炒股就看金麒麟分析师研报，权威，专业，及时，全面，助您挖掘潜力主题机会！ 9月2日，南向资金净买入92.81亿港元，年度净买入额超1万亿港元，创下互联互通机制开通以来的最高 纪录。截至目前，南向资金累计净买入港股市场的金额接近4.7万亿港元，同样刷新了历史纪录。 在内地投资者加码买入的背景下，南向资金在港股市场的成交占比也在不断提升。受访人士表示，今年 以来，港股市场因南向资金持续流入，流动性已有明显提升，对于估值与交易层面均有正向推动。未来 随着海外资金的重新回流，或将进一步带来推升效应。 年度净买入额突破万亿港元 今年以来，受益于估值修复、海外货币政策转向，以及国内刺激政策预期上升等因素，港股市场出现明 显回升。截至目前，恒生指数、恒生科技指数的年度涨幅均在20%以上。 在港股市场回暖的背景下，今年以来，南向资金加码净流入港股市场。9月2日，南向资金净买入92.81 亿港元，使得年度净买入额已超万亿港元关口，创下互联互通机制开通以来的最高纪录。 拉长时间来看，2020年至2024年，南向资金成交净买入额分别为6721.25亿港元、4543.96亿港元、 3862.81亿港元、3188.42亿港元和8078 ...

#数据 9月2日，南向资金净买入92.81亿港元，年度净买入额超1万亿港元，创下互联互通机制开通以来的最高纪录。截至目前，南向资金累计净买入港股市场的金额接近4.7万亿港元。 ...

Core Insights - The Hong Kong Stock Exchange (HKEX) is actively promoting economic and financial development in the Guangdong-Hong Kong-Macao Greater Bay Area, positioning itself as a key financial infrastructure [1] - Recent reforms in listing rules have made it easier for new economy companies, particularly in healthcare, renewable energy, and TMT sectors, to raise funds in Hong Kong, with over 60% of new stock financing coming from these industries [1] - HKEX has established various connectivity mechanisms with mainland financial markets, enhancing capital market openness and providing international investors with convenient access to Chinese markets [2] Group 1: Financial Development Initiatives - HKEX has implemented multiple listing rule reforms, allowing companies with dual-class share structures and biotech firms without revenue to list in Hong Kong [1] - In the first seven months of the year, Hong Kong's new stock market raised HKD 127.9 billion, ranking first globally [1] - There are currently over 200 listing applications being processed, many from high-tech companies in the Greater Bay Area [1] Group 2: Connectivity and Collaboration - HKEX has been working closely with mainland financial institutions to enhance connectivity through mechanisms like Stock Connect and Bond Connect, facilitating cross-border investment [2] - Ongoing collaborations with Shanghai and Shenzhen Stock Exchanges aim to optimize trading mechanisms, including the inclusion of REITs and a block trading mechanism [2] - HKEX is also developing a comprehensive fund platform in partnership with Shenzhen Stock Exchange to improve market efficiency and reduce trading costs [2] Group 3: Green Finance and Low-Carbon Transition - HKEX is committed to developing green finance in response to the global shift towards low-carbon economies, collaborating with mainland financial institutions [2] - Future plans include exploring opportunities for carbon market cooperation within the Greater Bay Area to support national dual carbon goals [2]

Group 1 - The Hong Kong Stock Exchange (HKEX) is actively promoting the economic and financial development of the Greater Bay Area, serving as a core financial infrastructure [1] - Recent reforms in listing rules have provided diverse and convenient channels for new economy companies to list in Hong Kong, including those with dual-class share structures and biotech firms without revenue [1] - New economy sectors, such as healthcare, renewable energy, and TMT, account for over 60% of new stock financing in Hong Kong, with total financing reaching HKD 127.9 billion from January to July, ranking first globally [1] Group 2 - HKEX is enhancing connectivity with mainland financial markets through mechanisms like Stock Connect and Bond Connect, facilitating international investment in China and providing mainland funds access to overseas assets [2] - Ongoing collaborations with the Shanghai and Shenzhen stock exchanges aim to optimize Stock Connect by including REITs and introducing block trading mechanisms [2] - HKEX is also focusing on green finance and low-carbon transition, seeking to explore carbon market cooperation opportunities with more financial institutions in the Greater Bay Area [2]

