策略专题研究 研究团队：邓宇林、包承超、肖遥志 报告日期：2026年03月01日 证券研究报告 * 请务必阅读最后一页免责声明 摘要 证券研究报告 * 请务必阅读最后一页免责声明 1 ➢ 1、从历史经验看，历次中东区域冲突发生后，各类资产表现特征为：（1）美股往往进入震荡状态；（2）黄金 或趋势上行；（3）白银或震荡上行；（4）铜或先震荡再上行；（5）原油或先上行后回落。 ➢ 2、中东区域冲突后，VIX往往容易快速冲高；VIX回落后，权益资产表现或更好。 ➢ 3、历史经验看，中东区域冲突未必带来多资产相关性的快速提升。权益、黄金、银、铜、油等资产长期呈现明 显正相关；美元指数、债券与以上资产负相关；整体而言，长期看，A股市场的较好表现需要多资产相关性处于 下降的过程或者处于中低位水平。 ➢ 风险提示：全球地缘政治出现重大变化，导致全球市场风险偏好急剧变化。市场流动性超预期变化。历史数据 不代表未来。 中东区域冲突对市场的影响 01 历次中东区域冲突后的市场表现 02 资产间相关性对A股的影响 目 03 风险提示 录 C O N T E N T S 证券研究报告 2 * 请务必阅读最后一页免责声明 历次中东区域 ...

来源：华尔街情报圈 周三有意义，但不是方向意义。 全球市场周三的走势让人长长舒一口气： - 美国股市全线上涨，道琼斯指数涨0.63%，标普500指数涨0.81%，纳斯达克指数涨1.26%； - 软件股出现"死猫式反弹"； - 美元指数小幅下跌，尚未摆脱本周以来的交投区间； - 加密货币追随了股市涨势，而且涨幅比美股更猛，这说明市场偏好开始回归。 第二，需要注意的是，当天市场并没有一个共同交易主题（缺少"引擎"）。 也就是说市场在缺乏炒作焦点的情况下，选择"先涨再说"，更像是情绪紧绷之后的自然回弹。 第一，相比过去的上涨，当天美股的涨势看起来更加正常。 - 道指涨幅 < 标普500涨幅 < 纳指涨幅； 目前不能定义为"转折日"，只能说是"情绪复位日"。 - 比特币大涨近8%，盘中一度接近7万美元关口。 - VIX指数大幅回落，科技股短期波动率也下降； - 黄金突破5200美元后，在尾盘回吐大部分涨幅； 市场现在的心理状态不是贪婪，而是"谢天谢地，没有更坏"。世界舒了一口气，但还没开始奔跑。 今天关注的焦点就很简单，如果上述趋势能够延续，那么市场风险偏好将会得到极大提升。但如果市场 的关联性错乱了（即美元走软、债 ...

今年以来全球大类资产呈现显著分化态势，股票市场整体波动率维持低位，而贵金属、外汇及大宗商品 市场波动加剧，芝加哥期权交易所波动率指数（VIX）未能充分反映当前宏观层面的风险信号，市场恐 慌情绪从股市转向大宗商品与汇率赛道。 相关美联储主席提名落地后，金属价格出现下跌，但市场波动率仍维持高位。Susquehanna International Group衍生品市场情报联席主管Chris Murphy表示："这一提名决定并未指向会催生市场过热的政策转 向，而此前市场对黄金的过热炒作正是贵金属遭到抛售的核心原因。如果你问我，黄金每天飙升更可 怕，还是在大幅上涨后进入盘整阶段更可怕，就实际风险而言，我认为黄金每天飙升更可怕。" 当前市场资金在黄金与股票间的配置关系出现变化，部分基金通过期权工具押注两者相关性变动，此前 黄金与股票相关性长期维持在零附近，当前已出现小幅上升。汇率市场成为资金押注波动放大的重要赛 道，美元兑日元隐含波动率出现显著上行，短期汇率波动幅度超过4%。 市场有风险，投资需谨慎。本文为AI基于第三方数据生成，仅供参考，不构成个人投资建议。 来源：市场资讯 今年以来，金价受相关政策支撑持续走高，即便经 ...

