Yesterday, an intriguing phenomenon occurred in A-shares.

On December 11 (Friday), some heavyweight stocks saw large buy and sell orders of 100 million yuan in the late-trading call auction.

Individual stocks such as Kweichow Moutai, Industrial and Commercial Bank of China, and Wuliangye sold large orders of 100 million yuan in late call auctions, while China Merchants Bank, China Pacific Insurance, CITIC Construction Investment, Haitian Flavors, Industrial Bank, and Weill Holdings were sold out.

There is speculation in the industry that the late-day changes may be related to the position adjustment of some index funds, which has also occurred before the inclusion or expansion of A-shares in international indexes such as MSCI and FTSE Russell took effect.

The Shanghai Stock Exchange and CSI Index Co., Ltd. previously issued a notice and decided to adjust the CSI 300, CSI 100, SSE 50, CSI Dividend, CSI Hong Kong 100 and other index samples on December 14.

Yesterday (11th) was the last trading day before the sample adjustment.

// Big blue chips have been smashed one after another // On that day, China Merchants Bank's late call auction transaction volume was 78,600 lots, with a transaction amount of more than 300 million yuan, and the company's stock price fell sharply by 3.61%.

China Minsheng Bank also suffered a late-day air attack, with 248,000 lots traded in late-day call auctions and a transaction value of over 100 million yuan. The company's stock price also fell sharply by 2.08%.

Not only that, many companies such as Industrial Bank, Haitian Flavors, Vail, CITIC Construction Investment, China Pacific Insurance and so on, which have the largest market value, have all suffered from losses.

//Multiple stocks were sold at the end of the day for 100 million yuan. //While some stocks were sold at the end of the day, other funds bought heavyweight stocks in large quantities at the end of the day.

Kweichow Moutai, currently the largest A-share company in terms of market value, saw 1,810 lots of shares traded through call auction in late trading. Calculated at current prices, the turnover exceeded 300 million yuan, and the company’s stock price also rose slightly.

Industrial and Commercial Bank of China, the second largest bank in terms of A-share market capitalization, saw 274,000 lots of shares traded through call auction in late trading, with its stock price rising from a slight decline to over 100 million yuan.

As the second largest company in the liquor sector, Wuliangye traded 4,868 lots at the late call auction, with a turnover also exceeding 100 million yuan, and its stock price rose by about 0.5%.

// Late-day changes may be due to index position adjustments // In fact, late-day changes in heavyweight stocks were mostly related to related index-linked position adjustments.

Previously, the Shanghai and Shenzhen Stock Exchanges and China Securities Index Company announced a series of adjustments to important index sample stocks at the same time.

The notice clearly stated that it was decided to adjust the CSI 300, CSI 100, SSE 50, CSI Dividend, CSI Hong Kong 100 and other index samples on December 14, 2020.

Among them, the Shanghai Composite 50 Index replaced 5 samples and added Hang Seng Electronics, Zhongtai Securities, Haitian Flavors, Vail Holdings, and GigaDevice. The five stocks that were kicked out, except China Heavy Industries and China Molybdenum, were

Including three of the six major domestic banks.

CITIC Securities believes that with the inclusion or elimination of index constituent stocks, various funds that track the index, such as ETF funds, LOF funds, etc., will make corresponding adjustments to fund positions.

For important indexes tracking large-scale funds, the fund's position adjustment behavior has an important impact on adjusting the prices of sample stocks, which will generate event trading opportunities.

The Daily Economic News quoted Zhao Tong, manager of Shanghai Jinyu Asset Fund, as saying that the collective changes in the late-market call auctions of many individual stocks showed that "there are institutions adjusting positions, especially index funds. It doesn't matter what price you sell at, the key is to reduce the price."

'Tracking error', and the way to minimize 'tracking error' is to trade during the call auction stage." Judging from the changes in northbound funds on December 11, there was a continuous selling trend throughout the day, especially in the late call auction.

In 3 minutes, the net sales were about 800 million yuan, which may explain the late movement of heavyweight stocks to a certain extent.

//Beishang funds have added positions for six consecutive weeks//Although Beishang funds showed net selling on that day, if you look at the long-term period, you can find that during the deep adjustment of A-shares, the market recognized "smart money" - Beishang funds are still "buying"

"Buy, buy" and has added positions in A shares for six consecutive weeks.

Wind data shows that out of the five trading days this week, three of them showed net inflows of northbound funds, and the cumulative net buying amount this week was about 7 billion.