JPMorgan-China Equity Flow Monitor August 27, 2024-110029313

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Global Quantative & Derivatives Strategy August 27, 2024

Xipu HanAC +852 2800 1029 xipu.han@jpmorgan.com

Haoshun Liu +852 2800 7736 haoshun.liu@jpmorgan.com

Data as of August 23, 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 151.0 150.9 165.5 179.2

-16%

Cash Total 10.1 11.3 13.2 13.0

-22%

HSI 18.5 18.3 18.1 17.0

Warrants 0.5 0.5 0.6 0.6

-20%

HSCEI 17.8 17.7 19.9 21.8

-18%

CBBC 0.6 0.6 0.6 0.5

23%

CSI 300 30.5 30.7 33.9 37.2

-18%

Futures 15.2 14.8 21.0 21.9

-30%

SGX A50 10.3 10.1 11.4 11.0

-6%

HSI 10.8 10.6 14.4 15.1

-28%

CSI 500 30.6 31.0 34.2 40.8

-25%

HSCEI 4.4 4.2 6.7 6.8

-35%

CSI 1000 33.8 34.1 37.6 39.0

-14%

Listed Options 4.4 4.5 6.2 6.6

-33%

SSE 50 9.6 9.2 10.5 12.4

-23%

HSI 2.7 2.7 3.8 3.9

-30%

Listed Options** 118.6 115.5 127.6 136.1

-13%

HSCEI 1.7 1.8 2.4 2.7

-37%

HSCEI 52.4 51.2 59.5 69.4

-24%

China A HSI 22.7 21.7 22.4 20.4

11%

Cash Total 67.5 71.4 86.2 104.8

-36%

SSE 50 2.6 3.1 5.0 5.8

-55%

Shanghai 25.9 27.6 35.1 41.6

-38%

CSI 300 16.5 16.1 16.8 18.6

-12%

Shenzhen 41.5 43.8 51.1 63.2

-34%

CSI 500 12.1 12.1 10.9 9.5

28%

Futures 41.8 40.4 53.0 62.0

-33%

CSI 1000 12.3 11.3 13.1 12.4

CSI 300 10.0 9.8 12.3 14.7

-32%

CSI 500 8.8 9.0 11.3 13.2

-33%

CSI 1000 15.7 15.5 20.3 23.5

-33%

($bn) ETF (by Geographic Exposure)

SSE 50 4.0 3.5 4.7 5.9

-32%

AUM 1W flow 3M flow Avg Daily T/O

MSCI China A50 0.3 0.3 0.5 0.7

-63%

China Onshore - onshore listed 237.0 4.8 40.5 2.2

SGX A50 2.9 2.2 3.9 4.1

-27%

- offshore listed 9.4 -0.1 -1.6 0.1

China Offshore 21.8 0.0 -2.3 1.8

Hong Kong 20.7 0.1 0.5 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 only 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 are Mainland China; Hong Kong SAR, (China); Taiwan, (China); and Macau SAR, (China).

Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24

HSI HSCEI A50

CSI300 SSE50 CSI500

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)

100

150

200

250

Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24

Turnover ($bn)

Shenzhen (61%) Shanghai (39%) 1Y avg. Total TO ($105bn)

Jan-17 Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23 Jan-24

Turnover ($bn)

CBBC (5%) Warrants (5%) Other Cash (90%) 1Y avg. Total TO ($13bn)

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

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 27, 2024

Xipu HanAC +852 2800 1029 xipu.han@jpmorgan.com

Haoshun Liu +852 2800 7736 haoshun.liu@jpmorgan.com

Data as of August 23, 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

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 Southbound Holdings vs Hong Kong Total Market Cap Stock Connect Southbound Net Cum. Flows Since Inception and Weekly Flows ($bn)

Stock Connect Net Flow in the Past Week CSI 300 Composite Trend Signal

Date 23-Aug-24 Southbound Cumulative Flows (since inception) 428.67 Southbound Weekly Flows -0.16 Southbound YTD Flows 57.90

Stock Connect Cumulative and Weekly Flows (in $Bn)

Stock Connect and Foreign Flow

10%

15%

20%

25%

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

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

-10

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

11%

13%

15%

17%

19%

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)

-100 -50 0 50 100 150 200 250 300 350

Utilities

Real Estate

Materials

Industrials

Healthcare

Financials

Energy

Consumer Stap

Consumer Disc

Comm. Serv.

Southbound 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 27, 2024

Xipu HanAC +852 2800 1029 xipu.han@jpmorgan.com

Haoshun Liu +852 2800 7736 haoshun.liu@jpmorgan.com

Data as of August 23, 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

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

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)

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

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 = 149)

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

7.0%

100

150

200

250

300

350

Jun-16 Jun-17 Jun-18 Jun-19 Jun-20 Jun-21 Jun-22 Jun-23 Jun-24

Margin Trading Balance Outstanding ($bn, LHS)

Margin Trading Balance / Free Float Market Cap (RHS)

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

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 ADTV (CNY bn) 634 712 836 902 996 934 713 754 861 812 689 773

* Data as of 30 July 2024

** May contain incomplete data

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GlobalQuantative&DerivativesStrategyAugust27,2024XipuHanAC+85228001029xipu.han@jpmorgan.comHaoshunLiu+85228007736haoshun.liu@jpmorgan.comDataasofAugust23,2024TonyLee+85228008857tony.sk.lee@jpmorgan.comSourcesfordata:J.P.Morgan,BloombergFinanceL.P.,HongKongExchange,CEICJ.P.MorganSecurities(AsiaPacifi...

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