企業 ESG 表現與股票流動性的關係 -台灣上市櫃公司之實證分析

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：95

、訪客IP：3.15.221.10

姓名

徐聖庭(Sheng-Ting Hsu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

企業 ESG 表現與股票流動性的關係 -台灣上市櫃公司之實證分析
(Corporate ESG performance and stock liquidity: Evidence from Taiwan stock market)

相關論文

★ 從巴塞爾協定三談商業銀行資金流動性穩健指標	★ 三大法人於台灣期貨市場擇時能力之探討
★ 奢侈稅課徵對於台灣房價之影響	★ 外匯曝險對台灣半導體產業之現金流量的影響
★ 金控法規範的利害關係人非授信交易之探討	★ 歐債危機是否會影響台灣股市?以台灣指數股票型基金為例
★ 寬鬆貨幣政策對於歐元匯率的影響	★ 影響境外人民幣和境內人民幣價差變化的因素
★ 台灣銀行業高階經理人薪酬與銀行特性之關連性分析	★ 承銷業務對證券分析師盈餘預測之影響
★ 經紀業務對分析師盈餘預測影響	★ 領導者或追隨者：被忽略公司分析師盈餘預測行為之研究
★ 個別投資人日內交易損益:臺灣期貨市場實證分析	★ 外匯市場私有訊息之程度對於匯率變動之影響
★ 外國機構投資人和外匯市場：以臺北外匯交易市場為例	★ 散戶與三大法人之處份效果研究:以台灣加權股價指數期貨為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究深入探討台灣上市櫃公司環境、社會及治理（ESG）表現對股票流動性的影響，採用TEJ資料庫中的數據，涵蓋2016年至2023年期間台灣上市櫃公司的ESG量化分數和股票流動性指標 (liquidity)，共計9,850個公司年度觀察值作為研究樣本，使用迴歸方法進行實證分析。研究結果顯示，企業的ESG表現與股票流動性之間存在顯著正相關，ESG表現較佳的企業能夠吸引更多投資者，進而提高股票流動性。此外，本研究進一步分析風險降低機制(崩盤風險)及資訊透明度(發佈營收預估值之券商家數)對ESG與股票流動性關係的調節作用。結果顯示，風險降低機制顯著增強ESG對股票流動性的正向影響，而資訊透明度的調節作用在台灣市場中並不顯著。
研究亦檢視重污染產業對此關係的影響，發現這些產業中，高ESG表現可能會降低股票流動性，反映出不同產業對ESG表現的不同反應。進一步使用《天下雜誌》的「天下永續公民獎」作為衡量企業社會責任的指標，研究結果一致支持良好ESG表現對股票流動性的正面影響。綜合而言，本論文的研究結果顯示，台灣上市櫃公司提升ESG表現能夠有效增加股票流動性，而且此效果在風險較高的情況下更加顯著，為企業決策者和投資者提供重要的參考依據，也為政策制定者在推動企業透明度及永續發展方面提供決策上的參考。

摘要(英)

This study explores the impact of Environmental, Social, and Governance (ESG) performance on stock liquidity for publicly listed companies in Taiwan. Utilizing data from the Taiwan Economic Journal (TEJ) database, the study covers the period from 2016 to 2023, incorporating ESG scores and stock liquidity indicators for Taiwanese listed companies, resulting in a sample of 9,850 firm-year observations. Empirical results based on regression methods reveal a significant and positive relation between a company′s ESG performance and its stock liquidity. Companies with better ESG performance attract more investors, thereby enhancing stock liquidity. Additionally, the study examines the moderating effects of risk mitigation mechanisms (crash risk) and information transparency (number of analysts′ revenue forecasts) on the ESG-liquidity relationship. The results indicate that risk mitigation mechanisms significantly strengthen the positive impact of ESG on stock liquidity, while the moderating effect of information transparency is not significant in the Taiwanese market.
The study also investigates the impact of heavily polluting industries on this relationship, and finds that high ESG performance in these industries may reduce stock liquidity, reflecting different industry responses to ESG performance. Furthermore, using the "CommonWealth Magazine CSR Award" as an additional indicator of corporate social responsibility, the results consistently support the positive impact of good ESG performance on stock liquidity. Overall, this study demonstrates that improving ESG performance can effectively increase stock liquidity for Taiwanese public companies, especially in higher-risk situations. This provides important empirical evidence for corporate decision-makers and investors, and serves as a reference for policymakers in promoting corporate transparency and sustainable development.

關鍵字(中)

★ 永續
★ ESG
★ 股市流動性
★ 風險降低機制
★ 資訊不對稱

關鍵字(英)

★ Sustainability
★ ESG
★ Stock Market Liquidity
★ Risk Mitigation Mechanisms
★ Information Asymmetry

論文目次

摘要 i
Abstract ii
誌謝 iii
目錄 iv
表目錄 v
第一章緒論 1
第一節研究背景與動機 1
第二節研究目的 4
第二章文獻回顧 7
第一節 ESG重要性及其對企業影響 7
第二節股票流動性 9
第三節企業ESG表現與股票流動性的關係 11
第三章研究方法 14
第一節研究期間與資料來源 14
第二節變數建構與說明 14
第四章實證結果 17
第一節敘述性統計 17
第二節相關係數表 17
第三節迴歸分析 18
第五章結論 26
參考文獻 28

