Focus on CHK and US stocks

CITIC Securities: Hong Kong stock market is expected to welcome a monthly level of valuation recovery trend.

来源：中信证券
作者：徐广鸿王一涵

近期市场对于美国经济衰退及降息影响较为关注。我们对比了NBER衡量经济衰退时期采用的8个经济指标，从当前情况及部分指标早已表现出筑底回升趋势来看，当前经济衰退担忧“为时尚早”。且若9月开启降息周期后预计也将带动主要经济指标快速修复，历史上预防式降息的平均修复时长约1-2个季度。因此，外围经济衰退担忧对港股市场的压制或相对有限；而随着降息逐步临近，中美利差收窄、人民币汇率走强或带动外资阶段性流入港股市场。尽管资金行为及市场走势更多需结合当下的国内基本面、政策面、地缘风险变动等多重因素分析，但考虑到近期港股底部特征再次凸显，外围风险担忧暂缓、国内政策预期逐步显现，我们判断港股市场有望迎来月度级别的估值修复行情，而估值性价比较为显著的互联网、消费及金融行业短期或将受益。

▍美国经济衰退担忧为时尚早。

7月美国就业数据公布后由于触发萨姆规则的临界点，引发了市场对美国经济衰退的担忧。但由于近年来劳动力供给增加同样导致了失业率上升，因此萨姆规则指标或有所失效。我们进一步通过观察NBER定义美国经济衰退时期采用的8个经济指标来衡量美国经济情况，各个指标当前状况均远好于历史上衰退时期的平均低点（失业率为高点）。尤其部分指标近期已表现出触底回升趋势，如实际GDP增速在二季度达到3.1%，相较2022年底提升2.5个百分点；实际个人消费支出增速、批发零售销售额增速分别相较前低提升1.7/5.6个百分点，更加凸显当前美国经济衰退担忧“为时过早”。另外，当前美国去通胀进程整体较为顺利，如果9月开启降息周期预计也将带动经济平稳修复，增加“软着陆”的概率。

▍美国经济衰退对港股走势的传导路径。

但考虑到当前美国经济仍处于温和回落趋势，后续经济下行的担忧仍可能阶段性影响市场情绪。美国经济衰退影响港股表现的传导路径有二：1）通过压制我国的出口直接影响经济基本面，并压制港股市场的盈利水平；但这种路径往往需要更长的传导时间体现；2）在基本面反应之前往往外部风险优先通过压制投资者情绪，影响港股市场估值。对比历史上历次美国衰退时期的港股走势，在绝大多数衰退时期开始前一个月左右，恒生指数已经开始出现显著下跌趋势。深衰退时期恒生指数下跌时长较长，多达半年到一年之间，而在衰退结束前3-4个月左右开始反弹趋势。浅衰退时期恒生指数的下跌时长约为1-2个月左右，而后多呈重新上涨趋势。分行业来看，在衰退前中期，港股防御性板块如公用事业、必选消费等跌幅相对较小；而衰退后期，受益于经济复苏预期及流动性宽松的成长性及顺周期板块涨幅较高，如信息技术、金融地产等。

▍美联储降息交易或带动增量资金流入港股市场。

1980年以来的9轮降息周期中，4次纾困式降息的持续时长相对更久（平均28个月），降息幅度相对更高（平均577bps）；而5次预防式降息的持续时长（约一个季度）及降息幅度（平均77bps）则相对偏低。历史来看，首次降息传导到美国主要经济指标筑底回升的时长平均约1-2个季度，进一步对美国经济韧性提供支撑。而从降息对港股影响的传导路径看，由于港股是以外资为主导的市场，外围货币宽松将带动中美利差收窄、人民币汇率走强，从而带动外部资金流入港股市场。但复盘历史来看，降息前后外资并未表现出必然流入中国市场的趋势，港股也非必然上涨，更多也需结合当下的国内基本面、政策面、地缘风险变动等多重因素分析。但结合预防式降息前后一个月，恒生指数均表现出显著上涨趋势；叠加当前港股估值已经再度回落到极具性价比的位置，我们认为实际降息前后港股或迎来阶段性的资金增配。分行业来看，成长性的医疗保健、消费，以及顺周期的能源材料、金融地产等板块往往在降息前后一个月具备较好的表现。

