来源888arcade：Kevin策略研究
摘要
在短短两周之内，港股市场收复去年9月以来的全部跌幅，恒生指数突破18000点，领涨全球市场。本轮反弹规模之大、速度之快，大幅超出市场预期、并引发广泛关注，那么大涨背后的原因是什么？外资近期为什么大幅流入？还有多少空间和持续性？经过短短两周内近13%的涨幅后（恒生科技涨幅超18%），港股还有多少空间？
一、市场为何大涨？外资为何流入？外围市场波动下的再平衡需求，新兴市场和亚洲除日本资金最明显。交易型资金回流及卖空回补确实占一定比例，本地和区域型配置资金亦有所回流，但难以确认是否是主力。一些主阵地仍在亚太地区和新兴市场的本地和区域资金也有仓位再平衡回来的需求，对比之下，欧美长线资金对于中国市场的重新流入往往需要看到更多基本面企稳向好的迹象，而并非仅是因为外围市场波动。
二、外资还有多少流入空间？区域再平衡资金更多是因为外围波动，而更多长线资金回来需基于基本面好转。1）若今年一季度以来持续流出的资金全部回流，对应49亿美元，相当于2021年自高点起流出规模的17%和2023年以来流出规模的26%。2）若全球各类型基金对中国市场配置比例重新回到标配，将带来421亿美元流入。
三、港股还有多少空间？风险溢价是主要贡献，短期情绪透支888arcade；仅靠情绪改善可能还有2-7%的空间。本轮行情主要由资金面推升的估值驱动。经过了近期快速上涨后，短期已经透支明显。1）若风险溢价回落到去年中和年初的水平，分别对应约2-7%的空间。2）若后续政策持续发力，推动乐观情形下盈利增长10%，对应约20%的上涨空间。
正文
港股还有多少空间？
继上周港股（恒生指数）创下2011年10月以来最大单周涨幅后，本周五一假期期间，港股再度强劲上涨。主要指数中，恒生科技指数领涨6888arcade.8%，恒生指数、恒生国企和MSCI中国分别上涨4888arcade.7%、4.4%、3.9%。板块层面上，除能源（-1.2%）、原材料（-0.5%）和电信服务（-0.3%）外，其余板块均有不同程度涨幅，其中房地产（+12.2%）、保险（+6.4%）及媒体和娱乐（+5.2%）领涨。值得指出的是，在本周后半段五一假期期间南向资金缺席的情况下，港股延续涨势，尤其在周四单日大涨2.5%，恒生科技大涨4.5%，这也表明港股市场此轮的快速涨幅的确由非内地资金驱动，如本地资金和部分外资等（《港股大涨后的前景分析》）。
那么，外资近期为什么大幅流入？还有多少空间和持续性？经过短短两周内近13%的涨幅后（恒生科技涨幅超18%），港股还有多少空间？针对上述市场普遍关心的问题，我们进一步分析解答。
图表：海外中资股市场上周整体上涨
图表：港股跑赢全球主要市场
图表：房地产和保险领涨，能源和原材料跌幅靠前
一、市场为何大涨？外资为何流入？外围市场波动下的再平衡需求，新兴市场和亚洲除日本资金最明显
在短短两周之内，港股市场收复去年九月以来的全部跌幅，恒生指数突破18000点，领涨全球市场。本轮反弹规模之大、速度之快，大幅超出市场预期、并引发广泛关注，那么大涨背后的原因是什么？
基本面和政策面有一些积极变化，但都无法单独解释如此快速和大幅的上涨。如我们《港股大涨后的前景分析》中分析，从基本面看近期积极变化有限：1）4月以来港股指数尤其是大涨的互联网科技板块盈利预期并没有出现大幅上修，反而是下调的；2）一季度数据超预期后，4月以来的高频数据有所转弱，尤其是地产和工业产出和投资相关数据，同时作为出口主要拉动的美国地产需求在利率重新回升下也开始转弱；3）财政支出进展和信贷数据依然偏弱。
图表：恒生指数2024年盈利预期4月中旬以来小幅上调0.6%
图表：上周保险、运输盈利上修，多元金融、信息技术下修最多
图表：广义财政赤字力度较去年四季度收缩
图表：2023年财政脉冲转负，2024年初较2023年12月环比走弱
图表：近期宏观高频数据好坏参半，工业生产和地产仍然偏弱，消费有所改善
图表：信用利差走阔~50bp和美股下跌8-10%可以使得金融条件再度收紧
从政策面看近期有一些积极进展：主要包括对港5条合作措施（《解读5项资本市场对港合作措施》），央行购债，更多城市如成都和北京放宽限购，以及4月政治局会议上关于财政、货币和地产的表述（“要及早发行并用好超长期特别国债，加快专项债发行使用进度，保持必要的财政支出强度”、“要灵活运用利率和存款准备金率等政策工具”、“统筹研究消化存量房产和优化增量住房的政策措施”）等超出市场预期。
不难看出，资金是助推市场出现如此之快，且超出基本面和政策支撑外大涨的主要原因。在港股市场一贯成交低迷、且经过过去三年持续回调后已经缺乏卖家的情况下，资金的边际变化的撬动叠加卖空回补往往会带来快速且大幅的上涨，这也是历史上港股的典型特征（《港股大涨后的前景分析》）。
1) which funds are the main force? After a comprehensive summary of various channels and data, we draw a preliminary conclusion: there is indeed an inflow of foreign capital, but the return of transactional funds and short selling cover do account for a certain proportion, and local and regional allocation funds also return, but it is difficult to confirm whether it is the main force. Due to the lack of complete and overall statistics of foreign investment and the impenetrable shareholding in the Hong Kong stock market, it is almost impossible to describe the source of capital once and for all, especially in such a short period of time. This also makes the recent information obtained by investors from various sources inconsistent, even contradictory.
