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 International Review of Economics & Finance, 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 transparency; Market microstructure reform; Herding behavior; CSAD models
語言 en
ISSN
期刊性質 國外
收錄於 SSCI Scopus
產學合作
通訊作者 An-Chi Wu
審稿制度 是
國別 NLD
公開徵稿
出版型式 ,電子版
SDGS 永續城市與社區,尊嚴就業與經濟發展,產業創新與基礎設施