Core Viewpoint - Barclays strategists believe that a severe deterioration in relations between the EU and the US, potentially leading to the US's exit from NATO, would pose a greater issue for the euro than for the dollar [1][5]. Group 1: Impact on Euro and Dollar - The potential US exit from NATO is expected to create a negative premium for the euro [2][6]. - The strategists downplay the notion that European investors holding US assets serve as a significant counterbalance to US geopolitical power [3][7]. Group 2: Capital Flows and Investor Behavior - Despite an increase in exposure to US assets since the early 2010s, the eurozone has also received substantial capital inflows from other regions [3][7]. - In a scenario where EU-US relations have completely broken down, it cannot be assumed that Asian investors will maintain their preference for European bonds [3][7]. Group 3: Market Reactions and Currency Sensitivity - There has been no significant "sell-off" of US assets by large holders in response to US tariffs over the past year [4][8]. - The dollar is currently vulnerable to the latest threats from Trump, which may lead to a reversal of the dollar long positions established earlier this year [4][8]. - The Swiss franc is considered the best tool for hedging against internal NATO disputes, while a rising VIX index could negatively impact risk-sensitive currencies such as the Swedish krona, Australian dollar, Latin American currencies, and South African rand [4][8].

美股当前正陷入一种危险的自满情绪，隐含波动率的定价水平暗示投资者已将美国的政策动向视为"背 景噪音"。尽管标普500指数正向7000点大关发起冲击，但极度廉价的指数波动率与日益积聚的政策风险 之间存在严重错位，市场正面临一场由空头挤压引发的"波动率清算"。 据彭博宏观策略师 Michael Ball 观察，在非农就业数据公布后，尽管地缘政治与政策博弈加剧，但市场 波动率仍处于极低水平。这种估值失真导致抛售波动率（Short-vol）的头寸再度变得极其拥挤，一旦发 生轻微冲击，市场极易陷入被迫平仓、VIX指数飙升以及股票相关性迅速抬高的连锁反应。 目前的市场情绪异常乐观，标普500指数在非农数据后创下历史新高。随着投资者对经济再加速的预期 升温，资金正从权重大盘股向小盘股、道琼斯指数及等权重标普指数轮动。然而，这种基于个股博弈的 策略忽略了宏观维度的结构性风险。 这种脆弱的平衡正面临多重考验。随着本周CPI、PPI数据、银行财报以及1月16日期权到期日 （OPEX）的密集到来，低廉的指数波动率可能随时终结。分析认为，当前单边做空波动率的仓位结构 与2024年7月崩盘前的水平惊人相似，市场正处于一次剧烈回撤的边缘 ...

Group 1: Global Liquidity Overview - Current global liquidity is characterized by "overall easing, internal differentiation, and emerging forward signals" [49] - Major developed economies have shifted from synchronized tightening to differentiated policies, with the Federal Reserve leading a rate-cutting cycle [2] - The VIX index and other risk sentiment indicators remain low, indicating a supportive environment for market risk appetite [2] Group 2: Price Dimension Indicators - The core indicator system for global liquidity in the price dimension includes three categories: benchmark interest rates, market financing costs, and risk pricing/asset price indicators [1] - The TED spread for USD is at 0.04762%, indicating a low historical level of market financing costs and a relatively ample liquidity environment [25] - The EUR TED spread is at 0.02%, also reflecting a low historical level and indicating ample liquidity in the Eurozone [28] - The JPY TED spread is at 0.41640%, indicating a relatively high historical level and a tightening liquidity environment in Japan [32] Group 3: Future Outlook - Global liquidity is expected to remain accommodative in the first half of 2026, benefiting international pricing of commodities [4] - The report emphasizes the importance of combining price signals with quantity information for more accurate investment decisions and policy responses [51]

