证券研究报告 | 2026年01月26日 策略周报 融资交易情绪边际降温——1 月第 3 周立体投资策略周报 核心结论：①1 月第 3 周，资金入市合计净流出 1705 亿元，前一周流入 49 亿元。②短期情绪指标处于 05 年以来高位，长期情绪指标处于 05 年以来中 低位。③从行业角度看，以成交额占比为例，过去一周半导体、电子、国防 军工等热度较高。 1 月第 2 周，资金入市合计净流出 1705 亿元，前一周流入 49 亿元。资金流 入方面，融资余额减少 83 亿元，公募基金发行增加 393 亿元，ETF 净赎回 1623 亿元，北上资金估算净流出 93 亿元；资金流出方面，IPO 融资规模 46 亿元，产业资本净减持 118 亿元，交易费用 136 亿元。 短期情绪指标处于 05 年以来高位。短期情绪指标主要看换手率和融资交易 占比，最近一周换手率（年化）为 557%，当前处在历史上由低到高 87%的分 位；最近一周融资交易占比为 9.88%，当前处在历史上由低到高 73%的分位。 长期情绪指标处于 05 年以来中低位。长期情绪指标主要看大类资产比价， 一看价格对比，最近一周 A 股风险溢价（全部 A ...

Market Sentiment Analysis - Since mid-December last year, A-share sentiment has been gradually rising, with a rapid increase since January, leading to a doubling of total trading volume and turnover rate from the lows [1] - The financing balance has increased at a rate similar to Q3 last year, but the financing balance as a percentage of circulating market value remains around 2.5%, and the proportion of financing purchases is about 11%, indicating no significant breakout from previous ranges [1] - There is a notable structural valuation differentiation in the market, with the valuation ratios of the CSI 500/1000 and CSI 300 reaching highs not seen since 2018, and technology growth sectors showing generally high valuations while consumer and financial sectors have lower valuation levels [1] - Despite the recent market uptrend, industrial capital reduction has not accelerated and remains at a moderate level, primarily concentrated in growth and manufacturing sectors [1] Polyester Filament Industry - Major filament manufacturers have decided to initiate a 15% production cut starting January 14 for one quarter, with the possibility of increasing the cut depending on market conditions [2] - As of January 16, the inventory days for mainstream POY in the filament industry are only 10 days, indicating a low level of stock; the weekly operating load for filaments is at 88.8%, down 1.4 percentage points week-on-week [2] - Domestic small and medium-sized direct-spun polyester filament enterprises are increasingly announcing shutdowns for the holiday period, which, combined with the production cuts, may lead to an operating load of around 71%-72% during the Spring Festival, marking the lowest level in nearly three years [2][3] - The peak of polyester filament capacity expansion has passed, with future new capacity mainly concentrated in major manufacturers like Tongkun and New Fengming [3] - Domestic demand is expected to gradually recover due to consumption stimulus policies, while external demand may maintain rapid growth due to factors like the Federal Reserve's interest rate cuts and India's cancellation of BIS certification [3] Profitability Outlook - The polyester filament industry is expected to maintain a relatively balanced supply-demand structure, allowing for good profitability through effective industry collaboration [3] - The planned large-scale production cuts by major filament manufacturers before and after the 2026 Spring Festival are anticipated to help keep inventories low, with expectations for demand peaks in March-April and overall price differentials for 2026 being promising [3]

