证券研究报告 | 策略研究 2026 年 3 月 4 日 人民币持续升值，可跟踪资金延续净流出 ——金融市场流动性与监管动态周报（0304） 上周二级市场可跟踪资金持续净流出，融资资金与 ETF 均小幅净流出。近期人 民币汇率持续升值，美元指数走弱、中美利差收窄与结汇需求提升是主要推手。 往后看，预计人民币升值节奏将所放缓，但考虑到待结汇规模仍处高位，且年 初经济增长预期往往比较乐观，预计短期人民币仍处于震荡偏强的状态。 定期报告 相关报告 1. 《招商 A 股流动性研究体系与 流动性指数——A 股市流动性研 究之四》，2016 年 8 月 2. 《A 股机构投资者全景图—股 票市场 SCP 范式研究之一》， 2017 年 10 月 3. 《历史上两会前后 A 股风格如 何演绎？——金融市场流动性与 监管动态周报（0224）》 | 招商 A 股流动性指数 | | | --- | --- | | 流动性指标 | 数值/金额（亿元） | | 资金供给 | | | 公募基金发行 | 8.80↓ | | ETF 净申购 | -360.16↑ | | 融资净买入 | -83.49↑ | | 资金需求 | | | 限售解 ...

Group 1 - In the second week of January, the total net inflow of funds into the market was 7.2 billion, a significant decrease from the previous week's inflow of 71.5 billion [1][7] - The short-term sentiment indicator is at a high level since 2005, with the recent weekly turnover rate (annualized) at 682%, placing it in the 92nd percentile historically [1][13] - The long-term sentiment indicator is at a medium-low level since 2005, with the recent A-share risk premium at 2.45%, in the 46th percentile historically [2][13] Group 2 - The top three industries by transaction volume in the past week were defense and military industry (100%), semiconductors (97%), and electric power equipment (96%), while the lowest were real estate (0%), food processing (0%), and transportation (0%) [2][13] - The highest financing transaction ratio industries were electric power equipment (93%), machinery equipment (93%), and basic chemicals (92%), while the lowest were oil and petrochemicals (34%), coal (45%), and retail (46%) [2][13]

Macro Liquidity and Fund Prices - The central bank conducted a significant net withdrawal in the open market, with a cumulative net withdrawal of 1.66 trillion yuan, primarily due to the maturity of reverse repos around the year-end[7] - Money market rates remained stable, with R007 and DR007 rates down by 64bp and 51bp respectively, indicating a continued loose monetary environment[10] - The yield on 1-year and 10-year government bonds decreased by 4.9bp and increased by 3.1bp respectively, reflecting pressure on the bond market amid a strong stock market[10] Micro Liquidity and A-share Market - A-shares experienced a significant increase in trading volume, with an average daily trading amount rising to 28,519.51 billion yuan, a 34% increase from the previous period[14] - The net inflow of funds into A-shares reached 748 billion yuan, driven by accelerated inflows of financing funds[18] - Retail investors showed increased activity, with net inflows of 1,557 billion yuan, marking a 641 billion yuan increase from the previous period[24] Short-term Indicator Tracking - The volatility index is at a relatively high level, suggesting that maintaining current volume levels may be challenging, with a likelihood of short-term consolidation and slower growth[57] - The stock-foreign exchange hedging index indicated a significant divergence, suggesting a bullish sentiment in the A-share market following recent gains[60] Risk Warnings - Potential risks include slower-than-expected economic recovery, unexpected overseas recession, geopolitical black swan events, and discrepancies in statistical data[74]