Summary of Key Points Core Viewpoint - The article provides a detailed schedule of trading hours for various exchanges during the holiday period from December 24 to December 26, 2025, highlighting early closures and market holidays for different commodities and indices [1]. Group 1: Trading Hours Overview - CME will have early closures for stock indices and interest rates on December 24, with no trading on December 25, and normal trading resuming on December 26 [1]. - NYMEX will also close early for crude oil and other energy products on December 24, with a complete market holiday on December 25, and normal trading on December 26 [1]. - CBOT will see early closures for agricultural products on December 24, a market holiday on December 25, and delayed opening on December 26 [1]. Group 2: Specific Commodities and Indices - ICE (U.S.) will have early closures for cotton, coffee, cocoa, and orange juice on December 24, with a market holiday on December 25, and normal trading on December 26 for certain products [1]. - CBOE will close early for the VIX index on December 24, with no trading on December 25, and normal trading on December 26 [1]. - HKEX will operate half-day trading on December 24, with a market holiday on December 25, and no trading on December 26 [1].

Core Viewpoint - The current market calmness is fragile, with potential volatility looming due to diverging views among Federal Reserve officials and concerns over a weakening labor market [2][4]. Group 1: Market Indicators - The VIX index, a measure of market fear, is hovering near its lowest level since the beginning of the year, while the MOVE index has reached its lowest point since early 2021 [1]. - Recent economic data, including a consumer inflation report that met expectations, has led traders to anticipate a rate cut by the Federal Reserve next week [2][4]. Group 2: Economic Conditions - The latest inflation indicator favored by the Federal Reserve rose by 0.2%, keeping year-over-year data below 3%, indicating persistent inflationary pressures [4]. - Concerns about a weakening labor market are growing, with the highest number of layoffs reported since early 2023, according to ADP Research [4]. Group 3: Investor Behavior - The S&P 500 index rose by 0.3% this week, nearing historical highs, while the Nasdaq 100 index increased by 1% [7]. - Investors are increasingly moving into equity markets, with U.S. stock funds experiencing inflows for twelve consecutive weeks [7]. Group 4: Risk Management - Despite the current low volatility, there are signs of caution, as the amount of money flowing into money market funds reached a record high for a single week [8]. - Tail risk hedging products have shown some strength in 2025, but their significant gains have not been maintained through recent market turbulence [8].

Group 1 - BNY Mellon reports that Asian foreign reserves remain ample, with import coverage at a favorable level, indicating strong regional resilience against risks [1] - Goldman Sachs highlights a significant reversal in the relationship between the US dollar and the VIX index, suggesting a weakening appeal of the dollar as a traditional safe-haven asset [2] - Deutsche Bank analysts note Nvidia's third-quarter performance significantly exceeded expectations, with strong growth in AI computing and data center revenues projected to reach approximately $500 billion by the end of 2026 [2] Group 2 - Action Economics indicates that the absence of continuous US employment data weakens rate cut expectations, with the Fed likely to adopt a wait-and-see approach for more evidence [1][3] - The US labor market is described as showing signs of slowing but not entering a recession, with small businesses facing the most pressure and job losses concentrated there [3] - The Fed remains cautious about rate cuts, with the next employment report delayed, limiting guidance for the December meeting [3]

Investment Rating - The report indicates a cautious outlook on the stock market, highlighting insufficient hedging against downside risks as reflected by the VIX index [6][20][25]. Core Insights - The VIX index is experiencing insufficient downside risk hedging, with the stock market breaking through key technical support levels, leading to increased volatility and uncertainty [6][20][25]. - Recent labor data shows a decrease in employment numbers by approximately 9,000 in October, with layoffs reaching a 20-year high of about 150,000, contributing to market unease [1]. - The bond market is attempting to play a risk-hedging role, with U.S. Treasury prices rising amid heightened risk aversion [1][3]. Summary by Sections - **Market Sentiment**: The stock market is facing significant downward pressure, with high-profile tech stocks experiencing substantial declines, such as Microsoft down 10.2% and Nvidia down 11.6% [8][9]. - **Volatility and Risk Management**: There is a notable shift in systemic capital flows towards volatility control, with an estimated $117.8 billion in U.S. stock exposure being shed due to rising volatility and mechanical rebalancing since October 10 [13][14]. - **Future Outlook**: If the market can maintain a volatility range of ±1% daily, a significant reallocation of capital is expected, as extreme volatility values from the past month will be excluded from the sample [15].