機構觀點 | 銀河-聯昌稱AH股高溢價,建議做空滬深300指數ETF,做多恆生國企指數ETF
銀河-聯昌表示,A股較H股的溢價水平較五年均值高出2.33個標準方差,對相信均值迴歸的投資者,可選方案之一是:做多恆生國企指數ETF,且做空滬深300指數ETF。
跟蹤滬深300指數的ETF:
正向跟蹤:南方兩倍做多滬深300(7233 HK)、華夏滬深300(3188 HK)。
反向跟蹤:南方一倍做空滬深300(7333 HK)。
跟蹤恆生國企指數的ETF:
正向跟蹤:南方兩倍看多國指(7288 HK)
注:買賣ETF需小心跟蹤偏差、流通性差等風險。
分析師Wong Chi Man等人在報告中表示,恆生滬深港通AH股溢價指數僅較2015年的峯值低4%,A股高溢價難免引發對於牛市結束的擔憂;但是2015年的情況顯示,A股高溢價時,市場波動會放大很多,但在大跌前會有雙頂出現。

圖片來源:Wind
中國人壽、新華保險、海通證券等金融股溢價極高,短線股價波動或非常劇烈。
歷史經驗看,A股溢價高,並不一定意味着H股會補漲, 通過A股調整的方式來收窄溢價也是有可能的。
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