JPMorgan-China Equity Flow Monitor August 20, 2024-109931069
VIP专享
Global Quantative & Derivatives Strategy August 20, 2024
Xipu HanAC +852 2800 1029 xipu.han@jpmorgan.com
Haoshun Liu +852 2800 7736 haoshun.liu@jpmorgan.com
Data as of August 16, 2024
Tony Lee +852 2800 8857 tony.sk.lee@jpmorgan.com
Sources for data: J.P. Morgan, Bloomberg Finance L.P., Hong Kong Exchange, CEIC J.P. Morgan Securities (Asia Pacific) Limited /J.P. Morgan Broking (Hong Kong) Limited
($bn)
Daily Turnover Curr vs ($bn) Total Open Interest Curr vs
Curr 1W Avg 3M Avg 12M Avg 12M Avg Current 1W Avg 3M Avg 12M Avg 12M Avg
Hong Kong Futures 154.8 155.3 168.3 180.2
-14%
Cash Total 13.0 10.2 13.8 13.0
0%
HSI 17.9 17.1 18.4 16.9
6%
Warrants 0.7 0.6 0.6 0.6
7%
HSCEI 18.1 17.7 20.5 21.9
-17%
CBBC 0.6 0.4 0.5 0.5
25%
CSI 300 32.1 32.3 34.3 37.5
-14%
Futures 17.2 13.8 21.7 22.0
-22%
SGX A50 10.1 9.9 11.6 11.0
-8%
HSI 12.5 10.0 14.7 15.2
-18%
CSI 500 31.6 32.1 34.7 41.1
-23%
HSCEI 4.6 3.8 7.0 6.8
-32%
CSI 1000 35.6 36.5 38.1 39.2
-9%
Listed Options 6.8 4.9 6.6 6.7
2%
SSE 50 9.5 9.7 10.7 12.5
-25%
HSI 4.4 3.0 3.9 3.9
12%
Listed Options** 124.3 121.7 130.4 137.1
-9%
HSCEI 2.4 1.9 2.7 2.8
-13%
HSCEI 53.1 52.2 61.8 70.3
-24%
China A HSI 23.4 22.4 22.9 20.4
14%
Cash Total 78.2 69.5 89.5 105.3
-26%
SSE 50 2.6 3.1 5.0 5.8
-55%
Shanghai 29.6 27.6 36.6 41.8
-29%
CSI 300 18.6 18.2 16.8 18.8
-1%
Shenzhen 48.6 41.9 52.9 63.4
-23%
CSI 500 11.7 11.4 10.8 9.4
24%
Futures 48.1 50.8 54.4 62.9
-23%
CSI 1000 14.9 14.4 13.2 12.3
21%
CSI 300 12.1 12.3 12.5 14.9
-19%
CSI 500 10.3 11.4 11.4 13.2
-22%
CSI 1000 18.9 20.5 21.2 24.0
-21%
($bn) ETF (by Geographic Exposure)
SSE 50 4.5 4.2 4.8 6.0
-24%
AUM 1W flow 3M flow Avg Daily T/O
MSCI China A50 0.4 0.7 0.5 0.7
-44%
China Onshore - onshore listed 235.2 0.2 35.9 2.0
SGX A50 1.9 1.8 4.0 4.1
-53%
- offshore listed 9.5 -0.1 -1.5 0.1
China Offshore 21.9 0.0 -1.8 1.8
Hong Kong 19.8 0.3 -0.1 0.7
China Onshore Equity Cash Turnover ($bn) - 5D Moving Average Hong Kong Equity Cash Turnover ($bn) - 5D Moving Average
Futures Turnover ($bn) - 1M Moving Average Futures Open Interest ($bn) - 1M Moving Average
Options Turnover ($bn) - 1M Moving Average Options Open Interest ($bn) - 1M Moving Average
This material is neither intended to be distributed to Mainland China investors nor to provide securities investment consultancy services within the territory of Mainland China. This material or any portion hereof may not be reprinted, sold or redistributed without the written
consent of J.P. Morgan
China Equity Flow Monitor
Cash and Derivatives Liquidity
See Page 15 for analyst certification and important disclosures, including non-US analyst disclosures. J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the
firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as on ly a single factor in making their investment decision.
