证券研究报告 | 金融工程 2026 年 1 月 11 日 情绪面仍为强支撑，但短期盘整概率有所增加 定期报告 ——A 股趋势与风格定量观察 20260111 ❑ 风格轮动：本周末成长价值轮动模型建议超配成长，小盘大盘轮动模型建议 超配小盘，故综合推荐小盘成长风格。 风险提示：择时和风格轮动模型结论基于合理假设前提下结合历史数据统计规 律推导而出，市场环境变化下可能导致出现模型失效风险。 敬请阅读末页的重要说明 ❑ 择时观点上，本周维持震荡偏乐观。1）建议至少维持半仓参与：基本面 数据进一步超预期且情绪面强势，未明显缩量前战略上不适合过于谨慎； 2）短期震荡整理概率增加，保持耐心：国内基本面改善仍非需求侧主 导，新增融资买入额快速上升积累风险。此外，年后海外地缘风险持续上 升且美债收益率和美元短期上行，非美地区流动性风险或再度成为压制。 ❑ PMI 与通胀数据均超预期，但结构性问题尚存，持续性有待验证。 12 月 制造业 PMI 录得 50.10，超出市场预期与季节性水平。不过，在年后全球 地缘风险上升的情况下，PMI 新订单出口能否继续超预期存疑。12 月 CPI/PPI 同比录得 0.8%/-1.9%，同 ...

A股后市会如何表现？未来又该如何投资？ 影响涨跌的最核心因素就是资金面。最近上涨的增量资金从何而来？广发基金投顾团队分析指出，从资 金面来分析，首先可以观察到险资等长线资金参与股票投资的比例显著增加。在多个引导长期资金增加 股票投资的政策支持下，从最直接的"险企股票投资的账面余额"来看，虽然暂时只有2025年三季度的数 据，但已经能清楚地看到保险机构在股票投资上的大举投入。截至2025年三季度末，险企股票投资的账 面余额为3.62万亿元，较2024年末相比，增加了1.19万亿元，增幅近五成。其次，融资仍然活跃。截至1 月7日，两融余额达2.6万亿元，较上年同期规模增长41%。而1月7日，融资买入额占A股当日交易额的 11.47%。其中，2025年12月17日-2026年1月7日，融资净买入额最多的行业是半导体、军工电子、通信 设备、工业金属、消费电子，融资净买入额最少的行业是白酒、证券、计算机设备、医疗服务、乘用 车，涨幅基本与融资净买入额成正相关。外资方面，增量资金还有待提升。截至2025年12月31日，外资 仍然没有呈现出显著的净流入。不过，目前高盛等多家知名机构均表明看好2026年A股的机会，后续外 资 ...

中午时间紧张，重点分析上证50指数和创业板指数，下午收盘之后，再重点分析上证指数和科创50指数。 一、大盘指数分析 先分析上证50指数。 上证50指数，日线级别的走势来看，到今天为止，最近一段上涨，走到了第九个有效周期，今天和明天都是变盘节点。最近走势，尽管指数不断上涨，但 是成交量始终没有有效放大，运行到前期高点附近，正是需要筹码充分换手的时候。因此，这个位置也有震荡需求。 周一早盘，沪深A股主要的大盘指数涨跌互现，创业板指数表现比较弱。盘面上看，多数个股下跌，人气比较低迷。周一午后，A股走势基本明朗。 创业板指数，日线级别的走势来看，过去五个交易日，走出了五连阳，成交量始终没有有效放大，同时日K线连续释放了调整信号。周期面来看，截止到 上周五，走了五个有效的调整周期，该指数有小幅度震荡调整的需求。 六十分钟级别的走势来看，早盘两个小时，该指数上下震荡，走出了宽幅震荡K线。最近一轮上涨，在级别走出了明显的上涨幅度，有回踩需求，因此， 午后创业板指数有望继续调整。 二、总结 现在的A股，只要大盘没有大跌，个股的结构性行情会不断上演。但是，这需要趋势正确，不然会陷入漫长的亏损。只有做好趋势交易，才能实现稳定的 ...

