The impact of the Chinese semiconductor industry based on the Fama-French five-factor Model During the COVID-19

Abstract

The COVID-19 has had a significant impact on the global economy and actual economy. The semiconductor business has risen quickly in recent years, and the influence of COVID-19 on the semiconductor sector cannot be overlooked. As a result, based on semiconductor industry data, this research explores the applicability of the Fama-French five-factor model as well as changes in the five-factor coefficients before and after the epidemic. In particular, the data is obtained from CSMAR and the data span a four-year period, from January 2018 to December 2021. This paper first summarizes the relevant studies and literature in the past, then explains the meaning of capital asset pricing model and model equations, and uses the data of CASMR to conduct multiple regressions and obtain the coefficients of the five-factor model and T stat. Finally, the empirical results are analyzed and the corresponding conclusions are given. The results of this paper give the changes in the equations of the Fama-French five-factor model before and after the outbreak of the epidemic. According to the analysis, the comparison helps to determine the impact of the epidemic on the model and the market. These result shed light on guiding further investment and risk analysis.