Please note any long form nomenclature for references to China; Hong Kong; Taiwan; and Macau within this research material ar e Mainland China; Hong Kong SAR, (China); Taiwan, (China); and Macau SAR, (China).
-
10
20
30
40
50
60
70
Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
HSI HSCEI A50
CSI300 SSE50 CSI500
-
5
10
15
20
25
30
35
40
45
-
10
20
30
40
50
60
Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
HSI HSCEI A50
CSI300 (RHS) SSE50 (RHS) CSI500 (RHS)
-
50
100
150
200
250
Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
Turnover ($bn)
Shenzhen (60%) Shanghai (40%) 1Y avg. Total TO ($106bn)
-
5
10
15
20
25
30
35
40
45
Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
Turnover ($bn)
CBBC (4%) Warrants (6%) Other Cash (90%) 1Y avg. Total TO ($13bn)
-
5
10
15
20
25
30
35
40
45
-
50
100
150
200
250
300
Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
HSI HSCEI CSI300 (RHS) CSI1000 (RHS)
-
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
-
2
4
6
8
10
12
14
16
Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
HSI HSCEI CSI300 (RHS) CSI1000 (RHS)
*3M/12M averages are calculated using data of past 3M/12M or since inception.
** Aggregated numbers using options on Indices and ETFs
Global Quantative & Derivatives Strategy August 20, 2024
Xipu HanAC +852 2800 1029 xipu.han@jpmorgan.com
Haoshun Liu +852 2800 7736 haoshun.liu@jpmorgan.com
Data as of August 16, 2024
Tony Lee +852 2800 8857 tony.sk.lee@jpmorgan.com
Sources for data: J.P. Morgan, Bloomberg Finance L.P., Hong Kong Exchange, CEIC J.P. Morgan Securities (Asia Pacific) Limited /J.P. Morgan Broking (Hong Kong) Limited
This material is neither intended to be distributed to Mainland China investors nor to provide securities investment consultancy services within the territory of Mainland China. This material or any portion hereof may not be reprinted, sold or redistributed without the written
consent of J.P. Morgan
China Equity Flow Monitor
Stock Connect Northbound vs Shanghai and Shenzhen A-shares Turnover (TO) Stock Connect Southbound Turnover vs Hong Kong Turnover (TO)
* Note: to calculate the % of Stock Connect turnover over the total exchange turnover, we use Stock Connect (buy+sell) total turnover divided by 2 times of Stock Exchange's turnover to avoid double counting
Stock Connect Northbound Net Cum. Flows Since Inception and Weekly Flows ($bn) Stock Connect Southbound Net Cum. Flows Since Inception and Weekly Flows ($bn)
Stock Connect Northbound Holdings vs A-shares Total and Free Float Market Cap Stock Connect Southbound Holdings vs Hong Kong Total Market Cap
Stock Connect Net Flow in the Past Week CSI 300 Composite Trend Signal
Date Southbound Cumulative Flows (since inception) 428.83 Southbound Weekly Flows 2.12 Southbound YTD Flows 58.05
16-Aug-24 Northbound Cumulative Flows (since inception) 266.24 Northbound Weekly Flows -0.71 Northbound YTD Flows -0.86
Stock Connect Cumulative and Weekly Flows (in $Bn)
Stock Connect and Foreign Flow
0%
5%
10%
15%
20%
25%
-
2
4
6
8
10
12
14
Nov-14 Nov-16 Nov-18 Nov-20 Nov-22
SZ Northbound TO (LHS, $bn)
