证 券 研 究 报 告 如何从宏观定价因素理解人民币与港股的背离？ 主要观点 核心观点：对于近期人民币升值但港股（特别是恒科）大跌，我们理解如下： 首先，以往二者同向运动的本质是由于汇率和港股共享两个核心宏观定价变量 ——国内基本面和美元流动性，而这两个核心变量往往也是同向运行的。而当 这两个变量不再同向运动时，由于港股（特别是恒科）对流动性比人民币更加 敏感，二者就易发生背离。 当前情形即如此，处于"美元流动性不松 + 基本面周期尚待验证"的组合， 再叠加人民币升值背后有"独特因素"驱动（春节错位导致出口脉冲，季节性 净结汇，积压待结汇释放），因此，二者自然发生了背离。 我们认为，这主要源于港股与人民币汇率在定价框架上共享两个核心驱动变量 ——国内基本面和美元流动性： ·港股定价两因素：盈利（与国内基本面同步）、估值（取决于美元流动性）； ·汇率定价三因素：内部供需（净结汇=贸易顺差×净结汇率，趋势取决于国 内基本面），外部响应（美元指数强弱，取决于美元流动性），政策调控等其他 因素（参考《美联储降息≠人民币升值≠出口承压——汇率升值叙事的三重纠 偏》）； 由此可见，当国内基本面和美元流动性方向一致时，港股 ...

2026-03-02 ⚫ 综述 上周市场震荡回升，各大指数周度收涨。其中中证 1000 指数 领涨，周度涨幅为 4.34%。板块方面，钢铁和有色金属等行业板块 表现突出，周度涨幅分别为 12.27%和 9.77%；传媒等板块走势偏 弱，周度跌幅约为 5.10%。上周市场焦点集中于地缘局势演变与美 元流动性变化。周末美以空袭伊朗，对地缘局势造成较大扰动， 贵金属和原油等商品明显上涨，市场避险情绪有所升温。汇率方 面，短期来看，美元虽然有所走强，但上行空间受日元走势制约。 人民币目前仍维持震荡偏强的格局，对股指有一定的支撑。继续 关注地缘局势变化以及国内的政策信号。 ⚫ 期权市场 市场或延续震荡偏强格局，部分金融品种期权隐波有所回落。 策略思路：上周钢铁和有色金属等行业板块表现突出，传媒 等板块走势偏弱。当前地缘局势对市场的风险偏好有所扰动，但 偏强的人民币汇率对市场仍有支撑，预计市场中长期走势仍保持 积极。可以继续持有估值相对合理的指数，例如沪深 300、中证 A500，目前期权 IV 略有回落，也可以买入对应指数的远月浅虚值 看涨期权。对近期波动较大、静态估值仍然偏高的科创 50 指数， 如果持有现货可考虑买 ...

恒生科技指数，在很多投资者心里是个让人"又爱又恨"的存在。 爱的是它的弹性：在市场行情启动时，常常表现突出，且弹性很大； 恨的是它的波动：一轮上涨之后，往往伴随着剧烈回调，想要从中获益，不仅要找准进入时点，还要精准把握退出时机。 今天，我们就换一个视角来看待这个高波动资产。就像经历四季轮回，恒生科技也有自己的"春夏秋冬"。理解它处在哪个 季节，或许比预测明天的涨跌更重要。 01 冬：暗流涌动，体感不好 先来看看恒生科技指数最近的走势。 近一个月以来，恒生科技指数从1月26日的5725.99点跌至2月25日的5260.50点，区间跌幅9.27%，多数交易日呈现下跌态 势，仅少数日期出现短暂反弹。持有体验确实不太好。 （数据来源：wind，20260126-20260225，指数历史表现不预示未来，也不代表基金业绩） 这背后有清晰的宏观逻辑。港股市场在盈利端，和A股一样受益于中国经济的基本面； 但在估值端，作为离岸市场，它更受美元流动性环境的影响。近期美元流动性趋紧，是恒生科技表现承压的重要原因。 虽然美联储正处于降息周期，但下一任美联储主席人选沃什，市场普遍认为属于"结构性鹰派"。他计划在降息的同时缩减 美联储 ...

期货研究报告 有色金属 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明 本人具有中国期货业协会授 予的期货从业资格证书，期货投 资咨询资格证书，本人承诺以勤 勉的职业态度，独立、客观地出 具本报告。本报告清晰准确地反 映了本人的研究观点。本人不会 因本报告中的具体推荐意见或观 点而直接或间接接收到任何形式 的报酬。 投资咨询业务资格：证监许可【2011】1778 号 铜：市场风险偏好较低，铜价承压运行 春节假期间，伦铜处于 1.3 万美元下方震荡运行。相较于贵金属的 强势，铜及有色板块在春节期间表现相对冷静，与外盘贵金属走势形成 明显分化。本轮宏观情绪的升温主要源自资金的避险需求，而非对全球 经济增长预期或是通胀。贵金属受益于其纯粹的金融避险属性，而铜兼 具工业属性，在当前节点对关税政策带来的需求不确定性以及美元流动 性变化更为敏感。节后国内流动性恢复叠加下游补库需求或从产业端给 予铜价支撑。可持续关注国内库存情况以及产业下游补库情况。 铝：春节铝价先抑后扬，节后产业 ...

