ESG, Market Microstructure, and Herding Behavior: Evidence from CSAD Tests in Taiwan
學年 114
學期 1
出版（發表）日期 2025-12-22
作品名稱 ESG, Market Microstructure, and Herding Behavior: Evidence from CSAD Tests in Taiwan
作品名稱（其他語言）
著者 Jui-Cheng Hung, An-Chi Wu, I-Fan Hsiao
單位
出版者
著錄名稱、卷期、頁數 Available online 22 December 2025, 104865
摘要 This study examines how ESG transparency and market microstructure reform shape herding behavior in Taiwan’s equity markets. Using nonlinear CSAD models, we find that low-ESG firms exhibit stronger herding, especially in the OTC market and during market stress. The 2020 shift to continuous trading further amplifies herding among low-ESG firms. Return-dispersion decomposition shows that this convergence is mainly intentional and driven by noise trading. High-ESG firms display consistently weaker herding, underscoring the informational value of ESG. Overall, ESG transparency helps mitigate behaviorally induced co-movements and enhances market efficiency.
關鍵字 ESG transparencyMarket microstructure reformHerding behaviorCSAD models
語言 en
ISSN
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 An-Chi Wu
審稿制度 1
國別 USA
公開徵稿
出版型式 ,電子版
SDGS 優質教育