Quantitative Analysis

• We analyzed the changes in short interest of KRX Stocks as of Jun 28th which has an aggregated short interest worth USD5.9bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in Lg Electronics, Hyundai Motor.

• The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
• SOUTHBOUND inflow continues, albeit smaller. Banks remain a big net buy. SOEs prominent in low overall SOUTHBOUND volume. 
• Wide spreads (high AH premium) saw H outperform, but narrow spreads saw Hs underperform quite significantly.

• We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 28th.
• The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
• We highlight flows for CCB (939 HK), ICBC (1398 HK), Tencent (700 HK).

• We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 104.9% as of Jun 28th.
• The average A-H premium changed by 1.3ppt week-on-week, led by materials, consumer discretionary, energy and offset by real estate, health care, consumer staples.
• We highlight weekly changes in A-H premium for China Tourism, Ganfeng Lithium, Air China, PetroChina, China Telecom.

• We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 28th.
• We estimate the weekly outflows to be US$1,763.0 million, led by information technology, consumer staples, consumer discretionary, and offset by utilities.
• We highlight flows for Foxconn Industrial Internet, Zhejiang Sanhua Intelligent Controls, Wanhua Chemical, BYD.

• We analyzed the changes in foreign holdings of KRX Stocks as of Jun 28th which has an aggregated holding worth USD564.4bn.
• We estimate that foreign flows to be inflows of USD33mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
• We highlight foreign changes in Samsung Electronics, Sk Hynix, Samsung SDI, Celltrion.

• We analyzed the latest HK SFC report for aggregate short position as of Jun 21st.
• Top short increases and decreases were tabulated for one week and four week period. 
• We highlight short changes in Zijin Mining, Lenovo, HSBC, Kuaishou, CK Asset, Yankuang Energy, China Longyuan.

• We analyzed the changes in short interest of TWSE Stocks as of Jun 28th which has an aggregated short interest worth USD100.9bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech, Wistron, Highwealth, Hon Hai, Synnex Tech Intl, Inventec.

• We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 28th which has an aggregated holding worth USD4,832.6bn.
• We estimate that foreign flows to be outflows of USD11,267mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
• We highlight foreign changes in Highwealth, Acer, King Yuan Elec, Bora Pharma, Auo, TSMC, Novatek, Mediatek, Chailease, Umc.

• We analyzed the changes in short interest of ASX Stocks as of Jun 21st (reported today) which has an aggregated short interest worth USD19.1bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in Telstra, BHP, Aristocrat Leisu, Sonic Healthcare, Treasury Wine, Fortescue, Westpac, NAB, ANZ.

• We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 28th based on HKEx daily reports.
• In the past 7 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).
• In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).

• We analyzed the changes in short interest of KRX Stocks as of Jun 21st which has an aggregated short interest worth USD5.8bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in Sk Hynix, Samsung Electronics, Hyundai Motor, Kia, Enchem.

• We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 21st.
• The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
• We highlight flows for BOC, CNOOC, CCB, BYD, Zijin Mining.

• We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 21st.
• We estimate the weekly outflows to be US$2,274.9 million, led by consumer staples, consumer discretionary, financials, and offset by information technology, energy.
• We highlight flows for Seres, Luxshare Precision, Zhongji Innolight, Eoptolink Technology Inc.,, Moutai, Midea, China Yangtze Power, Zijin Mining, Inner Mongolia Yili Industrial.

• We analyzed the changes in foreign holdings of KRX Stocks as of Jun 21st which has an aggregated holding worth USD554.3bn.
• We estimate that foreign flows to be inflows of USD1,302mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
• We highlight foreign changes in Samsung Electronics (005930 KS), Kia (000270 KS).

• We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 103.3% as of Jun 21st.
• The average A-H premium changed by -1.5ppt week-on-week, led by real estate, communication services, consumer staples and offset by utilities, information technology.
• We highlight weekly changes in A-H premium for China Tourism, Shenhua, China Telecom, CNOOC, Hua Hong Semi, YOFC, Huadian.

• We analyzed the latest HK SFC report for aggregate short position as of Jun 14th.
• Top short increases and decreases were tabulated for one week and four week period. 
• We highlight short changes in Baba, Kuaishou, Lenovo, CCB, Yankuang Energy, AIA.

• We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 21st which has an aggregated holding worth USD4,865.2bn.
• We estimate that foreign flows to be inflows of USD7,730mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
• We highlight foreign changes in Quanta Computer, Asmedia Tech, Delta Elec, Nanya Tech, Wiwynn, Evergreen Marine, Asia Vital, Alchip Tech, TSMC, Chailease.

• We analyzed the changes in short interest of TWSE Stocks as of Jun 21st which has an aggregated short interest worth USD104.4bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in Hon Hai, Wiwynn, Shihlin Elec&Eng, Tatung, Asia Vital, Ctbc Financial, TSMC, Inventec, Shin Zu Shing.