▍港股底部特征凸显，将迎来月度级别的估值修复。

5月20日至8月6日，受外部频繁扰动及内部经济增长压力影响，港股再度震荡下跌。但结合多重指标来看，港股已经再次体现出明显的底部特征。如成交额、估值的快速回落；做空比例、AH溢价、股息率的大幅抬升等均体现出港股投资者情绪再次回到了历史低点。而与此同时，我们也观察到近期外资情绪发生了边际变化。8月中旬以来，外资再度转向流入港股市场；8月16日至8月23日，我们测算的港股通/外资中介/内资中介分别净流入港股市场约60/31/-38亿港元。而在近期外资情绪缓和的过程中，开始增配兼具顺周期及高股息特征的银行保险等板块；以及估值较低的制药、互联网服务等成长板块。我们判断随着外围扰动阶段性缓解，降息预期也将利好市场情绪的修复，叠加当前港股接近底部的估值水平，我们判断港股市场有望迎来月度级别的估值修复行情，而估值性价比较为显著的互联网、消费及金融行业短期或将受益。

▍风险因素：

1）国内政策或经济复苏低于预期；2）海外央行货币宽松低于预期；3）中美关系进一步恶化；4）地缘冲突蔓延。

编辑/rice

Source: CITIC Securities
Authors: Xu Guanghong, Wang Yihan

The recent market has been paying close attention to the impact of the US economic recession and interest rate cuts. We compared the 8 economic indicators used by NBER to measure economic recessions. Based on the current situation and the early signs of bottoming out in some indicators, it is still too early to worry about an economic recession. If a rate cut cycle begins in September, it is expected to quickly lead to the recovery of major economic indicators. Historically, the average duration of recovery after preventive rate cuts is about 1-2 quarters. Therefore, the impact of external economic recession concerns on the Hong Kong stock market is limited. As the rate cut approaches, the narrowing of the interest rate differential between China and the United States, the strengthening of the RMB exchange rate, or the temporary inflow of foreign capital into the Hong Kong stock market may follow. Although the behavior of funds and market trends need to be analyzed in conjunction with multiple factors such as the current domestic fundamentals, policy expectations, and geopolitical risk changes, considering the recent re-emergence of bottom characteristics in the Hong Kong stock market, the temporary alleviation of external risk concerns, and the gradual emergence of domestic policy expectations, we believe that the Hong Kong stock market is likely to welcome a monthly-level valuation recovery trend, and the short-term internet, consumer, and financial industries with significant value-for-money ratios are expected to benefit.

The concern about the US economic recession is premature.

After the release of the US employment data in July, the market expressed concerns about the US economic recession due to the triggering of the critical point of the 'Samuelson rule'. However, the increase in labor supply in recent years has also led to an increase in the unemployment rate, so the Samuelson rule indicator may be ineffective. Furthermore, we further measure the US economic situation by observing the 8 economic indicators used by NBER to define economic recessions. The current situation of each indicator is much better than the average low point during historical recessions (with unemployment rate as the high point). In particular, some indicators have recently shown signs of bottoming out, such as the real GDP growth rate reaching 3.1% in the second quarter, an increase of 2.5 percentage points compared to the end of 2022; the growth rates of real personal consumption expenditure and wholesale and retail sales also increased by 1.7/5.6 percentage points, highlighting that concerns about the US economic recession are premature. In addition, the current US disinflation process is generally smooth, and if a rate cut cycle begins in September, it is expected to lead to a smooth economic recovery and increase the probability of a 'soft landing'.

The transmission path of the US economic recession to the trend of the Hong Kong stock market.

