短期不必把两个市场挂钩挂得很紧。 随着人民币汇率波动加大，市场对股汇联动的关注度有所提升，关于"人民币汇率重估将推动中国资产重估"等说法的声量渐高。 "这其中存在三大误解。"1月10日，中银证券全球首席经济学家管涛在第三十届（2026年度）中国资本市场论坛上提示，汇率更多时候起到"减震器"作用， 短期内不必把两个市场挂钩挂得很紧。 首先是关于股市汇市同涨同跌的误解。管涛以日本和印度举例说，股市和汇市虽然都属于资产价格，但是又受到不同因素的影响，某些时候是同涨同跌，大 部分时候是被各自的因素驱动。"股市上涨、资产价格重估就一定要汇率上涨"的观点站不住脚。 其次是关于"汇率升值就意味着资本流入，汇率贬值就意味着资本外流"的误解。"实际上，影响资本流动的决定因素不是汇率，是国际收支结构。"管涛举例 说，2025年美国和中国的情况都可以证伪上述观点。 "比如，（去年）美国是结构性的贸易逆差，所以美国就是资本流入。而且不要以为去年美元跌了，美国资本流入就少了，去年前三个季度美元指数跌了 9.8%，根据美国财政部的国际资本流动报告（TIC），美国去年证券投资项下的资本净流入同比增长38%，其中私人外资净流入同比增长83% ...

2016年以来，港股与人民币的正相关关系较为显著；然而，近期人民币快速升值，港股却一度"踟蹰不 前"。股汇联动背后的逻辑、谁是谁的"影子"、未来可能的演绎？供参考。 一、热点思考：人民币与港股，谁是谁的"影子"？ （一）人民币汇率与港股的"羁绊"？正相关关系显著，但近期明显背离 历史回溯来看，人民币与港股有着显著的正相关关系； 但近期人民币快速升值，港股却仍走弱 。2016年 以来，港股与美元兑人民币的负相关悉数高达-0.54；当人民币月涨幅超过1.5%时，恒生指数当月有 93.5%的概率上涨。然而，11月13日以来，人民币快速升值1.9%，恒生指数却下跌4.8%、与汇率显著背 离；这是2016年以来12次人民币升值中第3次出现的股汇背离。 人民币升值时，港股盈利、资产的重估效应与外资的回流，或是港股上涨的主因。 1）货币价值重估， 当人民币升值时，港股公司赚取的人民币利润折算成港币时会放大。2）资产重估效应，在港上市地产股 等底层资产以人民币计价，在升值时会面临价值重估。3）全球配置的比较效应，人民币汇率走强多指向 中国基本面具有一定相对优势，这会令全球投资者配置更多中国资产。 （二）人民币升值，港股缘何不 ...

2026 年 01 月 05 日 人民币与港股，谁是谁的"影子"？ 证 券 研 究 报 告 宏 观 研 究 汇率双周报系列之七 证券分析师 赵伟 A0230524070010 zhaowei@swsresearch.com 董易 A0230519110003 dongyi@swsresearch.com 王胜 A0230511060001 wangsheng@swsresearch.com 陈达飞 A0230524080010 chendf@swsresearch.com 李欣越 A0230524080004 lixy@swsresearch.com 赵宇 A0230524080007 zhaoyu2@swsresearch.com 王茂宇 A0230521120001 wangmy2@swsresearch.com 联系人 李欣越 A0230524080004 lixy@swsresearch.com 本研究报告仅通过邮件提供给 中庚基金 使用。1 2016 年以来，港股与人民币的正相关关系较为显著；然而，近期人民币快速升值，港股却一度 "踟蹰不前"。股汇联动背后的逻辑、谁是谁的"影子"、未来可能的演绎？供 ...

