This research is trying to explore the changes in biopharmaceutical and other medically related indices under the impact of the pandemic, and how pharmacy related portfolio impact by the pandemic. The research utilizes EGARCH and VAR models to analyze the volatility of the biopharmaceutical index and the dynamic relationships among various related indices. The research mainly demonstrates the changes in risk of the biopharmaceutical index before and during the pandemic, providing a certain degree of alert to investors who are interested in investing in biopharmaceutical-related stocks but are relatively risk-averse. It also explores the impact of the biopharmaceutical index on other pharmaceutical-related indices, verifying its influence on other indices and whether it has predictive capabilities. Finally, by comparing the portfolios constructed using the biopharmaceutical index and its related industry indices before and during the pandemic, it provides recommendations for investors interested in investing in pharmaceutical stocks during large-scale health events.