Core Viewpoint - The Hong Kong Stock Connect High Dividend Total Return Index is expected to experience its strongest calendar effect from December to mid-January, with a high probability of absolute and excess returns during this period [1]. Group 1: Performance Metrics - The absolute return probability is 90.9%, with median and average gains of 3.4% and 4.6% respectively [3][19]. - The probability of excess returns compared to the CSI 300 Total Return Index is 81.8%, with median and average excess returns of 5.6% and 2.1% respectively [3][19]. - The probability of excess returns compared to the CSI Dividend Total Return Index is also 81.8%, with median and average excess returns of 3.6% and 3.2% respectively [3][19]. - The probability of excess returns compared to the Hang Seng Index Total Return is 81.8%, with median and average excess returns of 1.0% and 1.6% respectively [3][19]. Group 2: Reasons for Calendar Effect - A key reason for the strong year-end effect is the rebalancing of assets by public funds seeking relative returns, leading to a shift from high-valuation growth stocks to high-dividend, high-safety Hong Kong stocks [4]. - December to January is a peak period for insurance premiums, prompting some insurance funds to quickly build positions in high-dividend assets to match liability costs, creating a rigid buying pressure [4]. - Year-end policy catalysts or announcements may also stimulate the Hong Kong dividend market, especially if supportive dividend policies are implemented or if growth stabilization policies fall short of expectations [4]. Group 3: Historical Context - The Hong Kong Stock Connect High Dividend Total Return Index has shown strong performance from December to mid-January since 2014, with a win rate of 82% compared to the CSI 300 Total Return, CSI Dividend Total Return, and Hang Seng Index Total Return [15][19]. - The index's trading volume currently represents only 6.1% of the market, indicating a relatively low level of crowding and potential for reallocation [15].

Market Performance - The Shanghai Composite Index rose by 1.04% to close at 3766.21, marking a ten-year high [1][2] - The Shenzhen Component Index increased by 0.89% to 11926.74, while the ChiNext Index saw a smaller gain of 0.23% [1][2] - The STAR Market 50 Index surged by 3.23%, reaching a two-and-a-half-year high [1] Trading Volume - The total trading volume in the Shanghai and Shenzhen markets was 2.41 trillion yuan, a decrease of over 100 billion yuan compared to the previous trading day [4] Sector Performance - Sectors such as liquor, semiconductors, automotive, AI glasses, and insurance showed significant gains, while sectors like film and television, medical services, diversified finance, and software development experienced declines [6] - Notable performances included liquor stocks, with Wuliangye and Shede Liquor hitting the daily limit, and semiconductor stocks like Cambrian Technology rising over 8% [6] Fund Flow - Main funds saw net inflows into sectors like electronics, automotive, non-ferrous metals, and food and beverage, while there was a net outflow from the pharmaceutical and biotechnology sectors [8] - Specific stocks with net inflows included Inspur Information, ZTE Corporation, and Haiguang Information, attracting 2.12 billion yuan, 1.47 billion yuan, and 1.10 billion yuan respectively [9] - Conversely, stocks like Sichuan Changhong, Dongfang Wealth, and Huasheng Tiancheng faced net outflows of 1.54 billion yuan, 1.45 billion yuan, and 1.38 billion yuan respectively [10] Institutional Insights - Dongfang Securities noted signs of upward revision in overseas inflation data, raising concerns about potential hawkish remarks from Powell at the Jackson Hole central bank meeting, while domestic liquidity remains ample [11] - CITIC Securities highlighted that the liquor industry is rapidly bottoming out, with leading companies likely to benefit from channel adjustments and market expansion opportunities as consumption gradually improves [12]

惠誉评级：充足的国内流动性降低亚太新兴市场非银行金融机构的再融资风险。 ...