2016 04 26

1.
5 200




2. 20 100
80% 8

400
50 60%

2

35% 5
35%



200 30%
150%MAR 5

5 8000 15
60%

SAC S1130514080009
(8621)60230208
yongyanggjzq.com.cn

(8621)60893120
liushuailugjzq.com.cn

-1-


.......................................................................................... 3
........................................................................... 3
.......................................................................................... 3
................................................................ 4
......................................................................................................... 6
........................................................................ 6
N .......................................................................................... 7
2 ................................................................................ 8
.............................................................................................. 9
............................................................................................... 10
............................................................................................... 10
........................................................................................... 13

1 ................................................................................... 3
2 .......................................................................................... 3
3 ....................................................................................... 4
4 ....................................................................................... 4
5................................................................................ 4
6 500 ................................................... 5
7 500 ................................................... 5
8 500 ...................................................... 5
9 20 .................................................................. 6
10 20 .................................................................... 6
11 .................................. 7
12 .................................................... 8
13 ................................................................................. 8
14 .......................................................................... 8
15................................................................... 9
16 5 ........................................................ 9
171 ..................................... 10
182 ..................................... 10
19 ............................................................. 11
20 ............................................................. 12
21 ....................................... 13

-2-

5

1 2

-3-

 3 4

wind
20100101-20160311
20101101
20101101.

-4-

 0
50
100
150
200
250
300
350
400
450
500

0%
10%
20%
30%
40%
60%
70%
80%
100%

50%
90%
20100104
20100104 20100209
20100211 20100324
20100330 20100430
20100511 20100608
20100623 20100719

20100802 20100824
20100909 20101011
20101029 20101116
20101208 20101222

20110118 20110128
20110314
20110304
20110421
20110415
20110530
20110526
20110706
20110706
20110811
20110815 20110919
20110923 20111101
20111109 20111207
20111219 20120116
20120206

20120228

8 500
20120315 20120409

7 500
6 500

20120427 20120517
20120608 20120625
20120719 20120731
20120828 20120905
20121012 20121018
20121121 20121123
20121231 20121231
20130208

20130219

-5-
20130325
20130329
20130507
20130515
20130617
20130627
500

20130723
20130806 20130828
20130913
500

20131014

500
20131101 20131119
20131211 20131225
20140121 20140207
20140307 20140317
20140417 20140423
20140529 20140603
20140709 20140709
20140818 20140814
20140926 20140922
20141112 20141104
20141222 20141210
20150202 20150119
20150319 20150303
20150409
20150429
20150518
20150609
20150624
20150720
20150730
20150827 20150908
20151015 20151021
20151124 20151126
20160104 20160104
20160218 20160216

0
0

2,000
6,000
8,000

4,000
2,000
6,000
8,000

4,000

12,000
14,000

10,000

12,000
14,000

10,000


20 100
80% 8
400
50 60%.

20
12 20
9 20 10 20

89 84%
87 77%
82 76%
82 75%
79 73%
78 73%
77 73%
75 72%
75 72%
72 72%
70 71%
69 71%
69 69%
68 69%
68 68%
68 68%
66 68%
66 68%
65 67%
65 67%

84%



1 2 2 2

-6-

 11
T T+1 T+1 T+1 T+1
N
T+2 T+2
1 9:30--9:45 760 7.2% 6.3% 1.3% 2.6%
1 9:45--10:00 149 5.2% 4.3% -0.8% 0.3%
1 10:00--10:30 160 4.6% 3.9% -0.7% 0.1%
1 10:30--11:30 147 3.2% 2.5% -1.4% -0.3%
1 11:30--14:00 157 2.2% 2.4% -1.1% -1.1%
1 14:00--15:00 442 0.1% 0.8% -0.6% -0.5%
2 9:30--9:45 593 5.8% 5.8% 1.3% 3.0%
2 9:45--10:00 145 4.5% 4.5% -0.9% -0.7%
2 10:00--10:30 101 3.1% 3.0% -0.4% -1.0%
2 10:30--11:30 92 1.7% 2.0% -0.1% 0.6%
2 11:30--14:00 86 1.4% 1.7% -0.2% 0.4%
2 14:00--15:00 200 -0.2% -0.1% -1.4% -0.8%
>2 9:30--9:45 1212 2.2% 3.4% 1.1% 2.1%
>2 9:45--10:00 468 2.7% 4.9% 1.7% 2.3%
>2 10:00--10:30 509 1.3% 4.5% 1.7% 1.7%
>2 10:30--11:30 318 0.7% 1.0% -0.8% -0.2%
>2 11:30--14:00 221 0.2% 1.0% 0.0% 0.4%
>2 14:00--15:00 157 -0.3% 0.5% -0.3% 0.0%

2

T 2 1030 T+1

T T+1 T+2
T+2

-7-

 12
40000 50.0%
44.4%
42.6% 45.0%
35000
39.0% 37.7%
37.0% 40.0%
30000 34.9%
31.3% 35.0%
25000 30.0%
23.7%
20000 25.0%

15000 16.5% 20.0%

14.8%
15.0%
10000
10.0%
5000 5.0%
0 0.0%
1 2 3 4 5 6 7 8 9 10

35%
5
35%
.

