Information disclosure of COVID-19 specific medicine and stock price crash risk in China

This study investigates the impact of information disclosure of COVID-19 specific medicine on stock price crash risk. To achieve this goal, crawling massive announcements of listed companies in China and using OCR (optical character recognition) to abstract text, texture analysis is adopted to count the keywords occurrence, which derives from a keywords list consisted of “specific medicine”, “vaccine” and others. Based on information disclosure of COVID-19 specific medicine, empirical tests are conducted. The results show that the abnormal COVID-19 disclosure intensifies the degree of stock price crash risk. It proves that information asymmetry exactly exists in listed company information disclosure process in the securities market. It also provides new evidence that exaggerated information disclosure caused stock prices crash.