证券研究报告 | 2026年03月02日 金融工程日报 沪指震荡微涨，油气、黄金股走强 市场表现：20260302 规模指数中沪深 300 指数表现较好，板块指数中上证 综指表现较好，风格指数中中证 500 价值指数表现较好。石油石化、煤炭、 有色金属、国防军工、通信行业表现较好，传媒、消费者服务、计算机、综 合金融、综合行业表现较差。黄金精选、油气开采、高送转、页岩气、可燃 冰等概念表现较好，小程序、WEB3.0、虚拟人、医保支付改革、互联网营 销等概念表现较差。 市场情绪：20260302 收盘时有 98 只股票涨停，有 24 只股票跌停。昨日涨 停股票今日收盘收益为 2.56%，昨日跌停股票今日收盘收益为-4.94%。今日 封板率 74%，较前日下降 4%，连板率 28%，较前日提升 8%。 市场资金流向：截至 20260227 两融余额为 26692 亿元，其中融资余额 26519 亿元，融券余额 173 亿元。两融余额占流通市值比重为 2.5%，两融 交易占市场成交额比重为 9.7%。 折溢价：20260227 当日 ETF 溢价较多的是中证 500ETF 中银证券，ETF 折价较多的是光伏 ETF ...

证券研究报告 | 2026年02月02日 2026年02月03日 金融工程日报 沪指单边下行险守 4000 点，资源股全线下挫、白酒表现活跃 核心观点 金融工程日报 市场表现：20260202 市场全线下跌，规模指数中上证 50 指数表现较好，板 块指数中北证 50 指数表现较好，风格指数中沪深 300 价值指数表现较好。 食品饮料、银行、电新、家电、电力公用事业行业表现较好，有色金属、钢 铁、煤炭、石油石化、基础化工行业表现较差。特高压、白酒、光纤、培育 钻石、配网等概念表现较好，黄金精选、铅锌矿、黄金珠宝、存储器、磷化 工等概念表现较差。 市场资金流向：截至 20260130 两融余额为 27153 亿元，其中融资余额 26987 亿元，融券余额 166 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 9.4%。 折溢价：20260130 当日 ETF 溢价较多的是 G60 创新 ETF 申万菱信，ETF 折价较多的是现金流 500ETF。近半年以来大宗交易日均成交金额达到 23 亿元，20260130 当日大宗交易成交金额为 16 亿元，近半年以来平均折价率 6.93%，当日折价 ...

证券研究报告 | 2026年02月02日 2026年02月03日 金融工程日报 沪指单边下行险守 4000 点，资源股全线下挫、白酒表现活跃 核心观点 金融工程日报 市场表现：20260202 市场全线下跌，规模指数中上证 50 指数表现较好，板 块指数中北证 50 指数表现较好，风格指数中沪深 300 价值指数表现较好。 食品饮料、银行、电新、家电、电力公用事业行业表现较好，有色金属、钢 铁、煤炭、石油石化、基础化工行业表现较差。特高压、白酒、光纤、培育 钻石、配网等概念表现较好，黄金精选、铅锌矿、黄金珠宝、存储器、磷化 工等概念表现较差。 市场情绪：20260202 市场情绪较为低迷，收盘时有 44 只股票涨停，有 130 只股票跌停。昨日涨停股票今日收盘收益为 0.40%，昨日跌停股票今日收盘 收益为-7.34%。今日封板率 61%，较前日下降 4%，连板率 20%，较前日 提升 10%。 市场资金流向：截至 20260130 两融余额为 27153 亿元，其中融资余额 26987 亿元，融券余额 166 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 9.4%。 折溢价：202 ...

- The report does not contain any quantitative models or factors for analysis[1][2][3]

- The report does not contain any specific quantitative models or factors for analysis[1][2][3] - The report primarily focuses on market performance, sentiment, fund flows, ETF premiums/discounts, block trading discounts, and index futures basis rates, but does not detail any quantitative models or factor construction processes[4][5][6] - No formulas or specific quantitative testing results for models or factors are provided in the report[7][8][9]

