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行业间交易波动率升至高位,市场情绪得分进一步回落——量化择时周报20260308
申万宏源金工· 2026-03-09 07:31
Group 1 - Investor sentiment has been declining throughout the week, with the market sentiment indicator dropping to 1.40 from 1.85, indicating a neutral to bearish outlook [4][5][8] - The industry trading volatility has been rising, suggesting increased sector rotation, while the price-volume consistency indicator has slightly decreased, reflecting a neutral sentiment overall [8][12][16] - The average daily trading volume for the entire A-share market decreased by 26.52% to 17,932.48 billion, indicating reduced market activity compared to the previous week [12][14] Group 2 - The short-term scores for industries such as utilities, oil and petrochemicals, coal, environmental protection, and transportation are leading, with utilities scoring 100, indicating strong short-term performance [31][32] - The model indicates that the banking sector's short-term score is rising, and both value and large-cap styles are currently favored [31][40] - The correlation between industry congestion and weekly price changes is low at 0.39, suggesting that high congestion sectors like oil and petrochemicals are experiencing significant price increases, while low congestion sectors like retail and real estate may have better long-term value [35][38]