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at the end of march 2022, we launched the citic strategy-investor sentiment index, which is synthesized from multiple market public trading indicators. this index better reflects the level of market sentiment at that time in the important ranges of a-share historical prices, and its extremely high and extremely low points can lead to market reversals, so it has certain predictive capabilities. it should be pointed out that this index is used to describe the investor sentiment in the market and is a synchronous indicator. its predictability is mainly reflected by the predictability of investor sentiment on the market. after the launch of the investor sentiment index, it has attracted the attention of a large number of investors. therefore, starting from the end of april 2022, we will track and display the current market sentiment in the form of monthly reports, and give the historical trends of the sub-item core sentiment indicators. and latest trends. in august 2024, we launched another special report, reviewing the actual effect of market timing in the past two and a half years since the release of the sentiment index, and summarizing the performance of different market styles under different emotional states.

investor sentiment rose sharply at the end of september, leaving the panic zone and entering the excitement zone only on the 5th

in the previous monthly market sentiment tracking reports, we pointed out that from the perspective of market sentiment, the current market has many similarities with the end of the bear market in 2018. after repeated bottoming and bottom confirmation, we need to use technical counter-drawing and thematic the market is the starting point, and gradually evolves into a structural market, and finally a general rising market appears. however, the market came more quickly and violently than we expected. with the introduction of the financial policy package on september 24, a-shares staged the "5-day miracle", and the market sentiment quickly left the panic zone and entered the panic zone in only 5 trading days. in the excitement zone, the all-a index also surged by more than 26% in these five trading days.

on september 24, the sentiment index surged sharply and left the panic zone, issuing a buy signal on the right. by september 30, our estimated sentiment index data has reached 95 (there may be certain errors due to the fact that the two financial data have not been fully disclosed). market sentiment has returned to the high zone after three years and returned to the excitement zone after four years. historically speaking, it is difficult for investor sentiment to reach the high zone in a bear market environment, let alone the excitement zone. in fact, the long-term market weakness and stock game since 2022 have made it impossible for the sentiment index to break through 75 and enter the high zone in the past three years. . the current high investor sentiment means that the a-share market has entered a new stage, and we should make investment decisions with a bull market mindset. a current market concern is whether the hot investment enthusiasm means that the market is overheated? is the market at risk of a correction? judging from the experience of 2015, 2019 and 2020, after emotions enter the excitement zone, the market often continues to rise in the short term. there may be some adjustments in the market as sentiment falls later, but this adjustment does not mean the end of the bull market. judging from the current sentiment index position, the current market sentiment at the end of september is equivalent to march 5, 2019 or july 7, 2020 in history.

we analyze each sub-indicator. among the seven major indicators, the turnover rate, partial stock fund issuance, proportion of financing purchases, implied risk premium, and stock-bond return difference data have been smoothed by the 5-day average; the two indicators of exceeding 60ma, overbought and oversold were originally weekly in order to be more sensitive, the daily data are now unified and the 60-week moving average is essentially changed to the 300-day moving average. this caliber is used by default below.

turnover rate: the a-share turnover rate soared above 2% at the end of september, indicating that the market has entered a state of overheating in the short term. historically, after the turnover rate exceeds 2%, there is often a process of further increase in volume, and the stock index's rise has not yet ended, and then the turnover rate leads the stock index to fall back.

new issuance volume of partial equity funds: the issuance of a500 etf drove the rebound in fund issuance at the end of september. recently, new fund issuance has returned to the high point in may this year. as the market further recovers, this indicator is expected to continue to rise and become a key indicator for tracking bull market sentiment.

proportion of financing purchases: the indicator of the proportion of financing purchases surged sharply at the end of september, approaching 10%, a new high since march 2021.

this reflects the substantial improvement in leveraged funds’ expectations for the market outlook. judging from the historical forward-looking significance of this indicator, the market is expected to remain strong in the next three months.

implied risk premium: rapid decline from historical highs, still at a relatively high level.

from june to september, this indicator rose sharply to the highest level in history. however, as a-shares recovered, this indicator fell rapidly at the end of the month, but overall it was still at a relatively high level, which means that the current allocation of equity assets is still cost-effective.

the return difference between stocks and bonds: returned to above the zero axis after 4 months, and the money-making effect has improved significantly.

as the stock market recovers and the bond market adjusts, the stock-bond yield gap indicator, which reflects the short-term profit-making effect of investors, has rebounded sharply recently and was close to 10% at the end of the month. however, it is still far away from the highs in march 2019 and july 2020.

over 60ma: it surged sharply from a very low position and returned to the mid-level.this indicator depicts market strength from a mid- to long-term perspective and reflects the proportion of stocks in the market that have closing prices above the 60-week moving average (300-day moving average). historically, when this indicator exceeds 80%/is below 20%, it often means that market sentiment is overheated/too cold, and the market may reverse. the indicator once fell to a low of 8% on september 18. it soared sharply at the end of the month and is now close to 50%. it has returned to the mid-level at an extremely fast speed, but compared with the highs of nearly 80% in april 2019 and august 2020, there is still a certain gap.

overbought and oversold: the indicator turns from negative to positive, which means that the oversold rebound has ended and the market has started a new round of upward trend.this indicator depicts the strength of the market from a short-term perspective. the indicator has risen above the zero axis at the end of september, indicating that the market has entered a strong cycle. at the same time, it is noted that the indicator is still far away from the highs in april 2019 and july 2020, and the current pressure to fall back from overshooting is limited.

risk analysis

1) there are errors in data statistics: the report data are exported from third-party databases such as wind, and there may be deviations in the inconsistent calibers between third-party databases; and due to statistical time issues, the data may fluctuate; due to the latest one-day fund issuance data it has not been announced yet. we have made an estimate and there may be errors compared with the actual value.

2) the model is based on historical data and has limited ability to predict the future: data statistics are lagging, which may affect the analysis results. the model is based on statistics and analysis of a-share historical data in recent years, and its ability to predict the future is limited; market sentiment may be affected by policies and other unpredictable events at the same time.

illustrate:this report is derived from a publicly released securities research report by the strategy team of the research and development department of citic construction investment co., ltd.

securities research report name:"a-shares staged a "5-day miracle", with emotions rising from panic to excitement - market sentiment tracking september report"

public release time:october 5, 2024

report issuing organization：citic securities co., ltd.

analysts for this report:

chen guo sac number: s1440521120006

xia fanjie sac number：S1440521120005

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