Summary of Key Points from the Conference Call Industry Overview - The focus is on the **Chinese equity market**, specifically the **A-share** and **H-share** markets, amidst a backdrop of regulatory tightening and investor sentiment dynamics. Core Insights and Arguments 1. **Regulatory Tightening**: Regulatory measures have been implemented due to overheated market sentiment, as indicated by a surge in trading volume and turnover. The margin collateral ratio for onshore A-shares has been increased from 80% to 100% to promote a "slow-bull" market while curbing over-leverage [1][13] 2. **Investor Sentiment**: The A-share investor sentiment indicator (MSASI) reached 91%, marking the first time above 90% since September 2024. This reflects a significant increase of 13 percentage points from the previous cutoff date [2][4] 3. **Trading Volume Surge**: Average daily turnover (ADT) for ChiNext, A-shares, and equity futures saw substantial increases of 49% (to RMB 997 billion), 38% (to RMB 3,426 billion), and 50% (to RMB 625 billion), respectively [2] 4. **Earnings Estimate Revisions**: The breadth of consensus earnings estimate revisions remains negative, indicating a slight deterioration compared to the prior period [2] 5. **Liquidity Support**: Despite regulatory tightening, liquidity support for both A-shares and the Hong Kong market is expected to continue through the first quarter of 2026, driven by reallocations from bond investments and sustained insurance inflows [13] 6. **Macroeconomic Context**: The macroeconomic backdrop is mixed, with robust exports and a strengthening RMB, while core inflation remains soft. December exports exceeded expectations, particularly in capital-intensive sectors [4] 7. **Foreign Inflows**: Southbound trading saw net inflows of USD 1.7 billion from January 8 to January 14, with year-to-date and month-to-date net inflows reaching USD 5.3 billion [3] Additional Important Insights 1. **Market Volatility**: Near-term volatility is anticipated, especially in technology and innovation-heavy sectors where margin financing growth has been pronounced. However, such adjustments are expected to be temporary and manageable [13] 2. **Long-term Outlook**: The overall view on the A-share market remains constructive, supported by long-term liquidity catalysts and an improving opportunity set, alongside a strong IPO pipeline in the Hong Kong market [13] 3. **Currency Forecast**: The USDCNY is projected to reach 6.85 by the first quarter of 2026 and 7.0 by the end of 2026, reflecting a more favorable outlook for the Chinese currency [4] This summary encapsulates the key points discussed in the conference call, highlighting the current state of the Chinese equity market, regulatory impacts, investor sentiment, and macroeconomic conditions.

January 8, 2026 09:00 PM GMT China Equity Strategy | Asia Pacific A-Share Sentiment Improved Notably in the New Year Market sentiment rose notably on higher turnover entering 2026, supported by a stronger CNY and ample liquidity. We remain constructive on China on a six- to 12-months basis, considering sustained liquidity support, ongoing technological advancement and a broad set of thematic opportunities. A-share investor sentiment increased vs. previous cycle: Weighted MSASI increased by 26ppt to 77% vs. ...

Summary of Key Points from the Conference Call Industry Overview - **Industry**: A-Shares in China - **Market Sentiment**: A-share sentiment has softened due to year-end profit-taking and increased volatility in the US market, with a cautiously constructive outlook maintained by the company [1][2][13]. Core Insights and Arguments - **Investor Sentiment**: - The weighted MSASI (Morgan Stanley A-share Sentiment Indicator) decreased by 1% to 50% compared to the previous cut-off date, and the 1MMA (1-Month Moving Average) dropped by 4% to 61% [2]. - Average Daily Turnover (ADT) for A-shares decreased by 6% to RMB 1,801 billion, while ChiNext turnover rose by 2% to RMB 506 billion [2]. - **Net Inflows**: - Southbound trading recorded net inflows of USD 2 billion from November 20 to November 26, with year-to-date net inflows reaching USD 167 billion [3]. - **Government Policy**: - Beijing is considering interest subsidies to lower mortgage costs, which could support listings and stabilize prices. A broad 100bps subsidy could cost approximately RMB 400 billion annually [4]. - The implementation of such policies could lead to a gradual recovery in housing demand and stabilize prices in higher-tier cities [4]. - **Market Volatility**: - Chinese equities have experienced heightened volatility since October, with a potential US market correction posing a significant risk to global risk assets, including Chinese equities [13]. - However, A-shares have shown the lowest correlation with US markets, suggesting potential for relative outperformance [13]. Additional Important Insights - **Foreign Investor Sentiment**: Positive feedback from foreign investors indicates a growing interest in the Chinese equity market, with expectations for continued net inflows in the coming year [14]. - **Catalysts for Improvement**: Key catalysts for a more bullish outlook on China include improved US-China relations and a more aggressive fiscal policy, particularly regarding housing inventory [15][16]. - **Earnings Estimate Revisions**: The breadth of consensus earnings estimate revisions remains negative but has shown slight improvement compared to the previous week [2]. - **Methodology of MSASI**: The MSASI is constructed using 12 individual indicators to capture various dimensions of investor sentiment, normalized to reduce noise and reflect medium-term trends [17][26]. - **Market Dynamics**: The report highlights the importance of monitoring various metrics such as ChiNext turnover, A-share turnover, and margin financing to gauge market sentiment and activity [19][20][21]. This summary encapsulates the key points discussed in the conference call, focusing on the A-share market dynamics, investor sentiment, government policies, and potential catalysts for future market performance.

