Linkage Analysis Of Individual Stocks In Mask Industry Under COVID-19

In early 2020,novel coronavirus outbreak occurred in large scale.There were many changes in the A share market between the various sectors and the epidemic situation.Among them,the most closely related mask market,the relationship between the capital market operation rules and the stock price of listed companies attracted the attention of investors.For the mask sector,from the perspective of the industrial chain,this paper studies the upstream polypropylene raw materials,midstream melt blown fabric production and processing,downstream machinery and equipment and channels of the mask industry chain,and discusses the linkage effect and independent market phenomenon by selecting relevant target companies,so as to introduce dcc-garch model and factor model for empirical analysis,Among them,in the empirical analysis of dcc-garch model,this paper measures the dynamic linkage effect and market differentiation of representative individual stocks of mask plate under the epidemic environment through theoretical analysis of dcc-garch model,creation of logarithmic yield series,stationarity test,residual autocorrelation test,arch effect and GARCH(1,1)model construction,introduction of DCC factor and other factors;In the empirical analysis of factor model,this paper introduces the market risk premium factor,market value factor and book to market ratio factor which can reflect the non epidemic environment and epidemic environment respectively,and carries out multiple regression on the main component stocks of mask plate to reflect the change of fitting degree.Through the above empirical and theoretical research and analysis,this paper draws the following conclusions: in the epidemic environment,the individual stocks in different positions of the mask industry chain appear continuous linkage effect,the market differentiation phenomenon based on the position of the industry chain appears among individual stocks and between individual stocks and the overall market in different periods of the epidemic,and the independent market develops in the epidemic period.Finally,on the basis of this conclusion,this paper puts forward the policy supervision and Industry Development Suggestions of the mask industry under the background of the epidemic,and puts forward investment suggestions and development prospects for China's capital market after the epidemic.