证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2026 年 01 月 11 日 动量波动策略应对春季躁动 过去一周流动性风格表现最好，该风格下强势转债过去一周收益率均值+4.57%， 显著高于其他风格。春季躁动行情已进入主升阶段，可转债市场的核心矛盾从长 期的"估值性价比"转向短期的"资金与情绪博弈"，流动性改善成为贯穿当前行 情的绝对主线。在市场交投活跃、风险偏好上行的阶段，流动性风格往往能提供 显著且稳健的超额收益：1）增量资金入场：新入场资金多带有交易属性，天然偏 好成交活跃、进出便捷的高流动性标的，以快速实现建仓与调仓；2）情绪传导机 制：市场热点快速轮动，高流动性个券能更高效地汇聚市场关注，形成"流动性 溢价到资金流入"的正反馈循环；3）规模效应：在整体成交量能上台阶后，大中 盘转债的流动性优势被放大，其定价效率提升，波动特性更贴近正股。因此，流 动性改善不仅是市场现象，更是当前阶段获取超额收益的关键风格来源。 ❑ 春季躁动下淡化择时，以交易思维应对高价高估新环境。 策略维度，投资者应从过去侧重防御、挖掘"双低"价值的配置思维，转向更具 进攻性的交易思维。核心在于把握 ...

1. Report Industry Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints of the Report - Risk preference recovery and the strengthening of the equity nature in the convertible bond market suggest that the liquidity style is expected to strengthen again. The convertible bond market has entered the "high-beta stage of a slow bull market", with the pricing logic shifting from "bond defense" to "equity elasticity". The liquidity factor is expected to strengthen once more [1]. - In the short - term, as the global market's expectation of recent liquidity tightness eases marginally, the correction space of the convertible bond market with sufficient incremental funds may be limited. Under the slow - bull expectation, the equity market's spring rally is in the making, and the convertible bond market still has structural opportunities [2][11]. - In the medium - term, the marginal improvement in liquidity and market structural characteristics highlight the allocation value of the liquidity style. The liquidity factor is expected to shift from "steady contribution" to "strong performance" [3][18]. - In the long - term, the convertible bond market shows obvious liquidity premium. The liquidity style has the best performance under a market - neutral condition [4][12]. 3. Summary According to the Table of Contents 3.1 Convertible Bond Weekly Thinking - From December 15th to December 19th, 2025, the small - and medium - cap stocks' trend was initially weak and then strong. The convertible bond market fluctuated upward following the underlying stocks. High - priced targets performed weakly, while low - priced convertible bonds performed strongly. The increase of convertible bonds was significantly lower than that of the underlying stocks due to the drag of high - priced convertible bonds. In terms of industries, the materials (+1.62%), optional consumption (+1.04%), and healthcare (+0.97%) sectors strengthened, while the finance (-0.43%) and information technology (-0.11%) sectors weakened [2][11]. - The Bank of Japan's interest rate hike was finalized this week, removing the suppressing factor for risk preference. The U.S. CPI data on Friday was lower than market expectations, providing more room for the subsequent monetary easing policy of the Federal Reserve [2][11]. 3.2 Convertible Bond Market Tracking 3.2.1 Convertible Bond Market Conditions - The report presents the performance of various convertible bond indices in different time periods (recent week, recent two weeks, since September, recent month, recent two months, recent half - year, and recent one - year), such as the Wind Convertible Bond Energy Index, Wind Convertible Bond Materials Index, etc [21]. 3.2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten convertible bond individual securities in terms of price increase and decrease in the recent week, but specific names and data are not fully presented [22][24]. 3.2.3 Convertible Bond Valuation - The report provides the moving average trends of the conversion premium ratios of bond - like, balanced, and equity - like convertible bonds over the weeks [28][30][34]. 3.2.4 Convertible Bond Prices - The report shows the trends of the proportion of high - priced bonds and the median price of convertible bonds [31][32].