Market Index Analysis - The major A-share indices showed mixed performance on Monday, with expectations for upward movement in the afternoon session, which aligned with the actual market behavior [1] - The analysis focused on the Shanghai Composite Index and the ChiNext 50 Index, indicating a potential for upward movement in the Shanghai Composite Index [1][2] Shanghai Composite Index - The Shanghai Composite Index experienced a rebound after hitting a low, with a daily candlestick showing a strong entity and a notable lower shadow, suggesting short-term upward momentum may be insufficient [4] - The previous day's candlestick also indicated a potential adjustment signal, with consistent signals over the last two trading days [4] - Short-term projections suggest a possible rise to 4025 unless a significant bullish candlestick pattern emerges to alleviate adjustment pressure [4] ChiNext 50 Index - The ChiNext 50 Index displayed a small candlestick with a long upper shadow last Friday, indicating a clear adjustment signal, which continued into the current session [7] - The closing candlestick for today also showed a small entity and a long lower shadow, reinforcing the adjustment signal, with expectations for further adjustments on Tuesday [7] - The hourly chart indicated a series of downward movements followed by a slight rebound, but the upward movement was limited [7] Overall Market Sentiment - The current A-share market is characterized by structural trends in individual stocks as long as the overall market does not experience significant declines [8] - Successful trading relies on correctly identifying trends, with a focus on K-line analysis, patterns, and central structures to accurately gauge price fluctuations [8] - The strategy emphasizes entering positions during pullbacks after structural breakouts, highlighting the importance of trend trading for stable profits [8]

Market Overview - The major indices of the A-share market experienced a rebound after hitting a low, with most stocks declining and 10 stocks hitting the limit down, indicating low market sentiment [1] - In the afternoon, there was a slight upward movement in the A-share market [1] Index Analysis Shanghai Composite Index - The Shanghai 50 Index showed a significant increase last Thursday, but the corresponding trading volume shrank, indicating a potential adjustment signal [5] - Today marks the fourth effective cycle, with today and tomorrow being critical turning points, suggesting the index is in an adjustment phase [5] - The first hour of trading saw eight effective cycles, with the second hour marking the ninth effective cycle, leading to a rebound [5] - The afternoon session saw limited upward movement in the Shanghai 50 Index, with caution advised against potential pullbacks [5] ChiNext Index - The ChiNext Index also showed a significant increase last Thursday, but with declining trading volume and a pullback on Friday, indicating ongoing adjustment signals [8] - Today opened high and continued to rise, which contradicts previous signals, suggesting a potential for high-level fluctuations over the next two trading days until a turning point is reached [8] - The first hour of trading last Friday marked a turning point, leading to two hours of upward movement, with expectations of continued fluctuations in the afternoon [8] Conclusion - The current A-share market is likely to see structural trends in individual stocks as long as the major indices do not experience significant declines [8] - Successful trading requires correct trend identification to avoid prolonged losses, emphasizing the importance of trend trading for stable profits [8] - The analysis of K-lines, patterns, and central structures can help accurately grasp price fluctuations, with structural breakouts followed by pullbacks serving as entry points [8]

Group 1 - The report indicates that trading sentiment is warming up, with asset linkage indicators showing a recovery from historical lows. The equity risk premium (ERP) is currently below one standard deviation, suggesting improved relative value for stocks compared to bonds [2][19]. - The overall A-share index PE valuation stands at 20.4, with most broad-based indices having PE valuations above the 50% historical percentile, while the ChiNext index is at a low historical percentile of around 15% [2][20]. - The report highlights a rise in trading activity, with turnover rates and transaction volumes increasing compared to the previous month, indicating sustained market enthusiasm [2][27]. Group 2 - The report notes that the proportion of stocks above the 50-week moving average has increased to 82.58%, indicating a positive trend in individual stock performance [38]. - The buyback scale has risen to 14.837 billion, reflecting a trend where companies are repurchasing shares, often seen as a sign of confidence in their valuation [41]. - The net reduction in industrial capital reached 30.359 billion, indicating a widening scope of capital reduction compared to the previous month, which may reflect concerns about stock valuations [45]. Group 3 - The report states that the equity risk premium (ERP) is at 3.20%, which is below the historical average and indicates a potential for upward movement in stock valuations [19]. - The market configuration indicators show a high degree of valuation dispersion, with the valuation variation coefficient at 0.835, suggesting a relatively high risk environment [24]. - The report emphasizes that 90% of industries are showing positive monthly trends, indicating a broad-based recovery in market sentiment [35].

