion RMB in real estate investments, present significant potential for future capital allocation adjustments, although this process is expected to be gradual [4]. Group 4: Investment Themes - Goldman Sachs is optimistic about investment themes such as the "Prominent 10" private enterprises, artificial intelligence, anti-cyclical sectors, and shareholder returns [4].

Market Performance - On September 19, the three major A-share indices collectively declined, with the Shanghai Composite Index down 0.3%, the Shenzhen Component Index down 0.04%, and the ChiNext Index down 0.16% [1] - The total trading volume in the Shanghai and Shenzhen markets was 23,494 billion yuan, a decrease of 8,172 billion yuan compared to the previous day, with over 3,400 stocks declining [1] Sector Performance - Energy metals, photolithography machines, education, tourism and hotels, coal, and engineering machinery sectors showed the highest gains, while humanoid robots, paper-making, innovative drugs, diversified finance, and liquid-cooled servers experienced the largest declines [1] ETF Performance - Major broad-based ETFs showed slight increases, with the A500 ETF (512050) rising by 0.09%. However, AI-related ETFs saw declines, with the chip ETF (159995) down 1.79% and the AI ETF (515070) down 1.06% [1] - The 5G communication ETF (515050) increased by 1.27%, and the ChiNext AI ETF (159381) rose by 0.43%, indicating strong performance in the AI computing hardware supply chain, including optical modules, PCBs, and servers [1] Foreign Investment Outlook - Foreign institutions remain optimistic about the A-share market, with Goldman Sachs maintaining an "overweight" rating and predicting an 8% upside for A-shares over the next 12 months [2] - The MSCI China and CSI 300 are currently trading at 13.5 times and 14.7 times their 12-month expected P/E ratios, respectively, which are below the historical bull market valuation limits of approximately 15-20 times [2] Market Drivers - A liquidity-driven bull market is unfolding in the Chinese stock market, with "reflation" expectations and the autonomous development of AI being key catalysts for this rally [2] - There is significant potential for incremental capital in the Chinese stock market moving forward [2] Sector Allocation - Short-term performance may favor small-cap and growth stocks due to liquidity boosts from potential Federal Reserve rate cuts. However, if domestic policies do not support this performance, attention should shift to sectors with fundamental support and U.S.-China mapping opportunities [2] - Key areas to focus on include technology-related sectors such as computing power, robotics, and supply chains, as well as sectors showing improved fundamentals like internet, tech hardware, consumer electronics, innovative drugs, non-ferrous metals, and non-bank financials [2]

Group 1 - The core viewpoint of the articles indicates that the Chinese stock market has seen a significant increase in market value, with a cumulative rise of $3 trillion year-to-date, and the Shanghai Composite Index and Hang Seng Index have increased by 14.7% and 32.5% respectively [1] - Goldman Sachs maintains an "overweight" rating on A-shares and H-shares, predicting an upside potential of 8% and 3% respectively over the next 12 months, suggesting to accumulate during pullbacks [1][2] - The strong performance of the Chinese stock market is attributed to "reflation" expectations and artificial intelligence, with improvements in valuation and liquidity expected to further drive market prosperity [2] Group 2 - Institutional investors, both domestic and foreign, are identified as the main supporters of the current market rally, rather than retail investors [3] - If the domestic institutional ownership in China increases from the current 14% to 50% (emerging market average) or 59% (developed market average), the potential increase in domestic stock holdings could reach between 32 trillion to 40 trillion RMB [3] - The potential investment funds available from Chinese households are substantial, with savings deposits at 160 trillion RMB and real estate investments at 330 trillion RMB, although the adjustment in fund allocation is expected to be gradual and persistent [3]

