[论文解读] Effects of COVID-19 Vaccine Developments and Rollout on the Capital Market -- A Case Study

Maximilian Vierlboeck, Roshanak Nilchiani|arXiv (Cornell University)|May 25, 2021

COVID-19 Pandemic Impacts被引用 5

一句话总结

本研究利用谷歌趋势和五家制药公司的股价数据，分析了新冠疫苗研发进展及推广对资本市场的影响。研究发现，在疫苗研发阶段，公众关注度（谷歌趋势）与股价之间存在显著正相关关系，而在疫苗推广后，这种相关性略有减弱；小市值公司在此后表现出更高的波动性及趋势热度上升。

ABSTRACT

Various companies have developed vaccines to combat the pandemic caused 2020 by the virus COVID-19. Such vaccines and the distribution can have a major impact on the success of pharmaceutical companies, which in turn can show itself in their valuation and stock price. This poses the question if and how the trends or popularity of the companies might be connected to the value and stock price of said entities. To gain some insight into these questions, the work at hand looks at five COVID vaccine development companies and evaluates their correlations over the development of the vaccine as well as after the rollout start. The process was conducted by using python including various libraries. The result of this analysis was that there is a significant correlation between the Google Trend data and the respective stock prices (retrieved from yahoo! Finance) of the companies on average, where the time during the development of the drugs is more positively correlated and the post-rollout periods show a shift to a slightly negative inclining correlation. Furthermore, it was found that the smaller companies based on their market cap show a higher price volatility overall. In addition, higher average trend scores and thus popularity values were found after the rollout of the respective companies. In conclusion, a correlations between the trend data and the financial values have been found and corroborate the plots of the data. Due to the small size of the sample, the result cannot yet be considered statistically significant, but possibility for expansion exists and is already being worked on.

研究动机与目标

• 探究公众对新冠疫苗开发商的关注度与股价变动之间的关系。
• 评估疫苗研发阶段和推广对市场估值及投资者情绪的影响。
• 比较不同市值规模公司之间的股价波动性和趋势热度表现。
• 评估谷歌趋势数据在疫情相关生物制药股票市场中对股价表现的预测能力。
• 探索通过更大数据集扩展本分析以增强统计显著性的潜力。

提出的方法

• 从雅虎财经获取五家主要新冠疫苗开发商的每日股价数据。
• 获取各公司名称在疫苗研发和推广期间的对应谷歌趋势数据。
• 使用Python及数据分析库（如pandas、matplotlib）处理并可视化时间序列数据。
• 在不同时间窗口（研发前、研发期、推广后）计算归一化谷歌趋势得分与股价之间的相关系数。
• 按市值规模对上市公司进行分组，比较大市值与小市值公司在波动性和趋势行为上的差异。
• 生成时间序列图和相关性热力图等可视化图表，以支持数据解读。

实验结果

研究问题

• RQ1 公众关注度（以谷歌趋势衡量）与新冠疫苗开发商股价变动之间是否存在统计显著的相关性？
• RQ2 谷歌趋势与股价之间的相关性在疫苗研发和推广的不同阶段如何变化？
• RQ3 在疫情期间，相较于大型公司，小市值疫苗公司是否表现出更高的股价波动性？
• RQ4 疫苗正式推广后，疫苗开发商在谷歌趋势中的热度是否有所上升？
• RQ5 谷歌趋势中的公众情绪数据在多大程度上能够预测或反映生物制药股票市场的金融趋势？

主要发现

• 在疫苗研发阶段，谷歌趋势数据与股价之间存在显著正相关关系，表明公众关注度上升与股价上涨同步或先行。
• 疫苗推广开始后，谷歌趋势与股价之间的相关性转为轻微负向上升趋势，表明其预测能力减弱或市场效率提高。
• 小市值公司整体股价波动性高于大市值公司，反映出更高的市场风险。
• 推广后，所有公司的平均谷歌趋势得分均上升，表明官方分发后公众关注度持续或进一步增强。
• 观察到的相关性通过数据图表得到视觉验证，但样本量较小限制了统计显著性。
• 本研究识别出未来可通过更大数据集扩展分析，以增强研究发现的有效性。