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　　来源：中信建投证券研究

　　文|陈果 夏凡捷

　　4月市场情绪先降后升，16日市场情绪遭遇重挫险些跌入恐慌区。26日开始情绪指数明显上升并发出bingoquest了买入信号，提示A股做多机会。短期来看市场前期利空已经基本消化，做多热情正在上升。虽然情绪指数上升速度最快时期可能已经过去，但5月市场情绪仍有进一步上行空间。长期来看今年春节之后市场情绪明显改善，本轮情绪高点和低点均高于以往，反映出微观流动性改善背景下市场预期正在改善。

　　4月情绪指数先降回升，近期明显回暖，具体来看：

　　换手率：4月换手率并未出现趋势下跌或上涨，基本围绕在1bingoquest.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：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：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7bingoquest.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：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：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：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。

　　风险提示：模型基于历史数据，对未来预测能力有限

　　2022年3月底，bingoquest我们推出了中信建投策略-投资者情绪指数，由多个市场公开交易指标合成而来。该指数在A股历史行情重要区间都较好地反映了当时市场情绪水平，并且极高和极低点能够领先于行情反转，具有一定的预测能力。需要指出的是，该指数用于刻画市场的投资者情绪，是同步指标，其预测性主要由投资者情绪对市场的预测性来体现。投资者情绪指数推出后，受到了大量投资者的关注，因此我们从2022年4月底开始，以月报的形式，对当前市场情绪进行跟踪和展示，并给出分项核心情绪指标的历史走势和最新动向。

　　如何理解当前投资者情绪的大幅回暖

　　在市场情绪跟踪3月报中，我们预计投资者情绪指数的回落还会持续一段时间。我们通常会在4月观察到市场情绪的回落，这往往与3月开工季数据披露、市场进入财报季、政治局会议政策预期兑现等因素有关。事实上，从3月底到4月上旬，投资者情绪指数一路下滑，4月16日最低降至接近13的水平，几乎跌入恐慌区。不过在多方面因素共同作用下，4月下旬情绪指数稳定在了25附近，月末更是出现了大幅攀升，做多热情大涨。

　　具体来看，3月18日投资者情绪指数短暂见顶后逐步回落，4月初已经降至55下方。上旬市场情绪滑落缓慢，基本稳定。中旬后受到美元指数走强、部分经济数据低预期、中东地缘政治风险引发全球避险的影响，情绪指数大幅下降。新“国九条”发布后，部分投资者担忧相关退市指标针对小盘股，引发市场大幅波动，这也导致4月16日市场情绪遭受重挫降至接近13，险些跌入恐慌区。而在当日晚间相关误读被澄清后，次日市场情绪大幅攀升。此后7个交易日情绪指数围绕25附近震荡，26日开始明显上升并发出了买入信号，提示A股做多机会。最后两个交易日情绪指数进一步攀升到50以上的水平。如何理解当前投资者情绪的大幅回暖？从短期市场来看，近期市场情绪的改善主要是成交量指标下行遇阻和价格指标底部回升导致的，这反映出市场前期利空已经基本消化，做多热情正在上升。虽然情绪指数上升速度最快时期可能已经过去，但5月市场情绪仍有进一步上行空间。从长期趋势来看，2022之后市场情绪指数多次跌入恐慌区，情绪高涨时也很少突破65，而今年春节之后市场情绪明显改善，本轮情绪高点和低点均高于以往，这反映出微观流动性改善背景下市场预期正在改善。

　　我们对各分项指标进行分析。七大指标中，换手率、偏股基金发行量、融资买入占比、隐含风险溢价、股债收益差数据经过5日平均平滑；超60MA、超买超卖两项指标原为周度数据，为了更加灵敏现在统一进行日度化，60周均线实质上改成了300日均线。下文均默认使用这一口径。

Turnover rate: April A-share turnover rate narrow range concussion. The turnover rate did not show a downward or upward trend in April, basically around a narrow range of 1.25%. 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: low before and after the issue in April, still at a low level. After a slight improvement in March, the issuance of new funds fell into a freezing point again in early April and gradually improved in the last ten days, and is still at a low level as a whole.

Proportion of financing purchases: restart the upward trend in the second half of the month. The share of financing purchases in April continued its previous downward trend, falling to a phased low of 7.69% on April 16, 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, surpassing 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: continue high volatility. 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.

The yield gap between stocks and bonds: it fell first and then rose in April, which is the main reason for the fluctuation of the mood index. 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, falling to a phased low of-5.45% on April 23, and then began to recover, approaching zero axis 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: weak as a whole, still hovering around 20%. The index describes the strength of the market from a medium-and long-term perspective, reflecting the proportion of stocks whose closing price is above the 60-week moving average (300-day moving average). Historically, more than 80% / less than 20% of the index often means that the market sentiment is too hot / too cold, and the market may be reversed. The index as a whole was weak in April, failing to break through 25% and still hovering around 20%.

Overbought and oversold: still close to becoming a regular employee below the zero axis. The index describes the strength of the market from a short-term perspective, falling first and then rising 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.