China Equity Strategy: A-share Sentiment Edged Down Amid Global Macro Volatility

研报英文原文证据摘录

China Equity Strategy: A-share Sentiment Edged Down Amid Global Macro Volatility

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MSASI Methodology

Related report: China Equity Strategy: Relaunching MSASI: A New Take on A-share Market

Sentiment and Technical Signals (27 Oct 2025)

Step 1: Normalizing sentiment metrics

The new MSASI is based on 12 individual indicators, each designed to capture a different

dimension of investor sentiment and market activity.

To make these metrics comparable, each is re-scaled using a 100-day moving min-max

normalization. This approach helps reduce noise from high-frequency movements and

better reflects whether sentiment is improving or deteriorating over the medium term.

Normalization Formula:

Normalized Value = (Latest Value−Min (Last 100 Days)) /

(Max (Last 100 Days)−Min (Last 100 Days))

Each normalized series is expressed on a 0-100 scale, where higher values indicate

stronger or more active sentiment conditions.

The 12 metrics included are:

1. ChiNext Turnover: Daily trading turnover on ChiNext, normalized using the 100-day

moving min-max method (available daily; weekly closing values used for analysis).

2. A-share Turnover: Daily turnover of all A-shares, normalized using the 100-day moving

min-max method (available daily; weekly closing values used for analysis).

3. Equity Index Futures Turnover: Daily turnover of equity index futures, normalized

using the 100-day moving min-max method (available daily; weekly closing values used for

analysis).

4. Northbound Turnover: Daily Stock Connect northbound trading turnover, normalized

5. Margin Financing Outstanding: Total margin transaction balances, normalized using

the 100-day moving min-max method (available daily; weekly closing values used for

6. New Accounts Registered with the Shanghai Stock Exchange: Monthly number of