自港股通开通以来，南向资金累计净流入规模突破5万亿港元，刷新香港-内地互联互通机制开通以来的 最高纪录。 ...

- The report constructs quantitative factors based on Hong Kong Stock Connect holding data, categorized into "stock factors" and "flow factors" to reflect the characteristics of Southbound capital movements and holdings [3][6][7] - Stock factors include Holding, HoldingValue, H2Volume, H2Share, and HoldingStability(N), which measure holding quantity, holding value, holding proportion relative to trading volume, free float shares, and holding stability over N days respectively [41][42] - Flow factors include ΔHolding, Inflow, Inflow2HV, Inflow2Amt, Inflow2Cap, and ΔHolding%, which measure changes in holding quantity, net buying, net buying proportion relative to holding value, trading amount, free float market value, and holding growth rate respectively [43][44] - The report highlights the complementary nature of stock and flow factors, where stock factors capture long-term preferences and institutional holding behavior, while flow factors reflect short-term momentum effects [7][39][45] - Stock factors perform better in low-valuation stock pools, with HoldingStability(3) and HoldingStability(10) showing monthly IC values of 4.13% and 6.42%, ICIR values of 1.52 and 2.02, and IC win rates of 65.05% and 69.90% respectively [8][77][86] - Flow factors perform better in large-cap and high-net-profit stock pools, with Inflow2HV, Inflow2Amt, and Inflow2Cap achieving monthly IC values of approximately 3% in large-cap stocks and over 4% in high-net-profit stocks, with ICIR values exceeding 1.5 and IC win rates above 65% [8][95][114] - A composite factor named "Holding and Flow Factor" was constructed by combining seven individual factors, including HoldingStability(3), HoldingStability(10), Inflow2HV(3), Inflow2Amt(3), Inflow2Cap(3), ΔHolding, and Inflow, after neutralization and standardization [134][135] - The Hong Kong Stock Connect Flow Select Portfolio, based on these factors, achieved an annualized return of 27.01%, with an annualized excess return of 20.19% compared to the benchmark index, and a Sharpe ratio of 0.88 [9][137][151] - After optimizing the stock selection space to include only large-cap, high-net-profit, and actively traded stocks, the adjusted portfolio achieved an annualized return of 21.70%, with an annualized excess return of 14.88% and a Sharpe ratio of 0.83 [140][144][145]

Core Viewpoint - The event held on October 30 aimed to enhance the understanding of the Hong Kong financial market's interconnectivity mechanisms among Shenzhen's fund industry, with 75 participants from 28 institutions attending the training session supported by the Hong Kong Stock Exchange [1][3]. Group 1: Training Session Details - The training invited representatives from the Hong Kong Stock Exchange to discuss key topics such as the Hong Kong securities market and trading mechanisms, recent optimization measures, and future planning [3]. - Important subjects covered included the optimization of the fee structure for Hong Kong securities market transactions, the inclusion of ETFs in the interconnectivity qualified securities, and trading arrangements during adverse weather conditions [3]. - A Q&A session addressed inquiries from institutional representatives regarding the scope of stocks eligible for the Hong Kong Stock Connect, the range of ETFs supported, order types allowed, and adjustments to the minimum price fluctuation [3]. Group 2: Industry Implications - The interconnectivity mechanism is a significant milestone in China's financial market opening, serving as a top-level design for national financial openness [5]. - The Shenzhen fund industry plans to leverage the Hong Kong Stock Connect and other interconnectivity channels to expand cross-border investment and actively explore overseas markets [5]. - The initiative aims to accelerate the pace of opening up and continuously enhance the internationalization level of the industry [5].

人民财讯11月5日电，港交所11月5日披露业绩报告，2025年首三季，沪深股通和港股通的平均每日成交 金额分别达2064亿元人民币和1259亿元人民币，均创出历来九个月新高，较2024年首三季分别上升67% 和229%。 ...

