outrunsega|中信建投陈果：如何理解当前投资者情绪的大幅回暖

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Source: research on CITIC Construction Investment Securities

By Chen Guo and Xia Fanjie / tr. by Phil Newell)

Market sentiment fell first and then rose in April, and on the 16th it almost fell into a panic zone. Since the 26th, the mood index has risen significantly and sent a buy signal, indicating that A shares are long opportunities. In the short term, the early bearish of the market has been basically digested, and the enthusiasm for long is rising. While the fastest rise in the sentiment index may be over, there is still room for sentiment to rise further in May. In the long run, market sentiment has improved significantly after the Spring Festival this year, with both highs and lows higher than in the past, reflecting that market expectations are improving against the backdrop of improved micro-liquidity.

The mood index first fell and rebounded in April, and has obviously picked up recently. Specifically:

Turnover rate: the turnover rate did not show a downward or upward trend in April, basically around 1.Outrunsega.25% narrow range concussion. In the long run, the turnover rate of A shares is currently on the high side, but it may be difficult to shrink significantly in the near future.

New issuance of partial stock funds: after a slight improvement in March, the issuance of new funds fell into a freezing point again in early April, gradually improved after entering the last ten days, and is still at a low level as a whole.

Financing purchase ratio: the financing purchase ratio index continued the previous downward trend in April, falling to 7% on April 16.OutrunsegaA phased low of .69%, but the index resumed its upward trend in the second half of the month and is expected to reach 8.23% by the end of the month, exceeding the long-term downturn of the previous two years. In view of the forward-looking significance of the index to the market, it is suggested that we should actively pay attention to the long opportunities in the market and look for a new main direction.

Implied risk premium: the implied risk premium of A shares reached a high of 4.26% in early February, which is also the highest level of the index since January 2019. The index fell back in March and continued to fluctuate in April, indicating that the performance price of equity assets is relatively high.

Spread between stock and debt: the index of spread between stock and debt, which reflects the short-term earning effect of investors in April, continued to decline from the beginning of the month to a phased low of-5.45% on April 23, and then began to rise, approaching zero at the end of the month. The sharp fluctuations of the index in February and March have a great impact on the mood index, and it is also the main reason for the fluctuation of the mood index in April.

Super 60MA: the index as a whole was weak in April, failing to break through 25% and still hovering around 20%.

Overbought and oversold: first fell and then rose in April, most of the time below the zero axis, indicating that the market is in a weak state. However, there has been a significant rebound in recent trading days, close to becoming a regular employee. If the index continues to rise, it means that the market will start a new round of rally, it is recommended that investors focus on the rebound of the previous oversold sector to find a new investment main line.

Risk hint: the model is based on historical data and has limited ability to predict the future.

At the end of March 2022, we launched Citic Construction Investment Strategy-Investor sentiment Index, which is composed of a number of market publicly traded indicators. In the important range of A-share historical market, the index well reflects the level of market sentiment at that time, and the extremely high and very low points can be ahead of the market reversal and have a certain forecasting ability. It should be pointed out that the index is used to describe the investor sentiment in the market, which is a synchronous index, and its predictability is mainly reflected by the predictability of the investor sentiment to the market. Since the launch of the investor sentiment index, it has attracted the attention of a large number of investors, so we have tracked and displayed the current market sentiment in the form of a monthly report since the end of April 2022, and give the historical trend and latest trend of the sub-core sentiment indicators.

How to understand the current sharp rebound in investor sentiment

In the March report of sentiment tracking, we expect the decline in investor sentiment to continue for some time. We usually observe a decline in market sentiment in April, which is often related to the disclosure of data from the March start season, the market entering the earnings season, and the fulfillment of policy expectations at Politburo meetings. In fact, the investor sentiment index fell all the way from the end of March to early April, falling as low as 13 on April 16, almost falling into the panic zone. However, under the combined effect of many factors, the mood index stabilized around 25 in late April, and there was a sharp rise at the end of the month.