Core Insights - The seventh Guangdong-Hong Kong-Macao Greater Bay Area Financial Development Forum was held in Guangzhou, focusing on comprehensive financial cooperation and development [1] - Hong Kong's financial market raised HKD 127.9 billion from January to July this year, ranking first globally, with over 200 listing applications currently being processed, many from high-tech companies in the Greater Bay Area [1] - The Hong Kong Stock Exchange (HKEX) has optimized its listing system for new economy companies, allowing dual-class share structures and biotech firms without revenue to list, with at least 60% of the financing coming from sectors like pharmaceuticals, new energy, and TMT [1] Listing and Regulatory Developments - In October 2024, HKEX and the Hong Kong Securities and Futures Commission will streamline the approval process for eligible A-share companies seeking to list in Hong Kong [1] - By May 2025, HKEX will launch a technology-focused channel to further optimize the application process for specialized technology and biotech companies [1] - In August 2025, HKEX will enhance new stock pricing and public holding requirements, easing restrictions to improve pricing efficiency and international competitiveness [1] Market Connectivity and Collaboration - The Shenzhen-Hong Kong Stock Connect has seen active trading, with cumulative transactions reaching approximately RMB 116 trillion by the end of July this year [2] - HKEX is collaborating with the Shanghai and Shenzhen stock exchanges to include block trading in the connectivity mechanism and optimize the inclusion of RMB counters in the Hong Kong Stock Connect [2] - HKEX is also working on a comprehensive fund platform with the Shenzhen Stock Exchange to enhance the fund distribution network and market efficiency [2] - The establishment of HKEX's subsidiary in Shenzhen, with over 200 employees, aims to leverage the region's technological and talent advantages to enhance market competitiveness [2]

Core Insights - Hong Kong Stock Exchange (HKEX) has implemented various measures to enhance market activity, resulting in significant performance improvements in 2025 [1][2] - The exchange aims to continue enhancing its platform, infrastructure, and product offerings to provide diverse options, ample liquidity, and efficient connectivity for investors and issuers [1] Market Performance - In the first half of 2025, HKEX achieved record highs in multiple market metrics, with an average daily trading amount of HKD 240.2 billion, a year-on-year increase of 118% [2] - The average daily trading volume for futures and options exceeded 1.7 million contracts, up 11% year-on-year [2] - The Hong Kong ETF market saw a significant increase, with an average daily trading amount of HKD 33.8 billion, rising 184% compared to the same period last year [2] - Northbound and southbound trading through the Stock Connect also reached record highs, with an average daily trading amount of RMB 171.3 billion, a 32% increase from the first half of 2024 [2] Revenue Growth - HKEX reported a record revenue and other income of HKD 14.076 billion in the first half of 2025, a 33% increase from the same period in 2024 [3] - The increase in trading activity significantly contributed to revenue growth, with trading fees and system usage fees reaching HKD 4.906 billion, up 49.11% year-on-year [3] - Clearing and settlement fees amounted to HKD 3.155 billion, reflecting a year-on-year growth of 48.47% [3] - Nearly 90% of HKEX's profits are allocated for dividends, with a total interim dividend of approximately HKD 7.6 billion [3] IPO Market - HKEX regained the top position globally in terms of fundraising in the first half of 2025, welcoming 44 new listings, a 716% increase year-on-year [4] - Notable IPOs included CATL, which raised HKD 41 billion, marking the largest IPO on HKEX since February 2021 [4] - The number of companies waiting to go public reached 207, indicating a robust pipeline for new listings [4] - The total amount raised through refinancing reached HKD 244.8 billion, the highest for a half-year since 2021 [4] Strategic Initiatives - HKEX is advancing several strategic initiatives to solidify its role as a global hub, including extending the duration of interest rate swap contracts to 30 years to meet diverse risk management needs [5] - Plans to include RMB-denominated stocks in the Stock Connect are underway, enhancing connectivity between Hong Kong and mainland markets [5] - The introduction of the "Specialized Technology Company Route" allows tech firms to submit IPO applications confidentially, promoting a more accessible listing process [6] - HKEX has expanded its product offerings, including new stock options and the first Nasdaq-100 ETF listed in Asia, enhancing investor choices [6] Future Outlook - Despite various external uncertainties, HKEX remains cautiously optimistic about the market outlook for the second half of 2025, with confidence in its ability to adapt to changing conditions [6][7]