Group 1: Public Funds - In October, the newly established equity public fund shares amounted to 54.823 billion shares, a decrease of 42.384 billion shares from the previous month, placing it at the 86.11% percentile over the past three years [8][9] - The new issuance of active equity funds in October was 15.888 billion shares, down 13.947 billion shares month-on-month, while passive equity funds saw a new issuance of 22.538 billion shares, down 42.079 billion shares from the previous month [9][10] - Despite the decline in new fund issuance, the overall sentiment remains close to the high levels seen in June, influenced by recent U.S.-China trade agreements and expectations of increased market liquidity due to potential monetary easing by the Federal Reserve [8][9] Group 2: Private Securities Funds - As of September, the scale of private securities funds reached 5.97 trillion yuan, showing an upward trend compared to August [28] - The average position of private equity long-only strategies increased to 66.22%, up 2.40 percentage points from August, indicating a recovery in market risk appetite and investor confidence [30][31] Group 3: Northbound Capital - In October, the average daily trading volume of northbound capital was 258.308 billion yuan, a decrease of 16.80% from the previous month, with its share of total A-share trading falling to 11.94% [32][34] - The decline in northbound trading volume may be attributed to heightened trade tensions between the U.S. and China, leading to increased risk aversion among investors [32][34] Group 4: Margin Financing - As of the end of October, the total margin financing balance was 2.48 trillion yuan, an increase of 3.84% from the previous month, with the financing balance at 2.46 trillion yuan [36][37] - The net inflow of margin financing in October was 88.148 billion yuan, maintaining a high level of trading activity, supported by favorable market conditions and expectations of further easing measures [36][37] Group 5: Incremental Capital - In October, the number of new accounts opened on the Shanghai Stock Exchange showed a decline, with institutional accounts increasing by 10.48% year-on-year, while individual accounts decreased by 66.34% [45][47] Group 6: Insurance Funds - In Q2 2025, the net increase in equity assets held by property and life insurance companies was 261.914 billion yuan, although the growth rate of premium income has weakened [48][52] - Policies are being implemented to encourage large state-owned insurance companies to allocate 30% of new premiums to invest in A-shares starting in 2025 [48][52] Group 7: Bank Wealth Management - In October, the number of newly issued wealth management products was 4,900, a decrease of 27.98% from the previous month, with the proportion of newly issued equity products at 0.28%, down 0.39 percentage points [55][60] Group 8: Industrial Capital - In October, the net reduction in industrial capital was 30.529 billion yuan, with a daily average net reduction of 1.796 billion yuan, indicating a continued trend of net selling [62][64] - The upcoming release of lock-up shares in November and December may exert additional pressure on the market, particularly in the power equipment and electronics sectors [65][66] Group 9: Three Major Capital Flow Indicators - As of October 31, the three major capital flow indicators stood at 0.04, indicating a significant decline in trading activity and suggesting that major investors may be waiting for a new entry point [69][71]

Market Overview - The A-share market showed mixed results on July 23, with the Shanghai Composite Index closing at 3582.3 points, up 0.01%, while the Shenzhen Component Index closed at 11059.04 points, down 0.37% [1] - Total market turnover was 18986.96 billion, a decrease of 302.62 billion from the previous trading day [1] Fund Flow Analysis - A total net outflow of 408.34 billion was recorded in the A-share market, with a net outflow of 149.26 billion at the opening and 68.01 billion at the close [2][3] - The CSI 300 index experienced a net outflow of 59.94 billion, while the ChiNext saw a net outflow of 127.24 billion and the STAR Market had a net outflow of 16.87 billion [4][5] Sector Performance - The non-bank financial sector led with a net inflow of 60.84 billion, while the banking sector saw a net inflow of 26.56 billion [6][7] - The top five sectors with the largest net outflows included power equipment (-206.25 billion), machinery (-158.32 billion), and basic chemicals (-105.98 billion) [7] Stock Highlights - Dongfang Fortune recorded the highest net inflow of 9.96 billion [8] - Institutions showed significant buying in stocks like Tianshan Shares, while China Power Construction experienced notable selling [10][11] Institutional Activity - The institutional participation in the stock market revealed net buying in several stocks, with Tianshan Shares seeing a net purchase of 6008.05 million [11]

Group 1 - The A-share market experienced mixed performance on June 12, with the Shanghai Composite Index closing at 3402.66 points, up 0.01%, while the Shenzhen Component Index closed at 10234.33 points, down 0.11% [1] - The total trading volume in the A-share market reached 13037.61 billion, an increase of 169 billion compared to the previous trading day [1] Group 2 - The A-share market saw a net outflow of 92.69 billion throughout the day, with a net outflow of 48.78 billion at the opening and 3.05 billion at the close [2] - The CSI 300 index recorded a net inflow of 3.96 billion, while the ChiNext saw a net outflow of 33.04 billion and the STAR Market had a net outflow of 7.48 billion [3] Group 3 - The banking sector led the net inflow among industries, with a total of 20.98 billion flowing into it [4] - The nuclear power sector, specifically融发核电, saw a significant net inflow of 8.84 billion [5] Group 4 - Institutional investors were active in multiple stocks, with notable net purchases in stocks like 姚记科技 and net sales in stocks like 利民股份 [5]