SH Northbound TO (LHS, $bn)
SH Northbound TO as % of SSE A-shares TO
SZ Northbound TO as % of SZSE A-shares TO
0%
5%
10%
15%
20%
25%
30%
35%
-
1.0
2.0
3.0
4.0
5.0
6.0
7.0
Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19 Nov-20 Nov-21 Nov-22 Nov-23
Southbound TO (LHS, $bn)
Southbound TO as % of HKEX TO
-20
-15
-10
-5
0
5
10
15
20
25
0
50
100
150
200
250
300
350
Nov-14
May-15
Nov-15
May-16
Nov-16
May-17
Nov-17
May-18
Nov-18
May-19
Nov-19
May-20
Nov-20
May-21
Nov-21
May-22
Nov-22
May-23
Nov-23
May-24
Northbound Cumulative Flows (LHS) Northbound Weekly Flows
Northbound 1M Net Flows
-20
-10
0
10
20
30
40
50
0
50
100
150
200
250
300
350
400
450
500
Nov-14
May-15
Nov-15
May-16
Nov-16
May-17
Nov-17
May-18
Nov-18
May-19
Nov-19
May-20
Nov-20
May-21
Nov-21
May-22
Nov-22
May-23
Nov-23
May-24
Southbound Cumulative Flows (LHS) Southbound Weekly Flows
Southbound 1M Net Flows
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
0
50
100
150
200
250
300
350
400
450
500
Apr-17
Jul-17
Oct-17
Jan-18
Apr-18
Jul-18
Oct-18
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
Apr-20
Jul-20
Oct-20
Jan-21
Apr-21
Jul-21
Oct-21
Jan-22
Apr-22
Jul-22
Oct-22
Jan-23
Apr-23
Jul-23
Oct-23
Jan-24
Apr-24
Jul-24
Stock Connect holdings ($bn)
Stock Connect holdings (% of A-shares total market cap, RHS)
Stock Connect holdings (% of A-shares free float market cap, RHS)
1%
3%
5%
7%
9%
11%
13%
15%
17%
19%
60
110
160
210
260
310
360
410
Apr-17
Jul-17
Oct-17
Jan-18
Apr-18
Jul-18
Oct-18
Jan-19
Apr-19
Jul-19
Oct-19
Jan-20
Apr-20
Jul-20
Oct-20
Jan-21
Apr-21
Jul-21
Oct-21
Jan-22
Apr-22
Jul-22
Oct-22
Jan-23
Apr-23
Jul-23
Oct-23
Jan-24
Apr-24
Jul-24
Stock Connect holdings ($bn)
Stock Connect holdings (% of Hong Kong total market cap, RHS)
Stock Connect holdings (% of HSCI free float market cap, RHS)
-1000 -800 -600 -400 -200 0 200 400 600 800
Utilities
Real Estate
Materials
IT
Industrials
Healthcare
Financials
Energy
Consumer Stap
Consumer Disc
Comm. Serv.
Southbound Net Weekly Flow ($mn) Northbound Net Weekly Flow ($mn)
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
Jan-16
Jul-16
Jan-17
Jul-17
Jan-18
Jul-18
Jan-19
Jul-19
Jan-20
Jul-20
Jan-21
Jul-21
Jan-22
Jul-22
Jan-23
Jul-23
Jan-24
Jul-24
CSI 300 Composite Trend Signal
Global Quantative & Derivatives Strategy August 20, 2024
Xipu HanAC +852 2800 1029 xipu.han@jpmorgan.com
Haoshun Liu +852 2800 7736 haoshun.liu@jpmorgan.com
Data as of August 16, 2024
Tony Lee +852 2800 8857 tony.sk.lee@jpmorgan.com
Sources for data: J.P. Morgan, Bloomberg Finance L.P., Hong Kong Exchange, CEIC J.P. Morgan Securities (Asia Pacific) Limited /J.P. Morgan Broking (Hong Kong) Limited
This material is neither intended to be distributed to Mainland China investors nor to provide securities investment consultancy services within the territory of Mainland China. This material or any portion hereof may not be reprinted, sold or redistributed without the written
consent of J.P. Morgan
China Equity Flow Monitor
3M Realized Correlation between Northbound Net Inflows and CSI 300 Performance
China Onshore Equity and Hybrid Mutual Fund Issuance