Group 1 - The Hong Kong Stablecoin Regulation comes into effect this month, with a clear positioning of stablecoins as a payment tool and an alternative representation of fiat currency, eliminating speculation opportunities [1] - The cost of payments through the banking system may reach 3%, while the use of stablecoins is expected to lower costs to 1%, thereby reducing cross-border payment costs and enhancing economic efficiency [1] - The Hong Kong government is actively planning the development of the city as an international gold trading center, starting with warehousing and including new designs for trading and settlement [1] Group 2 - The "Interconnection" mechanism will celebrate its 11th anniversary, with a focus on continuously enriching and expanding varieties under a safe and controllable risk framework [1] - There are plans to promote the inclusion of real estate investment trusts into the interconnection mechanism, pending discussions with mainland authorities [1]

Core Viewpoint - Hong Kong Exchanges and Clearing Limited (HKEX) reported record high revenue and profit for the first half of 2025, with total revenue and other income reaching HKD 14.076 billion, a 33% increase from the same period in 2024, and shareholder profit rising by 39% to HKD 8.519 billion [1][2][12] Financial Performance - Total revenue and other income for H1 2025 was HKD 14.076 billion, up 33% from HKD 10.621 billion in H1 2024 [2] - Shareholder profit for H1 2025 was HKD 8.519 billion, compared to HKD 6.125 billion in H1 2024, marking a 39% increase [2] - Basic earnings per share increased to HKD 6.74 from HKD 4.84, a 39% rise [2] - Interim dividend declared at HKD 6.00 per share, up 38% from HKD 4.36 in the previous year [2] Market Activity - The average daily trading volume for equity securities reached HKD 222.84 billion, a 122% increase from HKD 100.3 billion in the previous year [7] - The average daily trading volume for derivatives and warrants was HKD 17.4 billion, up 72% from HKD 10.1 billion [7] - The average daily trading volume for Hong Kong Stock Connect was HKD 111.04 billion, a 196% increase from HKD 37.5 billion [7] - The number of new listings in H1 2025 was 44, raising a total of HKD 1.094 billion, a more than sevenfold increase year-on-year [8][9] Strategic Developments - HKEX is focusing on enhancing its product ecosystem, optimizing listing systems, and expanding into new commodity business directions [2][12] - A cooperation agreement was signed with the Hong Kong Monetary Authority to explore improvements in post-trade securities infrastructure, including the development of an international central securities depository [12] - HKEX plans to include Renminbi-denominated stocks in the Stock Connect program to facilitate trading for mainland investors [13] - The introduction of a "Tech Company Fast Track" aims to streamline the listing process for technology and biotech firms [13] Future Outlook - The CEO expressed optimism for the second half of 2025, emphasizing the commitment to enhancing platform infrastructure and product offerings to adapt to the changing global macroeconomic environment [2][12] - The company remains cautious about external uncertainties, including geopolitical risks and interest rate fluctuations, while maintaining a positive outlook for market performance [14]

Core Viewpoint - Hong Kong Exchanges and Clearing Limited (HKEX) reported record high revenue and profit for the first half of 2025, driven by strong market performance and strategic initiatives [1][2][12]. Financial Performance - HKEX's revenue and other income reached HKD 14.076 billion, a 33% increase from HKD 10.621 billion in the first half of 2024 [2]. - Shareholder profit was HKD 8.519 billion, up 39% from HKD 6.125 billion in the same period last year [2]. - The average daily trading volume for equity products was HKD 240.24 billion, a significant increase of 118% year-on-year [7][8]. - The average daily trading volume for Hong Kong Stock Connect reached HKD 111.04 billion, nearly three times that of the previous year [9]. Market Highlights - The number of new listings in Hong Kong surged, with 44 companies raising a total of HKD 1,094 billion, marking a more than sevenfold increase compared to the previous year [8][9]. - HKEX's stock price increased by nearly 50% year-to-date in 2025, reflecting strong market sentiment [3]. Strategic Developments - HKEX is focusing on enhancing its product ecosystem, optimizing listing processes, and expanding its commodity business [2][12]. - A partnership with the Hong Kong Monetary Authority aims to improve post-trade securities infrastructure, which is crucial for the long-term development of fixed income and currency products [12][13]. - The introduction of the "Tech Company Fast Track" aims to facilitate the listing of technology and biotech firms, enhancing market quality and transparency [13]. Future Outlook - HKEX plans to continue improving its platform and product offerings to provide diverse options and liquidity for investors [2][12]. - The company remains cautiously optimistic about the market outlook for the second half of 2025, despite external uncertainties [14].

