Empirical Analysis Of The Covid-19 On Stock Returns Of The Film And Media Industry

The outbreak of the Covid-19 in 2020 severely hit financial markets,with the CSI 300 index falling close to 20%in March 2020.Since then,the stock market as a whole has gradually rebounded,but different sectors have shown marked differences in performance.By the end of 2021,the CSI 300 index was up 21%relative to the end of 2019,while the film and media industry index was down 4%.This is mainly because the impact of the pandemic on the film and media industry is greater.There is a lack of empirical analysis of the pandemic on stock returns in the film and media industry in the existing literature.This paper intends to explore the impact of the pandemic on the stock returns of the film and media industry.The empirical analysis is divided into two parts;the first part is an event study approach,which examines the impact of Covid-19 shock on the excess return and excess cumulative return using January 20,2020 as the event date and five days before and after the event date as the event window.The second part of the empirical analysis uses regression analysis to examine how new confirmed cases,the Covid-19 Panic Index,the Covid-19 sentiment Index,the Covid-19 Media Index,and the Baidu Index affect the excess returns of stocks in the film and media industry between January 2020 and April 2021.The empirical analysis show that,on the one hand,stocks in the film and media industry fell sharply in the short term when Covid-19 outbroke in January 2020.During the event window,the cumulative excess return of the film and media industry index reaches-11%,while the average cumulative excess return of individual stocks reaches-15%.On the other hand,the RavenPack-based regression analysis shows the uncertainty caused by the pandemic during the anti-pandemic phase(2020.1-2020.4)led to an increase of Covid-19 Panic Index,which dragged down the excess return of the film and media industry.In the Covid Zero phase(2020.5-2021.4),the rise of confirmed new cases will lead to a tightening of government control measures around the world,thus dragging down the excess return of the film and media industry.And the regression analysis based on the Baidu search index shows that the excess return of the film and media industry decreases as the search index of "pandemic" increases.This effect is more significant in the Covid Zero phase(2020.5-2021.12)than in the anti-pandemic phase(2020.1-2020.4).There are three main innovations in this paper.In terms of research perspective,previous literature examining the impact of the pandemic on the film and media industry mainly examined changes in the financial position of listed companies after the pandemic.This paper utilizes the listed companies’ stock prices to explore the impact of the pandemic on the film and media industry,which can better reflect the long-term impact on corporate value.In terms of research content,this paper is currently one of the few quantitative studies on how the Covid-19 affected the film and media industry,which helps fill the gap in the existing literature.In terms of research methodology,most of the existing studies use event studies,while this paper combines event studies and regression analysis,which can reflect the impact of the pandemic more comprehensively.