随着美元指数连续走弱，包括人民币在内的非美货币持续走强。 11月27日，人民币对美元即期汇率盘中最高升至7.0738，较前一交易日高点进一步走强，连续三个交易 日创下去年10月中旬以来的新高。 更多反映国际投资者预期的离岸人民币对美元汇率在前一交易日创下一年多新高后11月27日进一步走 强，盘中最高升至7.06527。 在创下新高后，午后，人民币对美元汇率在在岸和离岸市场双双小幅走弱，跌破7.08。 兴业研究指出，人民币兑美元短线升破7.10，11月27日盘中最低触达7.0738，向中间价靠拢，昨日中间 价受股市反弹提振，开在7.08以下。短线关注股汇联动的持续性，突破7.10后下一关键支撑为7.05。 东方金诚首席宏观分析师王青11月27日表示，人民币走势偏强，会提振资本市场信心，也会吸引更多海 外资金流入国内资本市场，并与汇市走强形成良性联动。综合各类影响因素，预计短期内人民币还会处 于偏强运行状态，接下来要重点关注美元走势、人民币中间价调控力度，以及国内稳增长政策的力度和 节奏。其中，伴随美联储未来还可能继续降息，以及特朗普政府关税政策对美国经济冲击逐步显现，美 元指数上行空间有限；不过，年初以来美元跌 ...

Core Insights - In September 2025, China's bank settlement and sales surplus reached $51 billion, the highest monthly figure since December 2020, indicating a significant shift in cross-border capital flow back to China [1][3] - The total bank settlement in September was $264.7 billion, with sales at $213.6 billion, resulting in a substantial surplus that reflects a fundamental change in corporate financial strategies [3][4] - The depreciation risk of the US dollar, coupled with expectations of further interest rate cuts by the Federal Reserve, has prompted companies to accelerate the conversion of their dollar assets back to RMB [4][5] Group 1 - The net inflow of foreign capital into China reached $93.1 billion in the first three quarters of 2025, marking four consecutive quarters of net inflow [6] - The onshore RMB appreciated from 7.1805 to 7.1330 against the US dollar by August 2025, the highest level in nearly ten months, supported by increased capital inflows [6] - The appreciation of the RMB is expected to further increase the settlement ratio of exporters, potentially leading to additional RMB strengthening [6][9] Group 2 - The stock market is experiencing a systemic revaluation, with the Shanghai Composite Index reaching new highs, indicating strong investor sentiment [6] - A 1% appreciation of the RMB could lead to approximately a 3% increase in the Chinese stock market, creating a "Davis Double Play" effect for international investors [6] - Different industries are experiencing varied impacts from RMB appreciation, with import-dependent sectors like aviation benefiting from reduced procurement costs [6][8] Group 3 - Foreign investment strategies in Chinese assets are diversifying, with a focus on "growth leaders and high-dividend blue chips," particularly in technology and industrial sectors [8] - The shift in capital flow patterns is creating more room for monetary policy adjustments, with continuous surpluses in bank settlements since March 2025 [8][9] - The current market dynamics are fostering a positive feedback loop between RMB appreciation and stock market performance, enhancing liquidity and potentially lowering financing costs [9]

Core Viewpoint - The Chinese yuan has appreciated against the US dollar, reaching a new high since November 2024, driven by both internal and external factors [1][4][11]. Exchange Rate Movements - On October 15, the central bank set the yuan's midpoint at 7.0995 against the dollar, up 26 basis points from the previous day [1]. - The onshore yuan closed at 7.1238, rising 173 points, while the offshore yuan reached 7.13140, appreciating 0.12% [3]. - Year-to-date, the onshore yuan has appreciated by 2.40%, and the offshore yuan by 2.79% [3]. Economic Indicators - In September, the Producer Price Index (PPI) fell by 2.3% year-on-year, a decrease of 0.6 percentage points from the previous month, while the Consumer Price Index (CPI) dropped by 0.3% year-on-year [3]. - The core CPI, excluding food and energy, rose by 1.0%, marking the first increase in 19 months [3]. External Factors Influencing Yuan Strength - The US economy is facing recession risks, leading to expectations of interest rate cuts by the Federal Reserve, which has weakened the dollar [4][11]. - The strong performance of the A-share market has attracted international capital back to Chinese assets, increasing demand for the yuan [4][12]. Yuan Index Performance - The CFETS yuan index rose to 97.32, the BIS index to 103.43, and the SDR index to 91.89, all reaching new highs since April 2025 [5][7]. Long-term Outlook for Yuan - Analysts suggest that the yuan may have entered a long-term appreciation cycle, supported by a favorable economic environment and structural adjustments [13][14]. - The relative economic strength of China compared to the US is expected to provide solid support for the yuan's value [14][15].

