报 告 摘 要 一、 市场表现 20251222大部分指数处于上涨状态，规模指数中中证500指数表现较好，板块指数中 创业板指表现较好，风格指数中中证500成长指数表现较好。通信、有色金属、电 子、消费者服务、综合金融行业表现较好，传媒、银行、纺织服装、轻工制造、电力 公用事业行业表现较差。海南自贸港、海航系、钨矿、半导体设备、光通信等概念表 现较好，SPD、降落伞、家纺、银行精选、胶原蛋白等概念表现较差。 二、市场情绪 20251222市场情绪较为高涨，收盘时有104只股票涨停，有8只股票跌停。昨日涨停股 票今日收盘收益为2.28%，昨日跌停股票今日收盘收益为1.06%。今日封板率71%，较 前日下降2%，连板率25%，较前日下降2%。 三、市场资金流向 截至 20251219 两融余额为25038亿元，其中融资余额24871亿元，融券余额167亿元。 两融余额占流通市值比重为2.6%，两融交易占市场成交额比重为10.1%。 四、折溢价 20251219当日ETF溢价较多的是科创成长ETF南方，ETF折价较多的是创50ETF工 银。近半年以来大宗交易日均成交金额达到21亿元，20251219当日大宗交易成交 ...

证券研究报告 | 2025年12月22日 金融工程日报 沪指四连阳重上 3900 点，海南自贸港概念持续发酵 核心观点 金融工程日报 市场表现：20251222 大部分指数处于上涨状态，规模指数中中证 500 指数 表现较好，板块指数中创业板指表现较好，风格指数中中证 500 成长指数表 现较好。通信、有色金属、电子、消费者服务、综合金融行业表现较好，传 媒、银行、纺织服装、轻工制造、电力公用事业行业表现较差。海南自贸港、 海航系、钨矿、半导体设备、光通信等概念表现较好，SPD、降落伞、家纺、 银行精选、胶原蛋白等概念表现较差。 市场情绪：20251222 市场情绪较为高涨，收盘时有 104 只股票涨停，有 8 只股票跌停。昨日涨停股票今日收盘收益为 2.28%，昨日跌停股票今日收盘 收益为 1.06%。今日封板率 71%，较前日下降 2%，连板率 25%，较前日 下降 2%。 市场资金流向：截至 20251219 两融余额为 25038 亿元，其中融资余额 24871 亿元，融券余额 167 亿元。两融余额占流通市值比重为 2.6%，两融 交易占市场成交额比重为 10.1%。 折溢价：20251219 当日 ...

- The report does not contain any specific quantitative models or factors for analysis [2][3][6] - The report primarily focuses on market performance, sentiment, fund flows, ETF premiums/discounts, block trading discounts, and index futures basis rates [2][3][6][22][25][28] - Quantitative metrics such as ETF premiums/discounts, block trading average discount rates, and index futures annualized basis rates are calculated and presented [22][25][28] - ETF premiums/discounts are calculated based on the difference between trading prices and NAV, reflecting investor sentiment [22] - Block trading discount rates are calculated using the formula: $ \text{Discount Rate} = \frac{\text{Block Trading Total Transaction Amount}}{\text{Total Market Value of Traded Shares}} - 1 $ [25] - Index futures annualized basis rates are calculated using the formula: $ \text{Annualized Basis Rate} = \frac{\text{Basis}}{\text{Index Price}} \times \left(\frac{250}{\text{Remaining Trading Days of Contract}}\right) $ [28] - Metrics such as ETF premiums/discounts, block trading discount rates, and index futures basis rates are used to gauge market sentiment and expectations [22][25][28]

The provided content does not contain any specific quantitative models or factors, nor does it include their construction processes, formulas, evaluations, or backtesting results. The documents primarily focus on market performance, sector analysis, ETF premiums/discounts, institutional activities, and other market-related data. There are no references to quantitative models or factors in the context of financial engineering or quantitative investment strategies.

The provided content does not include any quantitative models or factors, nor their construction, evaluation, or backtesting results. The documents primarily focus on market performance, sentiment, capital flows, ETF premiums/discounts, block trades, and institutional activity. No quantitative models or factors are discussed or analyzed.