The Impact Of Media Information Disclosure Of The COVID-19 On The Stock Price Of China's Pharmaceutical Sector

At the beginning of 2020,the COVID-19 epidemic has swept across China,and the news media conducted a comprehensive information disclosure on the COVID-19 epidemic from the perspective of the development of the epidemic and epidemic prevention methods.At the same time,China's stock market experienced severe turbulence,but the pharmaceutical stocks rose against the market.The issue of determining the price of risky assets has been extensively studied in the field of financial economics.Therefore,asset pricing models such as the classic CAPM model and the Fama-French three-factor model were born.However,with the emergence of a large number of "anomalies" in the capital market that cannot be explained by traditional asset pricing theories,people have increasingly noticed the decisive role of information in price discovery in the securities market.This article found that the media information disclosure of the COVID-19 epidemic can be used as an entry point to study the factors affecting the stock price of China's pharmaceutical sector.This paper adopts a combination of theoretical research and empirical research.Based on the systematic analysis of asset pricing theory and media information disclosure theory,this paper uses the media index provided by Baidu search engine to analyze the media's information disclosure on the development of the epidemic and the media's feedback.The information disclosure of the epidemic prevention method uses principal component analysis to construct indicators,expands the stock price influence factors in the traditional asset pricing model,and introduces the constructed media information disclosure indicators into the traditional model,thus establishing a consideration of the media's impact on the epidemic.The multi-factor asset pricing model of information disclosure uses the pharmaceutical and biological sector components under the Shenwan first-level industry classification provided by the Wind database as the research object,constructs 25 investment portfolios,and uses time series regression methods to conduct empirical research and analysis.The study found that the media information disclosure proxy variable constructed in this article based on the Baidu media index is effective in the model.The indicator construction method can provide new ideas for other academic research in related fields in the future;the media's information disclosure indicators and the development of the epidemic The media's information disclosure indicators for epidemic prevention methods all have the ability to price China's pharmaceutical stocks;a five-factor model that comprehensively considers media information disclosure indicators has the strongest ability to explain the excess returns of China's pharmaceutical stocks,and the model is adjusted to fit well compared with the CAPM model and the Fama-French three-factor model,the degree coefficient is improved;the media information disclosure of the new crown epidemic will have a positive impact on the return rate of the pharmaceutical sector index.The stronger the information disclosure,the higher the return rate of the pharmaceutical sector index.