2

2

T-1 T T+1

5 5


13 14

-8-

5 7%
3%
15
T T+1 T+1 T+1 T+1

T+2 T+2
1 3.2% 6.0% 5.9% 1.2% 2.5%
2 4.1% 3.9% 5.0% 0.9% 1.7%
3 4.1% 2.7% 3.4% 0.3% 1.0%
4 4.2% 1.4% 2.0% -0.1% 0.6%
5 4.8% 0.4% 1.3% 0.0% 0.5%

8
4% T T+1
T+2 T+2

16 5
T5 T+1 T+1 T+1 T+1

T+2 T+2
1 2.0% 3.1% 3.0% 0.1% 1.3%
2 3.4% 2.2% 2.3% -0.4% 0.7%
3 4.0% 2.6% 3.2% 0.5% 1.3%
4 4.7% 3.1% 4.0% 0.6% 1.3%
5 6.3% 3.3% 5.0% 1.5% 1.7%

5
T+2 T+2




3 15 2%
4% 3
8% 10%0% 2%-10%-8%
6% 8%

-9-

 171 182





0.0% 8% 10% 841 100% 1.6% 64% 0.81 0.0% -2% 0% 1342 100% -0.5% 44% 1.11
0.5% 8% 10% 841 74% 1.9% 65% 0.86 0.5% -2% 0% 1342 69% -1.5% 39% 0.99
1.0% 8% 10% 841 69% 1.9% 64% 0.92 1.0% -2% 0% 1342 64% -1.5% 40% 0.97
1.5% 8% 10% 841 62% 1.9% 62% 0.97 1.5% -2% 0% 1342 56% -1.5% 40% 0.95
2.0% 8% 10% 841 54% 1.7% 59% 1.03 2.0% -2% 0% 1342 48% -1.6% 39% 0.99
2.5% 8% 10% 841 47% 1.3% 56% 1.06 2.5% -2% 0% 1342 39% -1.6% 37% 1.08
3.0% 8% 10% 841 40% 1.2% 55% 1.07 3.0% -2% 0% 1342 30% -1.7% 36% 1.10
3.5% 8% 10% 841 34% 1.2% 54% 1.13 3.5% -2% 0% 1342 21% -2.1% 34% 1.03
4.0% 8% 10% 841 27% 0.4% 49% 1.13 4.0% -2% 0% 1342 15% -1.9% 36% 1.05
4.5% 8% 10% 841 20% -0.4% 45% 1.10 4.5% -2% 0% 1342 9% -1.3% 36% 1.22
5.0% 8% 10% 841 17% -0.4% 46% 1.07 5.0% -2% 0% 1342 6% -1.1% 35% 1.35
0.0% 6% 8% 593 100% 0.1% 53% 0.92 0.0% -4% -2% 673 100% -1.3% 44% 0.86
0.5% 6% 8% 593 73% -1.0% 46% 0.87 0.5% -4% -2% 673 73% -2.2% 38% 0.87
1.0% 6% 8% 593 68% -1.1% 46% 0.89 1.0% -4% -2% 673 55% -2.5% 37% 0.85
1.5% 6% 8% 593 61% -1.0% 45% 0.92 1.5% -4% -2% 673 42% -2.6% 33% 0.96
2.0% 6% 8% 593 49% -1.7% 40% 0.94 2.0% -4% -2% 673 29% -2.7% 33% 0.95
2.5% 6% 8% 593 43% -1.8% 40% 0.92 2.5% -4% -2% 673 20% -2.5% 30% 1.10
3.0% 6% 8% 593 36% -2.1% 37% 0.95 3.0% -4% -2% 673 12% -2.2% 33% 1.11
3.5% 6% 8% 593 29% -2.5% 33% 0.98 3.5% -4% -2% 673 8% -1.4% 38% 1.19
4.0% 6% 8% 593 25% -2.6% 33% 0.99 4.0% -4% -2% 673 5% -2.1% 42% 0.72
4.5% 6% 8% 593 20% -2.9% 30% 1.08 4.5% -4% -2% 673 3% -1.2% 50% 0.72
5.0% 6% 8% 593 17% -3.2% 30% 0.95 5.0% -4% -2% 673 3% -0.5% 56% 0.70
0.0% 4% 6% 876 100% 0.5% 53% 1.01 0.0% -6% -4% 279 100% -1.7% 42% 0.87
0.5% -6% -4% 279 55% -3.1% 31% 0.91
0.5% 4% 6% 876 67% -1.1% 46% 0.84
1.0% -6% -4% 279 42% -2.3% 33% 1.07
1.0% 4% 6% 876 60% -1.2% 44% 0.87
1.5% -6% -4% 279 29% -2.0% 33% 1.11
1.5% 4% 6% 876 52% -1.5% 41% 0.94
2.0% -6% -4% 279 19% -1.0% 42% 1.08