Group 1: Southbound Capital Flow - Southbound capital inflow has exceeded 1.1 trillion yuan this year, indicating strong allocation enthusiasm for the Hong Kong stock market [1] - Despite adjustments in the Hong Kong stock market due to external factors, southbound capital has continued to flow in through Hong Kong Stock Connect and related ETFs, with a net inflow of 38 billion yuan in October alone [1] - Seven out of the first nine months of the year saw net inflows exceeding 100 billion yuan [1] Group 2: Banking Sector - The banking sector is entering a new phase of risk management, which is expected to strengthen balance sheets and accelerate the realization of net asset revaluation benefits [3] - The third-quarter reports indicate a stable performance with positive trends in interest margins and stable non-performing loan generation, while investment income may see a slight decline [3] - The banking sector is anticipated to offer significant value for absolute return funds starting in the fourth quarter, as risk appetite among investors has decreased [3] Group 3: Solar Industry - The solar industry is currently facing a supply-demand imbalance, with the core issue being the need to "reverse the internal competition" to drive capacity clearance [3] - Significant progress has been made in addressing below-cost sales, leading to gradual price increases for silicon materials, wafers, and batteries, although module prices are expected to see limited short-term increases [3] - The tightening of energy consumption standards for polysilicon is expected to be a crucial measure for capacity clearance in the future [3] Group 4: Gold Market - The gold market continues to rise, driven primarily by profit-taking effects and market sentiment, with the current strategy being to "follow the market, not to predict peaks" [5] - Recent reports indicate significant profit growth for brokerage firms, with Dongwu Securities forecasting a net profit increase of 50% to 65% year-on-year for the first three quarters [5] - The active trading environment in the A-share market has led to a substantial increase in new account openings and trading volume, benefiting brokerage performance [5] Group 5: Market Trends - The short-term market trend is strong, with noticeable inflows of incremental capital and a strong profit-making effect [7] - The Shanghai Composite Index reaching 4,000 points is not surprising, but the prolonged low-volume rise is unusual, indicating a cautious market [9] - Recommendations for sector allocation suggest reducing exposure to technology and increasing investments in financial sectors, real estate, and infrastructure [9]

Group 1 - The average daily trading volume of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect reached new highs in the first half of 2025, with the Shanghai and Shenzhen Stock Connect averaging a daily trading volume of RMB 206.4 billion, a 68% increase compared to the same period in 2024 [1] - The Hong Kong Stock Connect's average daily trading volume reached HKD 126 billion, more than double the level of the same period in 2024 [1] - The strong performance of the Hong Kong market is attributed to favorable economic policies and technological innovations in China, leading to increased global investor interest [1] Group 2 - The Hong Kong Stock Exchange (HKEX) is collaborating closely with the Shanghai and Shenzhen exchanges to include REITs in the Stock Connect, introduce a block trading mechanism, and incorporate RMB counters into the Hong Kong Stock Connect [1] - HKEX aims to deepen collaboration with various parties to optimize listing arrangements, expand the connectivity mechanism, and enhance market efficiency [2] - The exchange is focused on building a competitive ecosystem for fixed income and currency products, providing diverse asset allocation and risk hedging tools for domestic and international investors [2]

Group 1: Core Insights - Global risk appetite has been declining, with significant capital inflows into US fixed income funds and outflows from US small-cap and large-cap growth stocks [1] - The overall trend indicates a global capital rebalancing, with increased investment interest in emerging markets while US equities face outflow pressure [1] Group 2: Market Performance Review - In September 2025, the Hong Kong stock market outperformed globally, with the Hang Seng Tech Index rising by 13.95% and the Hang Seng Index increasing by 7.49%, while markets in Vietnam and Germany saw slight declines [2] - Overall, most global stock markets rose in September, with technology growth stocks leading the performance [2] Group 3: Cross-Border Capital Flows - In September, the southbound trading of the Hong Kong Stock Connect maintained a net buying trend, reaching a year-to-date high in net inflow, primarily into non-essential consumer sectors [3] - Global funds saw significant inflows into fixed income funds and outflows from equity funds, reflecting a decrease in investor risk appetite [3] - QDII-ETF funds experienced substantial net inflows into the Hang Seng Tech sector, while other indices like the Hang Seng Index and Hang Seng China Enterprises Index saw minor outflows [3]