China Onshore Margin Trading Balance China A-shares New Investor Count
Hong Kong Short Sell Turnover A vs H Premium/Discount
China Onshore Equity Market Fund Flows Breakdown by Major Sources
Cash Equity Positioning Indicators
0.3
1.3
2.3
3.3
4.3
5.3
6.3
7.3
5%
7%
9%
11%
13%
15%
17%
19%
21%
23%
Nov-14
May-15
Nov-15
May-16
Nov-16
May-17
Nov-17
May-18
Nov-18
May-19
Nov-19
May-20
Nov-20
May-21
Nov-21
May-22
Nov-22
May-23
Nov-23
May-24
Short Sell Turnover as % HK Cash Turnover 5D MA (LHS)
Short Sell Turnover 5D MA (RHS, $bn)
0
500
1000
1500
2000
2500
3000
3500
4000
4500
5000
Apr-15 Apr-16 Apr-17 Apr-18 Apr-19 Apr-20 Apr-21 Apr-22 Apr-23
Thousands
China A-shares new investor count
80
90
100
110
120
130
140
150
160
Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
Index Level (100 = Parity)
Hang Seng China AH Premium Index (Current
Level = 147)
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
0
50
100
150
200
250
300
350
May-16 May-17 May-18 May-19 May-20 May-21 May-22 May-23 May-24
Margin Trading Balance Outstanding ($bn, LHS)
Margin Trading Balance / Free Float Market Cap (RHS)
0
50
100
150
200
250
300
350
400
450
500
Jan-16 Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
Equity Funds Issued Shares (bn)
Hybrid Funds Issued Shares (bn)
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
Jan-16
Jul-16
Jan-17
Jul-17
Jan-18
Jul-18
Jan-19
Jul-19
Jan-20
Jul-20
Jan-21
Jul-21
Jan-22
Jul-22
Jan-23
Jul-23
Jan-24
Jul-24
6M rolling correlation between CSI 300 weekly
performance and NB weekly net inflows
0
50
100
150
200
250
300
350
400
450
500
Jan-16 Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24
Equity Funds Issued Shares (bn)
Hybrid Funds Issued Shares (bn)
Period Jul24 Jun24 May24 Apr24 Mar24 Feb24 Jan24 Dec23 Nov23 Oct23 Sep23 Aug23
CSI 300, % change -2.7% -3.3% -0.7% 1.9% 0.6% 9.4% -6.3% -1.9% -2.1% -3.2% -2.0% -6.2%
CSI 500, % change -4.9% -6.9% -2.4% 2.9% -1.1% 13.8% -13.5% -2.1% 0.3% -2.9% -0.8% -5.7%
Equity and hybrid fund Issuance (CNY bn) ** 8 20 16 20 34 911 30 24 926 17
Northbound (CNY bn) -36 -44 9 8 20 61 -15 -13 -2 -45 -37 -90
Margin purchase (CNY bn) -41 -39 14 -22 56 -60 -79 -13 43 40 32 -9
China onshore listed ETF flow (CNY bn) 169 62 -25 20 12 182 151 93 -6 -6 22 150
- Broad index ETFs (CNY bn) 178 53 -30 15 20 196 146 85 -5 -2 22 134
- Sector ETFs (CNY bn) -6 3 3 -1 0 -10 -1 5-1 -3 2 0
- Thematic ETFs (CNY bn) -2 303-7 -7 1 4 -3 -2 -3 15
Sum of Flows (CNY bn) 100 -2 14 25 122 192 69 97 60 -2 43 68
Onshore markets ADT V (CNY bn) 634 712 836 902 996 934 713 754 861 812 689 773
* Data as of 30 July 2024
** May contain incomplete data
摘要：
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GlobalQuantative&DerivativesStrategyAugust20,2024XipuHanAC+85228001029xipu.han@jpmorgan.comHaoshunLiu+85228007736haoshun.liu@jpmorgan.comDataasofAugust16,2024TonyLee+85228008857tony.sk.lee@jpmorgan.comSourcesfordata:J.P.Morgan,BloombergFinanceL.P.,HongKongExchange,CEICJ.P.MorganSecurities(AsiaPacifi...
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作者：西装暴徒
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时间：2024-09-09