From the EPFR active fund data that we track and recommend to use (mainly to measure the subjective long fund institutional investors, "how to depict and analyze foreign investment?" Foreign investment in some regions has returned but on a small scale, indicating that it is not a sustained substantial inflow and major contribution, otherwise it should be reflected in all channels and as a whole. Data from this week to Wednesday show that active passive capital outflows have narrowed significantly. This week, passive outflows were $237 million (vs. Last week, $1.182 billion), and active outflows were $279 million (vs. $488 million last week). From a regional perspective, active global funds turned into $27 million this week, while passive global funds and global emerging market funds turned into $41 million and $40 million, respectively.
Chart: overseas active funds have flowed out of the Hong Kong stock market for the 44th consecutive week
2) Why the sudden inflow? Rebalancing demand for local and regional funds under external market fluctuations. Judging from the characteristics that the inflows are mainly transactional funds and local and regional allocation funds, some of the inflows of foreign capital may be related to the rebalancing demand in the context of fluctuations in peripheral markets such as Japan and the US stock market: on the one hand, the 6.9% fall in the Japanese stock market from its peak and the sharp depreciation of the yen have cooled the once optimistic and even excited investment enthusiasm. On the other hand, US stocks continued to fluctuate after the recent Fed interest rate cut, which made the trading of long-day stocks and US stocks out of the Chinese market from the fourth quarter of last year, especially at the beginning of this year, not as good as expected.
As a result, some of the main positions are still in the Asia-Pacific region and emerging markets, and there is also a need for local and regional funds to rebalance their positions. By contrast, the re-inflow of European and American long-term funds into the Chinese market often needs to see more signs of stabilizing fundamentals, not just because of external market fluctuations.
This logic basically echoes the recent data on capital flows. Also based on EPFR data, the proportion of Chinese stocks allocated by all types of funds has rebounded to varying degrees since 2024, especially emerging market funds and Asian funds excluding Japan. As of the end of March, low-priced Chinese stocks of global funds (global funds) were 0.21% (benchmark ratio 0.89%, low allocation 0.30% at the end of 2023), global emerging market funds 1.92% (benchmark ratio 23.73%, low allocation 2.76% at the end of 2023), and 1.68% except US funds (benchmark ratio 3.78%, low allocation 1.99% at the end of 2023). Asia except Japan funds low-priced Chinese stocks 3.31% (benchmark ratio 25.55%, low allocation 4.8% at the end of 2023).
Chart: all regional funds have declined in varying degrees to the degree of low allocation in China.
Chart: global funds in active funds, global and global emerging markets in passive funds all have inflows to varying degrees.
Second, how much room is there for the inflow of foreign capital? Regional rebalancing funds are more due to external fluctuations, while the return of more long-term funds needs to be based on improved fundamentals.