Summary of Morgan Stanley A-Share Market Sentiment Indicator (MSASI) 2.0 Company/Industry - **Company**: Morgan Stanley - **Industry**: A-share Market in China Core Points and Arguments 1. **Introduction of MSASI 2.0**: Morgan Stanley has relaunched the A-share market sentiment indicator (MSASI 2.0) to better reflect investor behavior and sentiment trends, now based on 12 updated metrics [2][17][23] 2. **Historical Context**: The original MSASI was launched in March 2019 to track weekly sentiment changes in the A-share market. The need for an update arose due to changes in data availability and market structure [2][14] 3. **Expanded Metrics**: The new MSASI includes 12 indicators covering trading volume, market sentiment, short-selling sentiment, capital flows, and fundamental performance. Four new metrics have been added, including new account registrations on the Shanghai Stock Exchange and foreign capital inflows into the CSI 300 [2][17][23] 4. **Noise Reduction and Insight Enhancement**: Each indicator is processed using a 100-day rolling min-max normalization to reduce noise and highlight mid-term sentiment changes [2][27] 5. **Two Versions of MSASI**: The index has two versions: - **MSASI (Weighted)**: A real-time composite index ranging from 0 to 100 - **MSASI (Weighted 1-Month Moving Average)**: A one-month moving average that emphasizes broader trends [2][35] 6. **Strategy Framework**: The MSASI can identify sentiment extremes, with strategies based on the 1-month moving average: - Short the CSI 300 when the index reaches ≥78% for 70 trading days - Long the CSI 300 when the index drops to ≤22% for the same duration - Historical backtesting shows cumulative returns of 31% for shorting and 91% for going long, with hit rates of 60% and 67% respectively [3][44] 7. **Recent Performance**: As of late October 2025, the MSASI had reached a high but subsequently retreated, indicating a return to normal levels from an overheated state. A balanced strategy focusing on earnings quality and fundamental resilience is recommended [13][39] Other Important but Possibly Overlooked Content 1. **Data Correlation**: Historical data shows a high correlation (98%) between the new account registrations and the previously used "new investor registrations" metric, justifying the replacement [23] 2. **Market Sentiment Indicators**: The MSASI includes various indicators such as: - A-share turnover - Margin transaction balances - Relative Strength Index (RSI) for the CSI 300 - Number of limit-up A-shares - Backwardation in CSI 300 futures [20][52] 3. **Methodological Enhancements**: The methodology has been refined to ensure that all indicators are comparable and reflect mid-term sentiment changes rather than daily fluctuations [50][56] 4. **Future Implications**: The MSASI serves as a tool for investors to identify early turning points in market sentiment, which can lead to investment opportunities [14][40] This comprehensive summary captures the key aspects of the MSASI 2.0 report, highlighting its significance in understanding the A-share market sentiment and potential investment strategies.