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core View of the Report - The probability of the USD/CNY spot exchange rate returning to the "6 era" within the year is still low, but it has increased compared to the previous expectation. The operating range is likely to be between 6.90 - 7.25, with the core fluctuation range more concentrated between 7.00 - 7.20. The overall appreciation space is relatively limited, but the depreciation momentum is accumulating [1]. - The USD/CNY spot exchange rate in Q4 2025 may have potential conditions for upward - fluctuating, but the actual increase depends on the central bank's policy attitude and regulatory signals, as well as the verification of the Chinese economy [2][19]. - The potential capital inflow can provide phased support for the RMB, but its sustainability and actual impact scale should not be linearly extrapolated. The Q4 2025 operating environment of the USD/CNY spot exchange rate will probably be in the cycle combination of "loose money and weak broad credit", which provides a core operating basis for "slowing down the appreciation rhythm" [3]. - The US dollar index is expected to be volatile and weak, with an operating range of 95 - 102 [6]. - The potential "US dollar settlement wave" has increased the probability of the USD/CNY spot exchange rate falling to the "6 era" within the year, although its formation is still restricted by multiple factors [7][90]. 3. Summary According to Relevant Catalogs 3.1 Main Views - **Strategy Suggestions** - **Arbitrage Strategy**: Given the expected increase in the volatility of the USD/CNY spot exchange rate in Q4 compared to Q3 but still in a historically low range, a short straddle option strategy can be adopted, selling both out - of - the - money call and put options [1]. - **Hedging Strategy** - **For Purchasing Foreign Exchange**: Prioritize forward exchange locking. Start at the low - middle level (7.00 - 7.10) of the core exchange rate range, and lock 60% - 80% of the positions in batches. If the exchange rate briefly falls to 6.90 - 7.00, an additional 20% - 30% can be locked. For those with non - fixed payment cycles, a combination of "forward exchange locking + optional transaction" can be used [1]. - **For Settling Foreign Exchange**: Anchor at the upper limit of the range. When the exchange rate reaches 7.18 - 7.20, settle 30% - 40% of the US dollars. If it breaks through 7.20, an additional 20% - 30% can be settled [1]. 3.2 Market Conditions and Core Concerns 3.2.1 Market Volatility Conditions - The USD/CNY spot exchange rate maintained a low - volatility operation in Q3 2025. Whether it can increase volatility in Q4 depends on factors such as macro - narrative changes, market trading volume, and the central bank's policy [10][19]. - **Macro - Narrative Perspective**: The shift from low - to high - volatility of the USD/CNY spot exchange rate is related to major macro - narrative changes, following a cycle of "narrative turning - divergence intensifying - volatility rising - cognition converging - volatility converging - new narrative starting". The next potential macro - narrative that may drive volatility is the "Fed's monetary policy shift (substantial and high - rhythm interest rate cuts)" [20]. - **Market Driving Force Perspective**: The inquiry trading volume of the USD/CNY spot exchange rate is positively correlated with its implied volatility. An increase in trading volume may indicate an increase in volatility. Currently, the three indicators (offshore - onshore spread, risk - reversal option, and RMB non - deliverable forward) show relatively stable market expectations for the RMB's appreciation and depreciation. If the trading volume remains above $35 billion, the market may accumulate upward volatility momentum [22][31]. - **Central Bank's Policy Perspective**: The central bank's exchange - rate management in Q4 focuses on the "dynamic balance between enhancing flexibility and preventing risks". It will adopt a "discretionary" approach, adjusting policy tools according to market dynamics. The RMB exchange rate is difficult to form a smooth appreciation or depreciation trend [34][38]. 