  We studied the volatility and cross-sectional return dispersion effect of S&P
Health Care Sector under the covid-19 epidemic. We innovatively used the Google
index to proxy the impact of the epidemic and modeled the volatility. We also
studied the influencing factors of the log-return of S&P Energy Sector and S&P
Health Care Sector. We found that volatility is significantly affected by both
the epidemic and cross-sectional return dispersion, and the coefficients in
front of them are all positive, which means that the herding behaviour did not
exist and as the cross-sectional return dispersion increases and the epidemic
becomes more severe, the volatility of stock returns is also increasing. We
also found that the epidemic has a significant negative impact on the return of
the energy sector, and finally we provided our suggestions to investors.
