Corporate COVID-19 disclosure and stock price volatility: evidence from Egypt

Abstract

Purpose This paper aims to examine the relationship between corporate COVID-19 disclosure (COVID_DISC) and stock price volatility (SPV) in Egypt. Design/methodology/approach The authors used the manual content analysis method to measure corporate COVID-19 disclosure in the narrative sections of annual reports. The authors use ordinary least squares (OLS) regression to examine the impact of corporate COVID-19 disclosure on stock price volatility using unique data from Egyptian-listed firms during COVID-19 pandemic over the period of 2020 to 2022. Propensity score matching method was adopted to mitigate the potential endogeneity issue. Findings This study reveals that corporate COVID-19 disclosure has a significant negative impact on stock price volatility, suggesting COVID-19 disclosure reduces stock price volatility. In addition, the results confirm that COVID-19 disclosure offers value relevant information to investors, which is consistent with the Egyptian Financial Supervisory Authority’s (EFSA) motivation in calling for more information on COVID-19 pandemic. Practical implications The findings of this study can help corporate managers and EFSA in enhancing corporate disclosure and transparency during future financial crises. Moreover, the findings offer valuable insights to investors, helping them gain a better understanding of the business environment during COVID-19 crisis. Originality/value To the best of the authors’ knowledge, this is the first Egyptian empirical evidence that examines the relationship between corporate COVID-19 disclosure and stock price volatility.