Group 1 - The report indicates that trading sentiment is gradually warming up, with market allocation indicators continuously improving and asset linkage indicators remaining at historical extreme levels [2] - The relative value of stocks compared to bonds is at historical extremes, with the equity risk premium (ERP) near one standard deviation [2][4] - The overall A-share index PE valuation is at 19.9, with most broad-based index PE valuations above the 50% historical percentile, while the ChiNext index PE valuation is around the 10% historical percentile, indicating relative undervaluation [2][17] Group 2 - Trading indicators have shown a month-on-month recovery, suggesting that market trading sentiment is gradually warming from a stage bottom [2] - The proportion of stocks above the 50-week moving average has increased compared to the previous month, indicating a positive trend in individual stocks [2][34] - The monthly maximum daily trading volume accounted for 47% of the previous high, showing a recovery in market trading activity [2][28] Group 3 - The report highlights that the net reduction of industrial capital reached 19.475 billion yuan in June 2025, indicating an increase in the scale of net reduction compared to the previous month [2][40] - The three major funding entities' indicators have shown a recovery, with financing balances and newly established fund shares increasing compared to the previous month [2][43] - The stock repurchase scale has decreased to 12.612 billion yuan, reflecting a decline in repurchase activity compared to May [2][37]

Market Overview - On June 17, the A-share market experienced slight fluctuations, with the Shanghai Composite Index facing resistance around 3392 points[3] - The Shanghai Composite Index closed at 3387.40 points, down 0.04%, while the Shenzhen Component Index closed at 10151.43 points, down 0.12%[9] - Total trading volume for both markets was 12,438 billion yuan, a decrease from the previous trading day[9] Sector Performance - Strong performing sectors included batteries, consumer electronics, shipping ports, and medical devices, while jewelry, gaming, biopharmaceuticals, and cultural media sectors lagged[4] - Over 50% of stocks in the two markets declined, with mining, batteries, shipping ports, gas, and energy metals showing the highest gains[9] Valuation and Investment Strategy - The average P/E ratios for the Shanghai Composite and ChiNext indices are 13.90 times and 37.06 times, respectively, indicating a mid-level valuation over the past three years, suitable for medium to long-term investments[4] - The report suggests focusing on investment opportunities in consumer electronics, batteries, shipping ports, and medical devices in the short term[4] Economic Context - China's economy continues to show moderate recovery, with consumption and investment as core drivers[4] - The market anticipates that the Federal Reserve may implement its next interest rate cut as early as September, contributing to a more accommodative overseas liquidity environment[4] Risks - Potential risks include unexpected overseas economic downturns, domestic policy and economic recovery delays, and international relations changes affecting the economic environment[5]

Group 1 - The major indices of the A-share market are expected to adjust after a period of optimism following favorable news announcements [1][2] - The Shanghai Composite Index and the ChiNext Index are highlighted for analysis, with a focus on their recent performance and potential adjustments [2][6] - The Shanghai 50 Index shows signs of adjustment with a notable reduction in trading volume, indicating insufficient upward momentum [5][8] Group 2 - The ChiNext Index has experienced a relatively strong performance but lacks significant trading volume, suggesting limited upward momentum [8] - Both indices are at critical turning points, with the potential for further adjustments in the near term [5][8] - The current A-share market environment allows for structural opportunities in individual stocks, provided the overall trend remains stable [8]

Market Index Analysis - The Shanghai Composite Index has completed eight effective upward cycles as of April, indicating that the ninth and tenth cycles are potential turning points for significant price movements [1][3] - The weekly analysis shows that the recent rebound followed four effective adjustment cycles, with the target being the five-week moving average, which has been reached [1][3] - The mid-term turning point for the market indices is expected to be after mid-June, with a likelihood of adjustments and a formation of a larger mid-term bottom [3][4] Sci-Tech Innovation 50 Index - The Sci-Tech Innovation 50 Index has also completed eight effective cycles, with June and July marking the ninth and tenth cycles, respectively, which are potential turning points [4] - The weekly analysis indicates that the recent rebound is a result of four weeks of effective adjustments, with three to four more cycles needed before reaching a turning point [4] - The index is expected to primarily adjust in the coming weeks, forming a stage bottom [4][6] Short-term Outlook - The short-term outlook for the Shanghai Composite Index suggests a high probability of a slight increase on Tuesday, potentially leading to a positive opening [6] - The current A-share market is characterized by structural trends in individual stocks, provided that there are no significant declines in the overall market [6]