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This paper focuses on the three industries that are greatly impacted by COVID-19, including the consumption industry, the pharmaceutical industry, and the financial industry. The daily returns of 98 stocks in the consumption industry, the pharmaceutical industry, and the financial industry in the 100 trading days from January 2, 2020, to June 3, 2020, are selected. Based on the random matrix theory, it first analyzes whether the stock market conforms to the efficient market hypothesis during the epidemic period, and second it further studies the linkage between the three industries. The results show that (1) the correlation coefficient is approximately a normal distribution, but the mean value is greater than 0, which is greater than that of the more mature markets such as the United States. (2) There are three eigenvalues greater than the prediction value, of which the maximum eigenvalue is about 11.18 times larger than the largest eigenvalue of the RMT. (3) There is a significant positive relationship between the maximum eigenvalue and the correlation coefficient. The specific market performance is that the stock price fluctuations show a high degree of consistency. (4) In the sample interval, the financial industry has a restraining effect on the consumption industry in the short term, and the pharmaceutical industry has a promoting and then restraining effect on the consumption industry in the short term. The consumption industry has a promoting effect on the financial industry in the short term, and the pharmaceutical industry has a promoting and then restraining effect on the financial industry in the short term. The consumption industry has a promoting and then restraining effect on the pharmaceutical industry in the short term, and the financial industry has a promoting and then restraining effect on the pharmaceutical industry in the short term. (5) In the sample interval, the consumption industry is mainly affected by itself, while the role of the pharmaceutical industry and the financial industry is very small. The pharmaceutical industry is mainly affected by itself and the consumption industry, while the role of the financial industry is very small. The financial industry is mainly affected by itself and the consumption industry, while the role of the pharmaceutical industry is very small. This situation has consequences for individual investors and institutional investors, since some stock returns can be expected, creating opportunities for arbitrage and for abnormal returns, contrary to the assumptions of random walk and information efficiency. The research on the correlation between asset returns will help to accurately price assets and avoid losses caused by price fluctuations during the epidemic.