Specifically, the investor sentiment index peaked briefly on March 18 and gradually fell back to below 55 in early April. In the first ten days, the market mood fell slowly and basically stable. After the middle of the year, the sentiment index fell sharply due to the strength of the dollar index, low expectations of some economic data and global risk aversion triggered by geopolitical risks in the Middle East. After the release of the new "National Nine articles", some investors worried that the relevant delisting indicators were aimed at small-cap stocks, causing the market to fluctuate sharply, which led to a sharp fall in market sentiment to nearly 13 on April 16, almost falling into a panic zone. After the misreading was clarified that night, market sentiment rose sharply the next day. Since then, the mood index for 7 trading days fluctuated around 25, and began to rise significantly on the 26th and issued a buy signal, suggesting that A shares are long opportunities. The sentiment index climbed further above 50 in the last two trading days. How to understand the current sharp rebound in investor sentimentOutrunsega? From the perspective of the short-term market, the recent improvement in market sentiment is mainly caused by the downward obstruction of the volume index and the rebound of the bottom of the price index, which reflects that the bearish position in the early stage of the market has been basically digested and the enthusiasm for being long is on the rise. While the fastest rise in the sentiment index may be over, there is still room for sentiment to rise further in May. From the long-term trend, the market sentiment index fell into the panic zone many times after 2022, and rarely broke through 65 when the mood was high, but the market mood improved significantly after the Spring Festival this year, and the high and low points of this round are higher than before. This reflects that market expectations are improving in the context of improved micro-liquidity.

We analyze the sub-indicators. Among the seven indicators, the turnover rate, the issuance volume of partial stock funds, the proportion of financing purchases, the implied risk premium and the spread between stock and debt returns are smoothed after 5 days.OutrunsegaThe two indicators of over-60MA and over-buy and over-sell were originally weekly data, but in order to be more sensitive, the 60-week moving average has actually been changed to 300-day moving average. This caliber is used by default below.

　　换手率：4月A股换手率窄幅震荡。4月换手率并未出现趋势下跌或上涨，基本围绕在1.25%窄幅震荡。从长期来看A股换手率目前处于偏高位置，但从近期情况看可能难以出现明显缩量。

　　偏股型基金新发量：4月发行前低后高，仍处低位。在3月略有改善后，4月初新基金发行再度陷入冰点，进入下旬后逐步好转，总体仍处低位。

　　融资买入占比：下半月重启上行趋势。4月融资买入占比指标延续了前期下行的趋势，到4月16日降至7.69%的阶段性低点，不过下半月该指标重启上行趋势，预计月底达到8.23%，超过前两年长期低迷的水平。鉴于该指标对市场的前瞻意义，建议积极关注市场做多机会，寻找新的主线方向。

　　隐含风险溢价：继续高位震荡。A股隐含风险溢价2月上旬达到了4.26%的高位，这也是2019年1月至今该指标的最高水平，3月该指标回落后4月继续高位震荡，显示权益资产性价比较高。

　　股债收益差：4月先降后升，是情绪指数波动主因。4月反映投资者短期赚钱效应的股债收益差指标从月初持续回落，4月23日已经降至-5.45%的阶段性低点，随后开始回升，月末已经接近零轴。该指标在2月、3月的大幅波动对情绪指数影响巨大，也是4月情绪指数波动的主要原因。

　　超60MA：整体偏弱，仍在20%附近震荡徘徊。该指标以中长期视角刻画市场强弱状况，反映市场上收盘价在60周均线（300日均线）上方的个股比例。从历史上看该指标超过80%/低于20%往往意味着市场情绪的过热/过冷，行情有出现反转的可能。该指标4月整体偏弱，未能突破25%，仍然在20%附近震荡徘徊。

　　超买超卖：仍处零轴下方接近转正。该指标以短期视角刻画市场强弱情况，该指标4月先降后升，大部分时间处于零轴下方，显示市场处于弱势状态。不过近几个交易日已经有了明显回升，接近转正。如果该指标继续上升则意味着市场将开启新一轮上涨行情，建议投资者将关注重点从前期超跌板块反弹转向寻找新的投资主线上。