3.2.2 Stock - Exchange Linkage - The stock market and the foreign - exchange market are related through capital flow and market expectation. The recent "residential deposit migration" to the stock market has provided incremental funds for the A - share market, which is driven by the decline in bank deposit interest rates and the increase in the attractiveness of equity assets [43][49]. - However, the "residential deposit/ total market value" chart has three core flaws and cannot be used as direct evidence of "residential deposit migration". The potential capital inflow can provide phased support for the RMB, but its sustainability and scale depend on the long - term investment attractiveness of the stock market and the domestic economic fundamentals [53][55]. - The Q4 2025 operating environment of the USD/CNY spot exchange rate is likely to be in the cycle of "loose money supply and weak credit expansion", with the appreciation rhythm slowing down. The probability of the RMB forming a trend - based appreciation against the US dollar within the year is still low, but the probability of the RMB exchange rate returning to the "6 era" has increased [63][64]. 3.2.3 External Weak US Dollar Environment - The Fed's interest - rate cut amplitude and rhythm depend on the evolution path of the US economic fundamentals. The September 2025 25 - basis - point interest - rate cut and the weak non - farm employment data have made the issue of "whether the US economy is facing a recession" a key concern [66]. - **Economic Level**: The current US employment market has slowed down but not stalled. Inflation pressure and real - estate market risks restrict the Fed from implementing substantial interest - rate cuts within the year [71][72]. - **Policy Level**: Politically, the short - term policy is likely to remain on the "gradual adjustment" track. If the Fed's independence is interfered with, it may lead to more and larger - scale interest - rate cuts. Overall, the US dollar index is expected to operate in the range of 95 - 102 [73][76]. 3.2.4 US Dollar Settlement Wave - The formation of the US dollar settlement wave has a solid capital foundation, but it also depends on the effective cooperation of enterprise settlement willingness. The factors affecting the RMB exchange rate returning to the "6 era" include the central bank's exchange - rate intermediate - price control, the attractiveness of the domestic equity market, the trend of the US dollar index, and the behavior of enterprises in foreign - exchange transactions [7][85]. 3.3 Q4 Exchange - Rate Trend Judgment - **Benchmark Scenario**: In the context of the Fed's cautious interest - rate cut and the weak recovery of the domestic economy, the USD/CNY spot exchange rate is expected to fluctuate in the range of 7.00 - 7.20, with the depreciation momentum gradually accumulating. There are uncertainties in the domestic economic recovery process and the Fed's interest - rate cut rhythm [91]. - **Upward Risk**: Factors such as the unexpected rebound of US inflation, strong US economic data, a change in global risk preference, and uncertainties in the domestic economic recovery may cause the RMB to face short - term depreciation pressure and may briefly break through the 7.20 mark [91][92]. - **Downward Risk**: If the US inflation continues to fall, the domestic economic recovery exceeds expectations, and domestic policies are actively implemented, the RMB may appreciate, and the USD/CNY spot exchange rate may fall below 7.0 [92]. 3.4 Strategy Suggestions - **Arbitrage Strategy**: In a low - volatility environment, a short straddle option strategy can be adopted, selling both out - of - the - money call and put options. Attention can also be paid to volatility surface arbitrage opportunities, such as constructing a position of "selling near - month straddle combinations + buying far - month straddle combinations" when the near - month implied volatility is significantly higher than the far - month [94]. - **Hedging Strategy** - **For Purchasing Foreign Exchange**: Prioritize forward exchange locking. Start at the low - middle level (7.00 - 7.10) of the core exchange - rate range, and lock 60% - 80% of the positions in batches. For those with non - fixed payment cycles, a combination of "forward exchange locking + optional transaction" can be used [95]. - **For Settling Foreign Exchange**: Anchor at the upper limit of the range. When the exchange rate reaches 7.18 - 7.20, settle 30% - 40% of the US dollars. If it breaks through 7.20, an additional 20% - 30% can be settled, leaving 20% - 30% for subsequent fluctuations [96]. - **Common Risk Warnings** - Avoid excessive speculation and adhere to the "risk - neutral" principle, with the hedging scale matching the actual trade volume [97]. - Dynamically track policies and the market. Adjust hedging positions in time if the USD/CNY spot exchange rate breaks through 7.25 or falls below 7.0 [99]. - Select appropriate tools. Small and medium - sized enterprises should give priority to simple tools such as forwards and options, while large enterprises can combine futures and other tools to optimize strategies but need to be equipped with a professional foreign - exchange management team [99].