Summary of Key Points from the Conference Call Industry Overview - The report focuses on the **A-share market** in China, highlighting the impact of **China-US trade tensions** on market sentiment and performance [1][17]. Core Insights and Arguments - **Market Sentiment Decline**: A-share investor sentiment has decreased significantly, with the weighted MSASI dropping by **15 percentage points** to **91%** and the simple MSASI falling by **16 percentage points** to **84%** compared to the previous cutoff date [2][8]. - **Turnover Decrease**: Average daily turnover for various segments, including ChiNext and A-shares, has seen substantial declines, with ChiNext down **23%** to **Rmb 456 billion** and A-shares down **25%** to **Rmb 1,831 billion** [2]. - **Net Inflows**: Southbound trading recorded net inflows of **US$1.9 billion** from October 16-22, with year-to-date net inflows reaching **US$150 billion** [3]. - **GDP Growth**: The third quarter GDP growth was slightly better than expected at **4.6-4.7%**, driven by a **1.5 percentage point** increase in industrial production [4][5]. - **Fiscal Measures**: To stabilize growth, the Chinese government activated **Rmb 500 billion** in fiscal space, which is expected to support GDP growth in the fourth quarter [5]. Additional Important Insights - **Earnings Quality Focus**: The report advises investors to adopt a balanced approach, emphasizing the importance of earnings quality while awaiting clarity on trade tensions [1][17]. - **Investment Strategy**: The recommendation is to focus on quality stocks with high earnings visibility and dividend plays, rather than increasing overall risk exposure prematurely [18]. - **Trade Talks**: Upcoming trade talks between the US and China are anticipated to influence market sentiment, with investors remaining cautious due to weakening consumption and housing [17]. - **Technological Focus**: The upcoming Central Government Suggestions for Drafting the FYP are expected to emphasize technological self-sufficiency and innovation, with gradual social welfare reforms likely to receive endorsement [16]. Conclusion - The A-share market is currently experiencing a cooling sentiment due to external trade tensions and internal economic factors. Investors are advised to remain cautious and focus on quality investments while monitoring developments in trade negotiations and fiscal policies.

Summary of Key Points from the Conference Call Industry Overview - **Industry**: A-Shares in China - **Market Sentiment**: The sentiment has cooled down due to slower credit growth and lukewarm holiday spending, alongside escalating US/China trade tensions ahead of the APEC summit [1][4][16]. Core Insights and Arguments - **Market Sentiment Indicators**: - The Morgan Stanley A-share Sentiment Indicator (MSASI) weighted and simple measures declined by 9 percentage points and 8 percentage points, respectively, to 106% and 100% compared to the previous cutoff date [2]. - Daily turnover for ChiNext and A-shares decreased by 16% (to RMB 492 billion) and 5% (to RMB 2,074 billion) [2]. - The 30-day Relative Strength Index (RSI-30D) decreased by 10% over the same cycle [2]. - **Credit Growth**: - China's broad credit growth slowed down by 10 basis points to 8.9% year-over-year, influenced by a fading fiscal impulse and weak loan demand [4]. - Expectations are for credit growth to soften further to approximately 8.5% year-over-year by year-end due to a waning government bond quota in the fourth quarter [4]. - **Household Deposits**: - There was a partial reversal of outflows from household deposits into equities, likely due to the long Golden Week holiday and profit-taking after a strong performance in previous months [4]. - **Trade Tensions**: - Renewed trade tensions between the US and China could negatively impact household consumption and investment activities [4][16]. - A tactical truce is considered the base case, with both countries relying on each other for critical inputs, particularly in technology and rare earth materials [16]. - **Investment Recommendations**: - Investors are advised to consider buying the dip if MSCI China valuations correct by 10-15% or more, especially with resilient earnings revisions [16]. - A focus on high-quality companies benefiting from technology localization and anti-involution themes is recommended for long-term success [16]. Additional Important Insights - **Consumer Spending**: - Retail sales growth during the National Day Holiday was slower compared to August trends, indicating that a broad-based demand recovery is not yet underway [15]. - **Net Inflows**: - Southbound net inflows reached US$3.3 billion during October 9-15, with year-to-date and month-to-date net inflows at US$148 billion and US$3.3 billion, respectively [3]. - **Earnings Estimate Revisions**: - The consensus earnings estimate revision breadth remained negative but showed slight improvement compared to the previous week [2]. - **Upcoming Economic Indicators**: - The upcoming Five-Year Plan outline on October 27 may provide insights into Beijing's stance on economic rebalancing [4]. This summary encapsulates the key points discussed in the conference call, focusing on the current state of the A-share market, macroeconomic indicators, and strategic investment recommendations.