Quantitative Models and Construction Methods 1. Model Name: Barra Risk Model - **Model Construction Idea**: The model identifies and quantifies common factors (industry and style factors) and idiosyncratic factors affecting stock returns, aiming to decompose return sources and provide risk constraints such as industry and style neutrality[119][121]. - **Model Construction Process**: - **Data Processing**: - Align reporting periods due to varying fiscal years among Hong Kong-listed companies[120]. - Standardize accounting standards using Wind GSD reports, converting to IFRS[120]. - Normalize financial reporting currencies using time-series exchange rates[120]. - Exclude dual-counter trading stocks and REITs for consistency[120]. - **Factor Construction**: - Constructed for three pools: Southbound Stock Connect, full Hong Kong market, and full market excluding penny stocks[121]. - Includes 10 major style factors (e.g., Beta, Momentum, Size, Earnings Yield) and industry factors[121]. - Factors are standardized using median-based outlier removal and normalized to standard normal distribution[122]. - Factor returns are calculated using Weighted Least Squares (WLS) with free-float market cap weights[122]. - Formula for WLS: ``` min Σ sqrt(w_i,t-1) * (r_i,t - Σ β_i,k,t-1 * f_k,t + Σ γ_i,m,t-1 * g_m,t)^2 ``` where weights are the fourth root of free-float market cap proportions[123]. - **Factor Definitions**: - Beta: Systematic risk derived from regression of stock returns against market returns[125]. - Momentum: Weighted log returns over a 500-day period[125]. - Size: Logarithm of total market capitalization[125]. - Earnings Yield: Inverse of P/E ratio[125]. - Volatility: Derived from residual standard deviation and monthly return ranges[125]. - Growth: Based on regression of past five years' revenue and earnings per share[125]. - Value: Inverse of P/B ratio[125]. - Leverage: Includes metrics like market leverage and debt-to-asset ratio[125]. - Liquidity: Based on trading volume relative to free-float shares over different time horizons[125]. - **Model Evaluation**: The model demonstrates good applicability in the Hong Kong market, with stable R² values across different pools[126][152]. --- Model Backtesting Results 1. Barra Risk Model - **R² Values**: - Southbound Stock Connect: Average R² = 36.7% since 2014[126][152]. - Full Hong Kong Market: Average R² = 17.4%[126][152]. - Full Market (Excluding Penny Stocks): Average R² = 21.9%[126][152]. - **Factor Cumulative Returns**: - Positive: Beta, Momentum, Liquidity, BP, Earnings Yield[130][149]. - Negative: Size, Growth, Non-Linear Size[130][149]. - Mixed: Volatility (positive for full market, negative for Southbound Stock Connect), Leverage (positive for full market, negative for Southbound Stock Connect)[130][149]. --- Quantitative Factors and Construction Methods 1. Factor Name: Penny Stock Screening - **Factor Construction Idea**: Screen stocks based on price, financial, and behavioral metrics to identify and exclude penny stocks[117][118]. - **Factor Construction Process**: - **Price Metrics**: - Rolling one-month average closing price < 1 HKD and market cap < 10 billion HKD[117]. - Rolling one-month average closing price < 1 HKD and average trading volume in the lowest 20% of the market[117]. - **Financial Metrics**: - ROE and debt-to-asset ratio thresholds[118]. - **Behavioral Metrics**: - History of stock splits or rights issues in the past year[118]. - **Exclusion of "Three Highs"**: High equity pledges, high debt ratios, and frequent fundraising activities[118]. - **Factor Evaluation**: Helps mitigate risks associated with high-volatility, low-liquidity stocks prevalent in the Hong Kong market[117][118]. --- Factor Backtesting Results 1. Penny Stock Screening - **Market Characteristics**: - As of June 2025, 56% of Hong Kong stocks are priced below 1 HKD, with 14.5% below 0.1 HKD[112][113]. - Penny stocks exhibit high volatility and low liquidity, making them risky for investment[112][117]. 2. Barra Risk Model Factors - **Cumulative Returns by Factor**: - Beta: Positive across all pools[130][149]. - Momentum: Positive across all pools[130][149]. - Size: Negative across all pools[130][149]. - Earnings Yield: Positive across all pools[130][149]. - Volatility: Positive for full market, negative for Southbound Stock Connect[130][149]. - Growth: Negative across all pools[130][149]. - Value: Positive across all pools[130][149]. - Leverage: Positive for full market, negative for Southbound Stock Connect[130][149]. - Liquidity: Positive across all pools[130][149].