Analyzing the Impact of COVID-19 on the Cross-Correlations between Financial Search Engine Data and Movie Box Office

• Published in: Fluctuation and noise letters Vol. 20; no. 5; p. 2150021
• Main Authors: Wang, Renyu, Xie, Yujie, Chen, Hong, Jia, Guozhu
• Format: Journal Article
• Language: English
• Published: Singapore World Scientific Publishing Company 01.10.2021; World Scientific Publishing Co. Pte., Ltd
• Subjects: Coronaviruses; Correlation analysis; COVID-19; Cross correlation; Data search; Empirical analysis; Exponents; Impact analysis; Motion pictures; Search engines; Securities markets; Movie box office; MF-DCCA; Google trends; Cross-correlations
• ISSN: 0219-4775; 1793-6780
• DOI: 10.1142/S0219477521500218

This paper explores the COVID-19 influences on the cross-correlation between the movie market and the financial market. The nonlinear cross-correlations between movie box office data and Google search volumes of financial terms such as Dow Jones Industrial Average (DJIA), NASDAQ and PMI are investigated based on multifractal detrended cross-correlation analysis (MF-DCCA). The empirical results show there are nonlinear cross-correlations between movie market and financial market. Metrics such as Hurst exponents, singular exponents and multifractal spectrum demonstrate that the cross-correlation between movie market and financial market is persistent, and the cross-correlation in long term is more stable than that in short term. In the COVID-19 period, the multifractal features of cross-correlation become stronger implying that COVID-19 enhanced the complexity between the movie industry and the financial market. Furthermore, through the rolling window analysis, the Hurst exponent dynamic trends indicate that COVID-19 has a clear influence on the cross-correlation between movie market and financial market.