Group 1: Southbound Capital - Southbound capital has significantly flowed into the Hong Kong stock market in 2025, with a cumulative net purchase of 979 billion HKD from January to August, surpassing the total of 807.9 billion HKD for the entire year of 2024 [2][24]. - Despite the increasing transaction share of southbound capital, its net purchases have shown little predictive power for the future movements of the Hang Seng Index, with a negative correlation observed between daily net purchases and index fluctuations [2][24]. - The top 10% of stocks by net purchase amount from southbound capital yielded an annualized return of 12.08%, significantly higher than the average of 2.61% and the bottom 10% group which saw a return of -2.94% [3][29]. Group 2: Industry Rotation - The analysis of industry rotation indicates that the southbound net purchase amount has a poor monotonicity across industries, but after adjusting for transaction amounts, the excess returns for bullish positions significantly improve, with the top three industries showing an annualized return of 11.64% [4][32]. - The retail sector, particularly represented by Alibaba, has been the most favored by southbound capital, with a net purchase scale significantly outperforming other sectors [4][32]. - The report highlights the effectiveness of style factors in guiding industry allocation, with growth and long-term momentum factors showing particularly strong performance in the Hong Kong market [6][65]. Group 3: IPO Trends - The Hong Kong stock market has experienced a surge in IPO activity in 2025, with 43 companies listed by June 30, raising a total of 106.71 billion HKD, which is significantly higher than the 88.15 billion HKD raised in 2024 [7][38]. - Notable IPOs include Heng Rui Pharmaceutical and Ningde Times, which raised 11.3 billion HKD and 41 billion HKD respectively, indicating a strong market interest and improved liquidity [7][38]. - The new IPO regulations implemented in August 2025 aim to enhance the attractiveness of the Hong Kong market by reducing public shareholding requirements and shortening the listing review process [7][38]. Group 4: Real Estate Market - The Hong Kong real estate market is showing signs of stabilization following the government's removal of property control measures, which has significantly reduced transaction costs for residential properties [11][12]. - High-frequency data indicates a rebound in private residential price indices since March 2025, suggesting a recovery in market sentiment and price stabilization [12][11]. - The low-interest environment and financial wealth effects are contributing to the improved outlook for the real estate sector, with transaction volumes increasing significantly [11][12].

Core Insights - The report highlights changes in the Hong Kong Stock Connect holdings, indicating which companies saw the largest increases and decreases in ownership percentages over recent trading days [1][2][3] Summary by Category Recent Changes in Holdings - The companies with the largest increases in Hong Kong Stock Connect holdings include: - Canggang Railway (02169) with an increase of 10.05% to a holding of 43.11% - Dazhong Public Utilities (01635) with an increase of 7.35% to a holding of 67.37% - NetDragon (00777) with an increase of 3.55% to a holding of 12.78% [1][3] - The companies with the largest decreases in Hong Kong Stock Connect holdings include: - Southern Hang Seng Technology (03033) with a decrease of 0.60% to a holding of 60.24% - Hua Hong Semiconductor (01347) with a decrease of 0.03% to a holding of 24.12% - Tongcheng Travel (00780) with a decrease of 0.03% to a holding of 12.34% [1][2] Top 20 Holdings Changes - The top 20 companies with the largest increases in ownership percentages include: - Hang Seng China Enterprises (02828) with an increase of 0.02% to a holding of 1.17% - Huaxia Hang Seng Technology (03088) with an increase of 0.01% to a holding of 20.15% - Power Assets Holdings (00006) with no change, holding at 7.08% [2][3] - The top 20 companies with the largest decreases in ownership percentages include: - Southern Hang Seng Technology (03033) with a decrease of 0.60% to a holding of 60.24% - Hua Hong Semiconductor (01347) with a decrease of 0.03% to a holding of 24.12% - Tongcheng Travel (00780) with a decrease of 0.03% to a holding of 12.34% [2][3] 5-Day and 20-Day Trends - Over the last 5 trading days, the companies with the largest increases in ownership percentages include: - Canggang Railway (02169) with an increase of 10.05% - Dazhong Public Utilities (01635) with an increase of 7.35% - NetDragon (00777) with an increase of 3.55% [3][4] - Over the last 20 trading days, the companies with the largest increases in ownership percentages include: - Dazhong Public Utilities (01635) with an increase of 34.12% - Canggang Railway (02169) with an increase of 31.45% - Shankou Holdings (00412) with an increase of 13.53% [4]

Market Closure Announcement - The major exchanges have announced the market closure schedule for the National Day and Mid-Autumn Festival in 2025, which will be from October 1 (Wednesday) to October 8 (Wednesday), with regular trading resuming on October 9 (Thursday) [2][4][5] - Additionally, weekends on September 28 (Sunday) and October 11 (Saturday) will also be non-trading days [2][4][5] Clearing and Settlement Arrangements - During the holiday period, clearing and settlement will be conducted according to the arrangements of China Securities Depository and Clearing Corporation Limited [2][4][5] - The Shenzhen Stock Exchange and Shanghai Stock Exchange have reiterated the importance of participants arranging their work accordingly [3][4][5] Hong Kong Stock Connect Services - The Shenzhen Stock Exchange has indicated that the Hong Kong Stock Connect services will not be available from October 1 to October 8, with services resuming on October 9 [7] - The clearing and settlement for Hong Kong Stock Connect transactions will also follow the arrangements of China Securities Depository and Clearing Corporation Limited [7] Trading System Testing - To ensure normal trading after the holiday, the Shanghai Stock Exchange will conduct a trading system joint debugging test on October 8 (Wednesday) from 9:15 to 12:00 [5]