中国流动资金镜-2026年5月流动性条件持续支持

Supportiveliquidity conditions continuedin May, though rising pressure ahead Equity Strategy 12 June 2026 Launching the monthly product China Flow LensWeare launching a new product to track fund flows, positioning, and capital supply– Equity StrategyChina demand indicatorsin China’s equity market. The report aims to provide a structured Patrick Pan, CFA>>Research AnalystMerrill Lynch (Hong Kong)+852 3508 4601patrick.pan2@bofa.com A better capital supply/demand mix for A-sharesOverall, liquidity conditions continue to favor A-shares over Hong Kong equities. While domestic liquidity remains strong and the restock of“national team”capital providesdownside support for A-shares, Hong Kong faces near-term headwinds from slowingsouthbound inflows, tighter cross-border capital rules, and an upcoming wave of lock-up Winnie Wu>>Research AnalystMerrill Lynch (Hong Kong)+852 3508 3058 Gina Wu>>StrategistMerrill Lynch (Hong Kong)+852 3508 8008 Liquidity support in the near term, rising pressures ahead Capital flows to foreign-domiciled China equity funds tracked by EPFR accelerated inMay, in line with narrowing UW in China among active EM funds in Apr. At the sametime, China’s domestic ETFs–often used by the“national team”for market support–continued to see heavy redemptions over the past month. However, with ETF outflowsYTD already exceeding the inflows seen in 2023-25, residual selling pressure could easeinto 2H26, in our view. On the capital supply side, stronger hybrid fund issuances andshare buybacks supported A-share liquidity in May, lifting ADTV to ~RMB3.2tn. However,southbound flows to Hong Kong turned negative, with a net outflow of HKD3.6bn (vs. GlossaryADR: American depositary receipt ADTV: average daily trading valueCGB: China government bondEM: emerging marketImp.: ImpactMLF: Medium-term lending facilityMT: market turnover“National team”: state-backedinstitutional investors that step in tostabilize the market during periods ofsharp volatilityOMO: open market operationsOW: overweight Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for all investors. Investors should haveexperience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies. >> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analystunder the FINRA rules. Refer to "Other Important Disclosures" for information on certain BofA Securities entities that takeresponsibility for the information herein in particular jurisdictions. BofA Securities does and seeks to do business with issuers covered in its researchreports.As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision. Supportive liquidity conditions continue Launching the new product of China Flow LensWe are launching a monthly strategy product to track liquidity dynamics and investor sentiment in China’s stock market. By integrating fund flows, positioning, and indicatorson both capital supply and demand, the report offers a structured framework forassessing how liquidity and sentiment evolve–and what it implies for trading direction.Over the past decade, fund flow data have shown a strong correlation with China Fund flows and market allocation: recovering inflows – but for how long?Following a slowdown in April this year, capital flows into foreign-domiciled China equity funds, tracked by EPFR, re-accelerated in May, with rolling 4-week net flows to activeChina funds turning positive again after March. By market, both A-share and Hong Kong-focused China funds saw solid inflows. In contrast, funds benchmarking the MSCI ChinaIndex continued to experience redemptions over the past 3 months, albeit at a Exhibit3: Foreign investors revisit A-share and Hong Kong stocks, butremain cautiouson Chinese ADRsWeeklycapital flows to foreign-domiciled China funds benchmarking against MSCI China, A-share indices, and Hong Kong indices (USD mn) It is also worth noting that heavy redemptions of China’s domestic ETFs tracking broadmarket indices (i.e., SSE 50, CSI 300, CSI 500, CSI 1000, and ChiNext Index)–a keytrading channel used by China’s“national team”(Note:“national team”refers to state-backed institutional investors that step in to stabilize the market during periods of sharpdeclines or volatility) in market aid–persisted over the past month. However, against have exceeded the inflows seen in 2023-25, suggesting that prior support has beenlargely unwound and that selling pressure could gradually ease in 2H26. While the retreatof“national team”weighed on A-share sentiment during the sharp rally in Jan 2026, In the charts below, we examine global EM funds’market allocations as of April 2026,which better reflect global fund managers’positioning than fund