Core Viewpoint - The report from Guosheng Securities indicates that the recent strong non-farm payrolls and weak CPI data have caused significant disturbances in asset prices, leading to fluctuating expectations for Federal Reserve interest rate cuts. The combination of these data suggests that the weaker CPI has somewhat alleviated the hawkish pressure from the strong non-farm data. The firm believes that the Fed may struggle to provide clear signals for easing in the short term, and asset prices will continue to oscillate around the dynamics of growth resilience and inflation stickiness. A significant change in policy space is likely to occur after the leadership transition in May, with potential adjustments under Warsh's leadership possibly opening up more room for rate cuts in the second half of the year [1][23]. CPI Summary - In January, the CPI was reported at 2.4% year-on-year, lower than expectations and previous values, marking a three-month decline. The core CPI remained at 2.5%, in line with expectations but below the previous value. The seasonally adjusted CPI increased by 0.2% month-on-month, matching the 12-month average, while the core CPI rose by 0.3%, exceeding the 12-month average of 0.2% [2][3]. - Key components of the CPI showed a decline in food prices from 3.1% to 2.9% year-on-year, and energy prices fell from 2.3% to -0.1%. Core goods and services also exhibited slight decreases in inflation rates, indicating persistent service inflation pressures [2][3]. Non-Farm Payroll Summary - The January non-farm payrolls added 130,000 jobs, significantly exceeding the expected 65,000, marking the highest increase since April 2025. The unemployment rate fell to 4.3%, below expectations and the previous rate of 4.4%, reaching a new low since September 2025. The labor force participation rate was 62.5%, higher than anticipated [6][11]. - Job growth was primarily concentrated in the education and healthcare sectors, which contributed nearly 80% of the new jobs. Other sectors like professional services and construction showed modest improvements, while information and finance sectors continued to decline [11][16]. Asset Price Movements - Following the non-farm report, U.S. stock indices and bond yields initially rose before declining, with gold prices experiencing similar fluctuations. After the CPI release, stock indices showed mixed results, while bond yields and the dollar index fell, and gold prices increased [18][20]. - Market expectations for Fed rate cuts fluctuated, with a decrease in anticipated cuts following the non-farm data, but a slight increase after the CPI release. The implied number of rate cuts for 2026 decreased from 2.4 to 2.12 after the non-farm data, while it rose from 2.36 to 2.53 after the CPI data [20][23]. Future Outlook - The combination of strong non-farm data and sticky service inflation suggests that while employment remains resilient, inflation pressures persist. The Fed is unlikely to signal clear easing in the short term, and asset prices will continue to be influenced by these dynamics. A potential shift in policy may occur after the leadership change in May, with the possibility of more significant rate cuts in the latter half of the year [23][24].

Group 1: CPI Analysis - The January CPI in the US was 2.4% year-on-year, lower than expected and the previous value, marking a decline for three consecutive months since September 2025 [3][4] - Core CPI remained at 2.5%, in line with expectations but lower than the previous value, while the seasonally adjusted CPI increased by 0.2%, also below expectations [3][4] - Energy price declines, along with decreases in used car prices and slight slowdowns in housing and food inflation, contributed to the overall CPI being below expectations [4] Group 2: Non-Farm Employment Report - The US added 130,000 non-farm jobs in January, significantly exceeding the expected 65,000, marking the highest increase since April 2025 [6][12] - The unemployment rate fell to 4.3%, lower than the expected and previous rate of 4.4%, reaching a new low since September 2025 [6][12] - Employment improvements were primarily driven by a few sectors, particularly education and healthcare, which contributed nearly 80% of the new jobs, indicating a lack of broad-based recovery [12][14] Group 3: Market Reactions and Interest Rate Expectations - Following the release of the non-farm data, US stock markets, bond yields, and the dollar index experienced fluctuations, while gold prices initially fell before rising [16][17] - Market expectations for Federal Reserve rate cuts fluctuated, with the implied number of cuts for 2026 increasing from 2.36 to 2.53 after the CPI release, indicating a slight warming of rate cut expectations [17][21] - The combination of strong non-farm data and weak CPI has led to a complex interplay in asset prices, with ongoing debates about growth resilience and inflation persistence [21][22]