However, considering that the current US economy is still experiencing a mild downturn, concerns about further economic downturn may still periodically affect market sentiment. There are two transmission paths through which the US economic recession affects the performance of the Hong Kong stock market: 1) Directly affecting the economic fundamentals of China through suppressing exports, and suppressing the profitability level of the Hong Kong stock market. However, this path often takes a longer time to manifest; 2) Before the impact on the fundamentals occurs, external risks often first affect investor sentiment and market valuation. When comparing the trend of the Hong Kong stock market during historical US recessions, in the majority of cases, the Hang Seng Index has already started to show a significant decline about a month before the recession began. During deep recessions, the Hang Seng Index has experienced a longer duration of decline, ranging from six months to one year, and has started to rebound about 3-4 months before the end of the recession. During shallow recessions, the Hang Seng Index has experienced a decline for about 1-2 months, followed by a renewed upward trend. Looking at different sectors, during the middle period before the recession, defensive sectors in the Hong Kong stock market such as utilities and essential consumer goods experienced relatively small declines; while in the later period of the recession, growth and cyclical sectors benefiting from economic recovery expectations and loose liquidity, such as information technology, finance, and real estate, have shown higher increases.

The interest rate cuts by the Federal Reserve may lead to an increase in incremental capital flows into the Hong Kong stock market.

Among the nine interest rate reduction cycles since 1980, the duration of four relief-style interest rate reductions is relatively longer (averaging 28 months), and the interest rate reduction amplitude is relatively higher (averaging 577 basis points); while the duration of five preventive interest rate reductions (about one quarter) and the interest rate reduction amplitude (averaging 77 basis points) are relatively lower. Historically, it takes an average of about 1-2 quarters for the first interest rate reduction to be transmitted to major economic indicators in the United States and for the indicators to stabilize and rebound, further providing support to the resilience of the U.S. economy. From the perspective of the transmission path of interest rate reductions on the Hong Kong stock market, since the Hong Kong stock market is dominated by foreign capital, loose monetary policies in foreign markets will drive the narrowing of interest rate differentials between China and the United States and the strengthening of the RMB exchange rate, thereby attracting foreign capital inflows into the Hong Kong stock market. However, from a retrospective analysis, foreign capital did not show a trend of flowing into the Chinese market before and after interest rate reductions, and the Hong Kong stock market did not necessarily rise. It also needs to be analyzed in conjunction with multiple factors such as the current domestic fundamentals, policy environment, and changes in geopolitical risks. However, combining the performance of the Hang Seng Index in the month before and after the preventive interest rate reductions, it showed a significant upward trend; coupled with the fact that the current valuations of Hong Kong stocks have once again fallen to a position with great cost-performance ratio, we believe that the Hong Kong stock market may experience a phase of increased allocation of funds before and after actual interest rate reductions. In terms of sectors, growth sectors such as medical care and consumer goods, as well as cyclical sectors such as energy and materials and finance and real estate, often perform well in the month before and after interest rate reductions.

The characteristics of the bottom of the Hong Kong stock market are highlighted, and it will usher in a monthly-level valuation recovery.

From May 20th to August 6th, the Hong Kong stock market experienced another round of volatility and decline due to external disturbances and internal economic growth pressures. However, when considering multiple indicators, the Hong Kong stock market has once again shown clear bottom characteristics. For example, the rapid decline in trading volume and valuation; the significant increase in short-selling ratios, AH premiums, and dividend yields all reflect that investor sentiment in the Hong Kong stock market has returned to historical lows. At the same time, we have also observed that foreign investor sentiment has changed marginally in recent years. Since mid-August, foreign capital has once again turned to flow into the Hong Kong stock market. From August 16th to August 23rd, our calculations showed that the net inflows of Hong Kong Stock Connect, foreign intermediaries, and domestic intermediaries were approximately 6/3.1/-3.8 billion Hong Kong dollars respectively. In the process of the recent easing of foreign investor sentiment, there has been an increased allocation to sectors with cyclical characteristics and high dividend features, such as banks and insurance, as well as undervalued sectors such as pharmaceuticals and internet services. We believe that as external disturbances ease in stages and the expectation of interest rate reductions also boosts market sentiment, coupled with the fact that the current valuation of Hong Kong stocks is close to the bottom, we believe that the Hong Kong stock market is expected to usher in a monthly-level valuation recovery trend, and the internet, consumer, and financial sectors with significant valuation cost-performance ratio may benefit in the short term.

Risk factors:

1) The domestic policy or economic recovery is lower than expected; 2) Overseas central bank monetary easing is lower than expected; 3) Further deterioration of China-US relations; 4) Escalation of geopolitical conflicts.

Editor/rice

The translation is provided by third-party software.

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