At present, the market is generally concerned about how much room for the inflow of foreign capital. We believe that if only fluctuations in the external markets lead to the rebalancing of funds from the main positions in the Chinese and Asian markets, the scale of this inflow may be relatively limited, such as the full recovery of outflows since the first quarter of this year.
By contrast, longer-term capital inflows and increased allocation to the Chinese market require a long-term logic based on improved fundamentals.
We make the following two assumptions according to different situations:
1) if all the sustained outflows since the first quarter of this year were returned, it would correspond to $4.9 billion, equivalent to 17 per cent of outflows from highs in 2021 and 26 per cent since 2023. The reason for choosing the first quarter of this year is that the peripheral markets, especially the Japanese stock market, have become the main focus of global investors' attention. as a result, it may lead to some capital outflows and long-day stocks, with more outflows from the United States and Europe in the early and second half of 2023. If you roughly use this as a reference, corresponding to the EPFR caliber, 17% of the outflow since 2021 and 26% of the outflow since 2023.
Chart: at present, Japanese stocks have fallen significantly from their highs, while the yen has depreciated more.
Chart: large inflows of foreign capital into the Japanese stock market since the beginning of the year
Chart: the main outflow of foreign capital in the fourth quarter of last year was European funds.
2) if the proportion of global funds allocated to the Chinese market returns to the standard allocation, it will bring an inflow of US $42.1 billion. As mentioned above, all the major regional funds have been underallocated to China. We assume that the above four types of funds all return to the standard allocation of Chinese stocks. Take the global fund as an example, the current total size is 1.1 trillion US dollars. If it returns to the standard allocation from the current low allocation ratio of 0.21%, it corresponds to an inflow of 2.32 billion US dollars. Similarly, with the exception of potential outflows from funds in the US, emerging markets and Asia excluding Japan, the total could lead to a return of $42.13 billion. However, this assumption may require more long-term logic to improve long-term fundamentals, which depends on active fiscal efforts to reverse the current credit contraction, rather than just because of external market volatility.
Third, how much room is left for Hong Kong stocks? Risk premium is the main contribution, short-term emotional overdraft; there may be 2-7% room for mood improvement alone.
This round of market is mainly driven by the valuation pushed up by the capital side. Of the 13.7 per cent rise in the Hang Seng index since April, valuation expansion contributed 14.0 per cent and earnings shrank 0.3 per cent. When the valuation was further dismantled, the risk premium fell by 11.5 per cent, contributing to all increases in the valuation, while the weighted risk-free interest rate between China and the US contributed a small 0.8 per cent.
After the recent rapid rise, the short-term overdraft is obvious. From the technical and emotional indicators such as the degree of overbought and the proportion of short selling, the current degree of overbought is 88.4, which has reached the highest level since January 2023, and the proportion of short selling transactions has quickly fallen back to the recent low of 14%. At the same time, the Hang Seng Index near 18000 is also the key resistance level of the daily line, weekly line and monthly line, and is obviously in a state of emotional overdraft.
So in the medium term, how much room to rise? We measure it in two ways:
1） 若风险溢价回落到去年中和年初的水平，分别对应约2-7%的空间。我们上文中提到的单纯资金再平衡的驱动主要对应的风险溢价的回落。当前，港股市场风险溢价为7.3%，已经降至去年中7-8月附近水平。结合上文分析，假设盈利和无风险利率保持不变，若今年一季度以来资金全部回流，风险溢价降至去年中的低点，则对应估值仍有有约2%的上涨空间，对应点位19000点左右，如果进一步降至去年初的低点，则对应7%的空间，接近20000点。
2） 若后续政策持续发力，推动乐观情形下盈利增长10%，对应约20%的上涨空间。结合政治局会议中关于财政、地产、货币的乐观表述，如果后续政策力度兑现后真能推动信用扩张，则基本面能有较强修复，长线资金亦有可能进一步回流。我们在《中金2024年展望 | 港股市场：不疾而速（完整版）》中的测算，乐观情形下我们预计2024年盈利或可以实现10%的对应增长（当前我们预计盈利增速为5%），同时假设当前无风险利率不变，风险溢价降至7%左右，我们测算约仍有20%的上涨空间，对应恒生指数点位22，000点。
图表：当前市场的超买程度已创2023年1月以来新高
图表：卖空成交占比快速回落至15%的近期低点
图表：当前风险溢价已回落至去年七八月水平