2.0% 4% 6% 876 43% -1.7% 39% 0.94
2.5% -6% -4% 279 14% -1.2% 39% 1.09
2.5% 4% 6% 876 35% -1.7% 37% 0.98
3.0% -6% -4% 279 11% -1.2% 33% 1.46
3.0% 4% 6% 876 28% -1.6% 38% 0.98
3.5% -6% -4% 279 8% -0.6% 35% 1.59
3.5% 4% 6% 876 23% -2.0% 35% 0.98
4.0% -6% -4% 279 8% 0.5% 38% 1.89
4.0% 4% 6% 876 19% -1.9% 35% 1.02
4.5% -6% -4% 279 4% 0.5% 36% 1.99
4.5% 4% 6% 876 16% -1.7% 36% 1.01
5.0% -6% -4% 279 3% 0.7% 29% 3.01
5.0% 4% 6% 876 12% -1.7% 36% 1.04
0.0% -8% -6% 50 100% -2.2% 34% 0.99
0.0% 2% 4% 1210 100% -1.0% 43% 0.95
0.5% -8% -6% 50 40% -2.9% 30% 0.92
0.5% 2% 4% 1210 68% -2.3% 35% 0.91
1.0% -8% -6% 50 36% -3.0% 28% 0.91
1.0% 2% 4% 1210 62% -2.3% 33% 0.97
1.5% -8% -6% 50 34% -2.9% 24% 1.13
1.5% 2% 4% 1210 56% -2.2% 34% 0.98
2.0% -8% -6% 50 26% -2.8% 23% 1.32
2.0% 2% 4% 1210 49% -1.9% 35% 1.00 2.5% -8% -6% 50 20% -2.8% 30% 0.98
2.5% 2% 4% 1210 40% -1.8% 33% 1.11 3.0% -8% -6% 50 10% -5.5% 20% 0.07
3.0% 2% 4% 1210 33% -1.5% 35% 1.15 3.5% -8% -6% 50 4% -0.6% 50% 0.46
3.5% 2% 4% 1210 26% -1.3% 37% 1.13 4.0% -8% -6% 50 2% 1.5% 100% NaN
4.0% 2% 4% 1210 22% -1.3% 37% 1.11 4.5% -8% -6% 50 0% NaN NaN NaN
4.5% 2% 4% 1210 17% -1.2% 37% 1.17 5.0% -8% -6% 50 0% NaN NaN NaN
5.0% 2% 4% 1210 13% -0.7% 37% 1.37 0.0% -10% -8% 10 100% 6.6% 80% 1.88
0.0% 0% 2% 1188 100% -1.1% 39% 1.09 0.5% -10% -8% 10 50% 4.6% 80% 0.86
0.5% 0% 2% 1188 73% -1.7% 35% 1.10 1.0% -10% -8% 10 40% 8.6% 100% NaN
1.0% 0% 2% 1188 68% -1.4% 35% 1.17 1.5% -10% -8% 10 20% 4.3% 100% NaN
1.5% 0% 2% 1188 61% -1.3% 36% 1.19 2.0% -10% -8% 10 10% 7.8% 100% NaN
2.0% 0% 2% 1188 53% -1.2% 35% 1.25 2.5% -10% -8% 10 0% NaN NaN NaN
2.5% 0% 2% 1188 46% -0.9% 37% 1.26 3.0% -10% -8% 10 0% NaN NaN NaN
3.0% 0% 2% 1188 38% -0.6% 39% 1.27 3.5% -10% -8% 10 0% NaN NaN NaN
3.5% 0% 2% 1188 28% -0.5% 41% 1.24 4.0% -10% -8% 10 0% NaN NaN NaN
4.0% 0% 2% 1188 20% 0.0% 45% 1.20 4.5% -10% -8% 10 0% NaN NaN NaN
4.5% 0% 2% 1188 15% 0.2% 47% 1.22 5.0% -10% -8% 10 0% NaN NaN NaN
5.0% 0% 2% 1188 11% 0.3% 48% 1.20

2
3 2015 7 9 13

- 10 -

 N1
N1/2
5
, 7%
0.3%
N1=10
3

19

250 24%









5

- 11 -

 20

10 34%



10

- 12 -

 21

200 30%
150%MAR 5

5 8000 15
60%

- 13 -

021-60753903 010-66216979 0755-83831378

021-61038200 010-66216793 0755-83830558

researchsh@gjzq.com.cn researchbj@gjzq.com.cn researchsz@gjzq.com.cn

201204 100053 518000

1088 3 4 4001

7 7BD

- 14 -