Report Summary 1. Report Industry Investment Rating - The report recommends going long on IC, IM, IF, and IH index futures in the macro and financial sector [1]. 2. Core Viewpoints - The Chinese stock market's current rally is mainly driven by liquidity, with "re - inflation" expectations and AI autonomy as key catalysts. If institutional shareholding ratios reach the average levels of emerging or developed markets, it could bring potential capital inflows of 14 trillion or 30 trillion yuan to the A - share market [1][2]. - The sharp fluctuations in the stock market on Thursday are a characteristic of sharp drops in a bull market, which do not hinder the medium - to - long - term upward trend. The sector - rotation structural market is expected to continue [2]. 3. Summary by Related Catalogs Market Review - On Thursday, the major indices in the two markets rose in the morning and plunged in the afternoon, with high volatility. The trading volume was 3.13 trillion yuan, and the decline was accompanied by increased volume. The CSI 500, CSI 1000, SSE 300, and SSE 50 indices all declined, with respective drops of 0.83%, 1.04%, 1.16%, and 1.35%. The CSI 1000, CSI 500, SSE 300, and SSE 50 index futures saw net inflows of 66, 51, 32, and 17 billion yuan in settled funds respectively [1]. Important Information - The Fed's rate - cut signal is complex and contradictory. While signaling a dovish rate cut, it raised economic growth and inflation expectations. Goldman Sachs believes Powell's speech is "balanced" [1]. - Huawei announced the evolution and targets of Ascend chips, planning to launch Ascend 950DT in Q4 2026, Ascend 960 in Q4 2027, and Ascend 970 in Q4 2028 [1]. - Many auto - parts listed companies have ventured into the embodied - intelligence robot field this year, and some are also working on core - technology breakthroughs [1]. - CATL said its sodium - new battery will help expand the cold - weather market, with an energy density of 175Wh/kg and over 500 - km pure - electric range, and will start mass - supplying in 2026 [1]. - In the lithium - carbonate market, the "Golden September and Silver October" peak - season characteristics are evident, with record - high production of lithium iron phosphate and strong energy - storage orders. Inventory is being depleted rapidly, and the market is in a tight - balance or slight - de - stocking state [1][2]. - China's dexterous - hand technology has accelerated its iteration this year, such as the F - TAC Hand developed by a joint research team [2]. - Microsoft has become a key part of Musk's business. Colossus II plans to deploy 110,000 NVIDIA GB200 GPUs in the first phase, with a final goal of over 550,000 GPUs and a peak - power demand of over 1.1 gigawatts [2]. - The Fed's rate cut has boosted market sentiment, and investors expect the Indian central bank to follow suit. HSBC believes the Indian stock market is undervalued [2]. Market Logic - The Chinese stock - market rally is liquidity - driven. The inflow of international funds into the A - share market has increased, with a net inflow of $39 billion into Chinese bonds and stocks in August [2]. Future Outlook - The sharp fluctuations in the stock market on Thursday are a normal phenomenon in a bull market. AI will be a transformative driving force in the next decade. The international financial asset re - allocation trend of "de - Americanization" will accelerate the inflow of international funds into the A - share market. The psychological pressure at the 3900 - point level of the Shanghai Composite Index is still high, and the policy aims for a slow - bull market [2]. Trading Strategies - For index - futures directional trading, the sharp fluctuations are normal in a bull market and do not affect the medium - to - long - term upward trend [2]. - For index - option trading, investors should seize the opportunity to buy far - month deep - out - of - the - money call options [2].

Core Viewpoint - Foreign capital is gradually increasing its allocation to Chinese assets, reflecting optimism about the Chinese market despite recent fluctuations in A-shares and H-shares [1][4]. Group 1: Market Performance - A-shares and H-shares experienced a decline, with the Shanghai Composite Index down 1.15% and the Hang Seng Index down 1.35% at the close [1]. - Goldman Sachs maintains an "overweight" rating on A-shares and H-shares, predicting an 8% and 3% upside respectively over the next 12 months [1][8]. Group 2: Foreign Investment Trends - Active foreign capital has been flowing into the Chinese market, with global hedge funds recording the highest monthly inflow into A-shares in recent years during August [3][4]. - The participation of foreign investors in Chinese stocks, particularly A-shares, has reached a cyclical high [3]. Group 3: Domestic Institutional Investment - Domestic public funds have significantly increased their stock exposure, with cash ratios in portfolios dropping to a five-year low [3]. - Insurance companies in China have raised their stock holdings by 26% this year, while the total management scale of private equity funds has grown from 5 trillion yuan to 5.9 trillion yuan [3]. Group 4: Market Drivers - A liquidity-driven bull market is emerging in the Chinese stock market, with "re-inflation" expectations and AI development acting as key catalysts [3]. - The current market rally is supported by fundamental improvements, with normalized profits for listed companies expected to grow in the mid-to-high single digits from 2025 to 2027 [4][6]. Group 5: Future Potential - There is significant potential for incremental capital in the Chinese stock market, as household asset allocation is heavily skewed towards real estate (55%) and cash deposits (27%), with only 11% in stocks [8]. - If the institutional holding ratio in A-shares rises to the average levels of emerging (50%) or developed markets (59%), it could lead to potential inflows of 14 trillion yuan or 30 trillion yuan respectively [8].