Summary of Key Points from the Conference Call Industry Overview - **Industry**: A-Shares in China - **Current Sentiment**: Investor sentiment in the A-share market has cooled, with a notable decrease in trading volume and turnover across various segments [1][2][5]. Core Insights and Arguments - **Investor Sentiment**: The Morgan Stanley A-share Sentiment Indicator (MSASI) has dropped, with weighted and simple MSASI decreasing by 14 percentage points and 16 percentage points to 112% and 106%, respectively [2][7]. - **Trading Volume**: Daily turnover for ChiNext, A-shares, equity futures, and Northbound trading fell by 14% (to RMB 568 billion), 16% (to RMB 1,982 billion), 28% (to RMB 404 billion), and 21% (to RMB 132 billion), respectively [2]. - **Earnings Estimates**: The breadth of consensus earnings estimate revisions remains negative but has shown slight improvement compared to the previous week [2][5]. - **Macro Data**: August inflation showed some improvement, primarily driven by consumer goods trade-in, but food prices remain a drag on the Consumer Price Index (CPI) [4][5]. - **Export Performance**: August exports were resilient despite missing market expectations, attributed to competitive supply chains and a weaker trade-weighted RMB. However, exports are expected to moderate in the second half of the year [5]. Important Developments - **Net Inflows**: Southbound trading recorded net inflows of USD 5.2 billion from September 4-10, with year-to-date and month-to-date net inflows reaching USD 133.4 billion and USD 8.7 billion, respectively [3]. - **Policy Initiatives**: China is preparing to address a significant backlog of unpaid bills owed by local governments to the private sector, amounting to USD 1 trillion [5]. - **Geopolitical Monitoring**: Ongoing monitoring of geopolitical developments, particularly between the US and China, is crucial for understanding potential market impacts [15]. Additional Noteworthy Points - **Investor Behavior**: Investors appear to be taking profits and awaiting clearer signals regarding macroeconomic conditions, policy changes, and corporate fundamentals [5]. - **Earnings Deterioration**: A-shares have shown some moderated deterioration in earnings as the second quarter results season concludes [5]. - **MSASI Methodology**: The MSASI is based on nine metrics that gauge onshore sentiment, including margin transactions, new investor registrations, and A-share turnover [16][17][23]. This summary encapsulates the key points discussed in the conference call, highlighting the current state of the A-share market, investor sentiment, macroeconomic indicators, and significant policy developments.

Summary of Key Points from the Conference Call Industry Overview - The report focuses on the **A-share market** in China, highlighting recent trends in investor sentiment and market performance amid potential government interventions and economic indicators. Core Insights and Arguments 1. **Investor Sentiment Decline**: A-share investor sentiment has decreased significantly, with the weighted MSASI dropping by **32 percentage points** to **126%** and the simple MSASI to **121%** compared to the previous cutoff date of August 28 [2][6][11]. 2. **Market Correction**: Reports of government measures to cool market sentiment have led to a notable market correction, with the Shanghai Composite Index down **1.3%**, CSI 300 Index down **2.1%**, and ChiNext index down **4.2%** on September 4 [4][11]. 3. **Turnover Trends**: Daily turnover for ChiNext, A-shares, and Northbound fell by **26%** (to **RMB 658 billion**), **25%** (to **RMB 2,366 billion**), and **17%** (to **RMB 166 billion**), respectively, indicating reduced trading activity [2][11]. 4. **Net Inflows**: Southbound trading recorded net inflows of **US$ 2.3 billion** from August 28 to September 3, with year-to-date and month-to-date net inflows reaching **US$ 128.1 billion** and **US$ 3.4 billion**, respectively [3][11]. 5. **Earnings Misses**: The A-share market has seen a moderate miss in earnings, with a slight deterioration compared to Q1 results, indicating potential challenges in corporate fundamentals [11][12]. Additional Important Insights 1. **PMI Indicators**: August PMIs showed a continued growth slowdown, with construction PMI dropping to a record low of **49.1** and manufacturing PMI for consumer goods at **49.2**, reflecting weakening economic conditions [11]. 2. **Government Policy Impact**: The upcoming **15th Five-Year Plan** to be announced in mid-October is expected to be a critical checkpoint for assessing the need for structural reforms to support economic stability [11]. 3. **Monitoring Signposts**: Investors are advised to monitor key indicators such as onshore bond yields, policy catalysts focusing on consumption and social benefits, earnings trajectories, and potential government interventions to stabilize the market [11]. Conclusion - The A-share market is currently facing challenges due to declining investor sentiment, market corrections, and economic indicators suggesting a slowdown. The effectiveness of government interventions and upcoming policy announcements will be crucial in determining the market's trajectory in the near future.