证券研究报告 | 2026年01月21日 折溢价：20260120 当日 ETF 溢价较多的是智能电车 ETF 浦银，ETF 折价 较多的是游戏传媒 ETF 浦银。近半年以来大宗交易日均成交金额达到 23 亿 元，20260120 当日大宗交易成交金额为 10 亿元，近半年以来平均折价率 6.75%，当日折价率为 5.88%。近一年以来上证 50、沪深 300、中证 500、 中证 1000 股指期货主力合约的年化贴水率中位数分别为 0.68%、3.79%、 11.11%、13.61%，当日上证 50 股指期货主力合约年化升水率为 1.45%， 处于近一年来 90%分位点，当日沪深 300 股指期货主力合约年化贴水率为 0.04%，处于近一年来 91%分位点；当日中证 500 股指期货主力合约年化升 水率为 2.57%，处于近一年来 98%分位点；当日中证 1000 股指期货主力合 约年化贴水率为 1.40%，处于近一年来 98%分位点。 机构关注与龙虎榜：近一周内调研机构较多的股票是帝科股份、润丰股份、 海康威视、埃科光电、苏盐井神、中创智领、阿拉丁、英联股份等，帝科股 份被 123 家机构调研。20260 ...

- The report does not contain any quantitative models or factors for analysis[1][2][3]

- No quantitative models or factors were mentioned in the provided content

Market Performance - The Shanghai 50 Index performed well today, increasing by 0.09%, while the CSI 300 Index decreased by 0.33% and the CSI 500 Index fell by 0.80% [4] - The North Exchange 50 Index showed strong performance, rising by 0.87%, while the Shenzhen Composite Index and the ChiNext Index both declined [4] - The oil and petrochemical, banking, real estate, home appliance, and media sectors performed well, with returns of 1.55%, 0.94%, 0.88%, 0.84%, and 0.56% respectively [8] Market Sentiment - At the close, 74 stocks hit the daily limit up, while 8 stocks hit the limit down [12] - Stocks that were limit up yesterday had a closing return of 2.18%, while those that were limit down had a return of -0.81% [14] - The sealing rate was 71%, down 7% from the previous day, while the consecutive sealing rate increased by 12% to 28% [16] Market Capital Flow - As of October 21, 2025, the margin trading balance was 24,443 billion yuan, with a financing balance of 24,273 billion yuan and a securities lending balance of 170 billion yuan [18] - The margin trading balance accounted for 2.5% of the total market capitalization, and margin trading represented 11.5% of the market turnover [20] Premium and Discount - On October 21, 2025, the oil and gas ETF had the highest premium at 0.97%, while the Innovation 100 ETF had the highest discount at 0.69% [24] - The average discount rate for block trades over the past six months was 6.15%, with a discount rate of 5.54% on the same day [26] Institutional Attention and Rankings - The stocks with the most institutional research in the past week included Huace Detection, Shiyuan Co., and Jiuzhou Pharmaceutical, with Huace Detection being researched by 118 institutions [31] - The top ten stocks with net inflows from institutional special seats included Rongxin Culture, Kebo Da, and Te Yi Pharmaceutical [34] - The top ten stocks with net outflows from institutional special seats included Lanfeng Biochemical, Hezhu Intelligent, and Haima Automobile [34]

- The report discusses the performance of various indices on October 9, 2025, highlighting that most indices were in an upward trend, with the CSI 500 Index performing particularly well, increasing by 1.84%[6] - The Sci-Tech Innovation 50 Index also showed strong performance, rising by 2.93%[6] - The CSI 500 Value Index was the best-performing style index, increasing by 1.75%[6] - The report provides detailed data on the performance of different sectors, with the non-ferrous metals sector showing the highest return of 7.54%[7] - The report includes information on market sentiment, noting that 98 stocks hit the daily limit up and 26 stocks hit the daily limit down on October 9, 2025[13] - The report also covers the financing and securities lending balance, which stood at 24,455 billion yuan as of October 9, 2025, with a financing balance of 24,292 billion yuan and a securities lending balance of 164 billion yuan[18] - The report provides data on the premium and discount rates of ETFs, with the highest premium being 1.38% for the ChiNext 50 ETF and the highest discount being 0.55% for the Shanghai-Hong Kong-Shenzhen 500 ETF[22] - The report includes information on block trading, noting that the average discount rate over the past six months was 6.10%, with a discount rate of 4.47% on September 30, 2025[25] - The report discusses the annualized discount rates of stock index futures, with the CSI 500 Index futures having an annualized discount rate of 8.64% on October 9, 2025[27] - The report provides data on institutional research, noting that Jiufeng Energy was the most researched stock in the past week, with 110 institutions conducting research on it[29] - The report includes data on the top ten stocks with the highest net inflows and outflows from institutional seats and Northbound funds on October 9, 2025, with Ganfeng Lithium having the highest net inflow[35][36]