Employment Data - In January 2026, the U.S. added 130,000 non-farm jobs, significantly exceeding the market expectation of 65,000, marking the highest increase since April 2025[2] - The unemployment rate fell to 4.3%, lower than the expected 4.4% and the previous rate, indicating a new low since September 2025[2] - The labor force participation rate was 62.5%, slightly above the previous value of 62.4%[7] Inflation Data - The January 2026 Consumer Price Index (CPI) showed a year-on-year increase of 2.4%, below market expectations and the previous value, continuing a three-month decline since September 2025[3] - The core CPI remained stable at a month-on-month increase of 0.3%, matching market expectations but higher than the 12-month average of 0.2%[3] - The "super core" CPI recorded a month-on-month increase of 0.59%, significantly higher than the previous month's 0.23%, indicating persistent service inflation[4] Market Reactions - Following the non-farm report, asset prices were volatile, with U.S. stocks initially rising and then falling, while gold prices increased[9] - After the CPI announcement, market expectations for interest rate cuts fluctuated, with the implied number of cuts for 2026 rising from 2.36 to 2.53 times[10] Economic Outlook - The combination of strong employment data and weak CPI suggests a complex economic landscape, with the Federal Reserve likely to maintain a cautious stance on monetary policy in the short term[11] - Significant changes in policy are anticipated post the May 2026 leadership transition at the Federal Reserve, which may open up more room for rate cuts later in the year[12]

来源：熊园-国盛证券首席经济学家 国盛证券宏观分析师，戴琨 事件：美国2026年1月季调后非农就业人口增加13万人，远超市场预期，创2025年4月以来新高；1月失业率4.3%，低于市场预期，创2025年9月以来新 低。美国2026年1月未季调CPI同比2.4%，低于市场预期；季调后环比0.2%，低于市场预期；核心CPI环比0.3%，持平市场预期。 核心结论："强"非农、"弱"CPI先后公布，资产价格明显受扰动，美联储降息预期先降温后再升温。CPI公布后，当前利率期货隐含的2026全年降息次数由 2.36次升至2.53次。两组数据结合看，较弱的CPI一定程度上打消了较强非农带来的鹰派压力。倾向于认为：美联储短期内可能仍难以释放明确的宽松信 号，资产价格仍将围绕增长韧性与通胀粘性的博弈展开震荡；政策空间的真正变化节点大概率出现在5月主席换届之后，交接后Warsh治下联储政策立场 若出现边际调整，叠加经济动能在上半年逐步放缓，下半年降息空间可能明显打开。继续提示：目前市场对美联储丧失独立性的计价可能不足；除降息路 径外，美元流动性也是关注焦点。 | | 权重 | | | 季调后环比 | | | | 未季调同比 | ...

Core Viewpoint - Amazon's stock price has experienced a nine-day decline, entering a technical bear market, making it the second member of the "Mag7" (the seven largest U.S. tech companies) to do so, following Microsoft. The total market value of the Mag7 has decreased by approximately $1.51 trillion this year [1][2]. Group 1: Stock Performance - Amazon's stock closed at $198.79 per share, down over 23% from its recent peak [2]. - Microsoft was the first Mag7 member to enter a bear market, with its stock down 27.8% from its recent high as of Friday's close [2]. - Meta is on the verge of entering a bear market, having declined 19.6% from its peak, just 0.4% away from the 20% threshold [2]. Group 2: Institutional Selling - UBS and Goldman Sachs have significantly reduced their holdings in several major U.S. tech stocks, as indicated in their recent 13F filings with the SEC [2][4]. - UBS reduced its stake in Nvidia by 10.57 million shares, representing an 11.47% decrease, and also reduced its positions in Microsoft, Apple, Amazon, and Google by varying percentages [4]. - Goldman Sachs also reduced its holdings in Microsoft, Tesla, Broadcom, and Meta, with reductions ranging from 5.86% to 13.51% [4]. Group 3: Market Trends and Influences - The decline in the Mag7 stocks coincides with similar trends in the A-share market, indicating a potential shift in global investment styles [5]. - Factors contributing to this trend include investor skepticism regarding the return on investment from AI expenditures by tech giants and a potential negative shift in free cash flow due to increased capital expenditures [5]. - The U.S. short-term liquidity market is showing signs of strain, with overnight reverse repos dropping to a low of $3.77 billion, indicating a tightening liquidity environment [5].

Group 1 - Amazon's stock price has fallen for nine consecutive days, entering a technical bear market, becoming the second member of the "Magnificent Seven" (Mag7) to do so, following Microsoft [1][2] - The total market capitalization of the Mag7 has decreased by approximately $1.51 trillion (about 10.4 trillion yuan) this year [3] - Microsoft was the first Mag7 member to enter a bear market, with its stock price down 27.8% from recent highs as of Friday's close [2][3] Group 2 - UBS and Goldman Sachs have significantly reduced their holdings in several major U.S. tech stocks, as indicated in their recent 13F filings with the SEC [1][5] - UBS reduced its stake in Nvidia by 10.57%, Microsoft by 7.64%, Apple by 10.57%, Amazon by 4.57%, and Google by 9.05% [5] - Goldman Sachs also reduced its holdings in Microsoft by 5.86%, Tesla by 8.27%, Broadcom by 9.33%, and Meta by 13.51% [5] Group 3 - The decline in the Mag7 stocks coincides with similar trends in the A-share market, indicating a potential shift in global investment styles [6] - Factors contributing to these changes include investor skepticism regarding the return on investment from AI spending by tech giants and a potential shift in global liquidity and macroeconomic conditions [7] - The U.S. short-term liquidity market is reportedly experiencing a significant contraction, with overnight reverse repos dropping to a very low level, indicating a tightening of liquidity [7]