Group 1 - The People's Bank of China announced a slight depreciation of the RMB against the USD, with the central parity rate set at 7.1064, down 12 basis points from the previous day [1] - Hedge funds are increasing bets on RMB appreciation, with the implied volatility curve for 3-month USD/RMB options indicating a bullish trend for the RMB [1] - The trading volume for foreign exchange options reached a new high since 2015, driven by exporters buying USD/RMB put options to hedge against exchange rate risks as the RMB appreciates [1] Group 2 - Foreign capital is accelerating its inflow into the Chinese stock market, with A-share market activity increasing and margin trading balances hitting historical highs [1] - Analysts suggest that the pricing logic for the RMB exchange rate will become more complex by 2025, with the central bank's management of exchange rate expectations becoming crucial [2] - The RMB exchange rate is expected to remain stable within a reasonable range, with a potential short-term upward trend, while factors such as USD movements and export data should be monitored [2]

Group 1 - The A-share market experienced a significant rebound on August 28, with all three major indices rising after initially dipping below 3,800 points, indicating a potential bullish trend [2] - The offshore and onshore RMB/USD exchange rates both surpassed the 7.13 mark, reaching a new high for the year, suggesting a renewed correlation between currency strength and stock market performance [2][3] - The People's Bank of China set the RMB/USD central parity rate at 7.103 on August 29, marking the fifth consecutive increase and reflecting a proactive approach to stabilize the currency [2] Group 2 - The recent appreciation of the RMB is attributed to both external and internal factors, including expectations of a potential interest rate cut by the Federal Reserve and proactive domestic policies [2][3] - Historical data shows a significant correlation between RMB exchange rates and stock market performance, with a stronger RMB potentially boosting foreign investment confidence and improving asset valuations in China [3][4] - The trend of foreign capital increasing its allocation to Chinese equity assets is evident, with a net increase of $10.1 billion in domestic stocks and funds in the first half of the year [4] Group 3 - The expectation of RMB appreciation has led to an acceleration in currency conversion by exporters, with the single-month conversion rate reaching 54.9% in July, the highest since September 2024 [4] - The market anticipates that the RMB exchange rate could appreciate to around 6.76 in three years, driven by factors such as potential Fed rate cuts and the impact of trade policies on the US economy [5] - Despite the positive outlook, there are concerns regarding the uncertain export and trade environment, which may lead to cautious policy measures to control the pace of RMB appreciation [6]

Core Viewpoint - The article discusses the recent strengthening of the Chinese yuan against the US dollar and its implications for the A-share market, suggesting a potential bullish trend driven by both internal and external factors [2][3][4]. Group 1: Currency Dynamics - The yuan's appreciation is attributed to a combination of external factors, such as the Federal Reserve's potential policy adjustments, and internal factors, including proactive guidance from the People's Bank of China [2][3]. - The yuan's recent performance shows a "lagging" phenomenon, with a 1.2% increase in the yuan's middle rate against the dollar since January, while the dollar index has depreciated by approximately 10% [3]. Group 2: Stock Market Interaction - Historical data indicates a significant correlation between the yuan's exchange rate and the stock market, with the recent V-shaped rebound in A-shares occurring simultaneously with the yuan's appreciation [4][5]. - The strengthening yuan is expected to boost foreign investor confidence and improve the valuation of Chinese assets, particularly benefiting sectors like consumer goods and domestic demand [5][6]. Group 3: Capital Flow and Investment Trends - There is a noticeable trend of foreign capital increasing its allocation to Chinese equity assets, with a net increase of $10.1 billion in domestic stocks and funds in the first half of the year [5]. - The expectation of the yuan returning to the 6 range, combined with effective exchange rate appreciation, could enhance the attractiveness of Chinese equity assets, leading to a comprehensive revaluation [5][6]. Group 4: Policy Considerations - The People's Bank of China is likely to maintain a cautious approach to controlling the pace of yuan appreciation to avoid negative impacts on the real economy and employment [6][7]. - Despite potential constraints on the yuan's appreciation path, a new round of asset revaluation in China may be underway, particularly for companies that can leverage both currency appreciation and industry breakthroughs [6][7].