• The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
• BIG Net SOUTHBOUND inflow continues. Notable in the past four weeks are US$1.9bn of net flow to Energy Hs and US$2.2bn to Banks in the H side of H/A Pairs.
• AH Premia lowish in 52-week range, but still high for many pairs. I continue to expect further “convergence” among spreads, and the recent HA Premium bounce has lost momentum.

• SOUTHBOUND was again a net buyer, for HK$24.1bn this week, on smallish two-way volumes. Banks, Tech, Energy, and Materials all saw inflows.
• It is not clear how much of this is H/A discounts, expected dividend tax removal, shareholder return KPIs for SOE CEOs, upcoming Third Plenum policy, or national team buying…
• But valuations are acceptable. Flows are good. Policy changes are afoot. SOUTHBOUND may continue to see inflows – national team and otherwise.

• We analyze statistics on top repurchases over one week, one month, one quarter and one year periods ended on Jun 21st based on HKEx daily reports.
• In the past 7 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), Meituan (3690 HK), AIA (1299 HK).
• In the past 30 days, the top 3 companies that repurchased the most shares from the market were Tencent (700 HK), AIA (1299 HK), Meituan (3690 HK).

• We analyzed the changes in short interest of ASX Stocks as of Jun 14th (reported today) which has an aggregated short interest worth USD19.3bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in BHP, Champion Iron, Woolworths.

• We analyzed the changes in short interest of KRX Stocks as of Jun 14th which has an aggregated short interest worth USD5.8bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in L&F, Samsung SDI, Samsung C&T, Sk Hynix, Hyundai Motor.

• Dissertation findings show that earnings event risk premium for single stocks makes straddles punitive to own
• Discussion on inflated S&P 500 implied volume levels before macro events like CPI, nonfarm payrolls report, and FOMC meetings
• Recent work on implied dividends shows very little risk premium in dividends, market charging almost nothing for bearing risk of disappointing dividends

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• The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
• Last week saw NORTHBOUND net SELL RMB 21.9bn of A-shares. NORTHBOUND bought tech and sold everything else, especially consumer names. Kweichow Moutai, Midea, appliances and renewables.
• Ongoing questions as to whether the NORTHBOUND volumes to the buy side are all foreigners. Some suspect there is national team buying mixed in, as was expected from earlier announcements.

• The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
• SOUTHBOUND’s buy streak continues unabated. NORTHBOUND was heavy to sell. Only Tech bought. Consumer sold heavily.
• AH Premia lowish in 52-week range, but still high for many pairs. I continue to expect further “convergence” among spreads.

• SOUTHBOUND was again a net buyer, for HK$27.0bn this week, on small two-way volumes. Energy, banks, utilities, tech all saw inflows. 
• It is not clear how much of this is H/A discounts, expected dividend tax removal, KPIs for SOE CEOs to raise prices and payout ratios, or upcoming Third Plenum policy…
• But valuations are acceptable. Flows are good. Policy changes are afoot. SOUTHBOUND may continue to see inflows – national team and otherwise.

• We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 14th.
• We estimate the weekly outflows to be US$3,126.0 million, led by consumer staples, consumer discretionary, financials, and offset by information technology.
• We highlight flows for CATL, Mindray, Luxshare Precision, Shanxi Xinghuacun Fen Wine Factory, China Citic Bank, Moutai, Bank Of Communications, Wuliangye, China Yangtze Power, Midea.

• We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of June 14th.
• The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
• We highlight flows for China Mobile, BOC, CNOOC, China Shenhua Energy, CCB.

• We analyzed the changes in foreign holdings of KRX Stocks as of Jun 14th which has an aggregated holding worth USD547.8bn.
• We estimate that foreign flows to be inflows of USD1,575mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
• We highlight foreign changes in Sk Hynix, Samsung Electronics, Hanmi Semicon, Kia.

• We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 105.3% as of Jun 14th.
• The average A-H premium changed by 1.6ppt week-on-week, led by consumer discretionary, information technology, financials and offset by consumer staples, utilities, real estate.
• We highlight weekly changes in A-H premium for  China Tourism, CGN Power, Huadian Power, Hua Hong Semi, Huaneng Power.

• We analyzed the changes in short interest of TWSE Stocks as of Jun 14th which has an aggregated short interest worth USD102.4bn.
• We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases & decreases in short value, short as multiple of ADT.
• We highlight short interest changes in Hon Hai, Ctbc Financial, Realtek Semi, TSMC, Lite-On Tech, Asmedia Tech, Asustek Computer.

• We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 14th which has an aggregated holding worth USD4,617.2bn.
• We estimate that foreign flows to be inflows of USD6,436mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
• We highlight foreign changes in Hon Hai, TSMC, Mediatek, Quanta Computer, Realtek Semi, Evergreen Marine, Ctbc Financial, Eva Airways, Asia Vital, Asmedia Tech.