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.

中文翻译：

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分析 COVID-19 对金融搜索引擎数据与电影票房之间互相关的影响

本文探讨了 COVID-19 对电影市场和金融市场之间互相关的影响。基于多重分形去趋势互相关分析（MF-DCCA）研究电影票房数据与道琼斯工业平均指数（DJIA）、纳斯达克和PMI等金融术语谷歌搜索量之间的非线性互相关。实证结果表明，电影市场与金融市场之间存在非线性互相关。赫斯特指数、奇异指数和多重分形谱等指标表明，电影市场和金融市场之间的互相关是持久的，并且长期的互相关比短期的更稳定。在 COVID-19 期间，互相关的多重分形特征变得更强，这意味着 COVID-19 增强了电影业和金融市场之间的复杂性。此外，通过滚动窗口分析，赫斯特指数动态趋势表明，COVID-19 对电影市场和金融市场之间的互相关具有明显的影响。