US and China pharmaceutical sector reaction to the COVID-19 pandemic

Abstract

This study investigates the performance of pharmaceutical stocks in China and the United States, considering the changes in composite market index, market volatility and economic policy uncertainty. Volatility has been intensified in both markets. During two periods, before and in COVID time, the Chinese pharmaceutical sector mainly performs in connection with overall markets, and volatility from the EU stock market contributes sector changes during the COVID period, while the US sector exhibits a positive correlation with market volatility during the pandemic. Policy uncertainty is not a significant factor in markets within the COVID window. An asymmetric effect is found in both markets during the pandemic. The study’s findings provide investors, policy-makers' information to adopt effective strategies under different market situations in future public emergencies.