參考文獻

Agarwal, V., Mullins, C., & Venkatesh, P. C. (2015). Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. Journal of Financial Economics, 118(3), 411-433.
Amel-Zadeh, A., & Serafeim, G. (2018). Why and how investors use ESG information: Evidence from a global survey. Financial Analysts Journal, 74(3), 87-103.
Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005). Liquidity and asset prices. Foundations and Trends in Finance, 1(4), 269-364.
Amihud, Y., & Mendelson, H. (2008). Liquidity, the value of the firm, and corporate finance. Journal of Applied Corporate Finance, 20(4), 32-45.
Balakrishnan, K., Billings, M. B., Kelly, B., & Ljungqvist, A. (2014). Shaping liquidity: On the causal effects of voluntary disclosure. The Journal of Finance, 69(5), 2237-2278.
Barnett, M. L., & Salomon, R. M. (2006). Beyond dichotomy: The curvilinear relationship between social responsibility and financial performance. Strategic Management Journal, 27(11), 1101-1122.
Barnett, M. L., & Salomon, R. M. (2012). Does it pay to be really good? Addressing the shape of the relationship between social and financial performance. Strategic Management Journal, 33(11), 1304-1320.
Benlemlih, M., Shaukat, A., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152(3), 613-626.
Boyle, E. H., Higgins, M. M., & Rhee, E. Y. (1997). Stock market reaction to ethical initiatives of defense contractors: Theory and evidence. Critical Perspectives on Accounting, 8(6), 541-561.
Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35(3), 97-116.
Brundtland Commission. (1987). Our Common Future. Oxford University Press.
Busch, N. E., & Lehnert, B. (2014). The effectiveness of market discipline for credit rating agencies during the European sovereign debt crisis. Journal of Financial Stability, 15, 61-72.
Callan, S. J., & Thomas, J. M. (2009). Corporate financial performance and corporate social performance: An update and reinvestigation. Corporate Social Responsibility and Environmental Management, 16(2), 61-78.
Chen, H. Y., & Yang, S. S. (2020). Do Investors exaggerate corporate ESG information?
Evidence of the ESG momentum effect in the Taiwanese market. Pacific-Basin Finance
Journal, 63, 101407.
Chen, L., Wang, Z., & Li, G. (2023). The impact of ESG performance on stock liquidity: Evidence from China′s A-share market. Journal of Cleaner Production, 288, 125652.
Chowdhury, E. K., Saleh, M., & Islam, M. A. (2018). Financial development and economic growth: Evidence from twenty-six African countries. Investment Management and Financial Innovations, 15(4), 324-342.
Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiation of corporate social responsibility reporting. The Accounting Review, 86(1), 59-100.
Díaz, D., Fernández-Sánchez, J. L., & Ramírez, P. M. (2021). The impact of ESG performance on firm value: The moderating role of ownership concentration. Sustainability, 13(9), 4954.
Duque, J., & Aguilera, R. V. (2021). The impact of corporate social responsibility on firm value: The role of customer awareness. Journal of Business Research, 122, 532-546.
El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
Ekinci, M. F., Poyraz, B., & Sensoy, A. (2019). Volatility spillovers between global equity markets and commodity futures. Journal of Commodity Markets, 16, 100083.
Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150-169.
Feng, Z., Wang, Y., & Zhang, W. (2021). Corporate environmental responsibility and firm innovation: The moderating role of institutional investors. Journal of Business Research, 124, 545-556.
Fernández-Amador, O., Gächter, M., Larch, M., & Peter, G. (2013). Does monetary policy determine stock market liquidity? New evidence from the euro zone. Journal of Empirical Finance, 21, 54-68.
Friede, G, Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233.
Gao, L., Wang, G., & Zheng, Y. (2019). Information transparency and stock liquidity: Evidence from China. China Journal of Accounting Research, 12(2), 187-210.
Giese, G., Lee, L.-E., Melas, D., Nagy, Z., & Nishikawa, L. (2019). Foundations of ESG investing: How ESG affects equity valuation, risk, and performance. Journal of Portfolio Management, 45(5), 69-83.
Gniadkowska-Szymańska, A. (2022). The role of liquidity in the relationship between corporate governance and firm performance. Journal of Financial Research, 45(1), 145-162.
Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30(4), 777-798.
Grewal, J., Hauptmann, C., & Serafeim, G. (2019). Material sustainability information and stock price informativeness. Journal of Business Ethics, 154(4), 1041-1061.
Holden, C. W., Jacobsen, S., & Subrahmanyam, A. (2014). The empirical analysis of liquidity. Foundations and Trends in Finance, 8(4), 263-365.
Huang, C. Y., Lin, C. Y., & Hsu, C. M. (2017). The impact of corporate social responsibility on financial performance: Evidence from Taiwan. Asia Pacific Management Review, 22(2), 109-116.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R^2, and crash risk. Journal of Financial Economics, 94(1), 67-86.
Jacoby, G., & Zheng, S. X. (2010). Liquidity and information asymmetry in the market for equity: Evidence from ADRs. Journal of International Financial Markets, Institutions and Money, 20(4), 355-375.
Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Labidi, C., & Gajewski, J. F. (2019). Transparency and stock liquidity: New evidence from the MENA region. Research in International Business and Finance, 47, 68-84.
Lin, H. W., Pantzalis, C., & Park, J. C. (2009). Agency, institutional investors, and firm liquidity. Journal of Financial Research, 32(2), 147-178.
Lin, X. Y. (2023). The impact of mandatory ESG disclosure on stock liquidity: Evidence from Taiwan. Journal of Financial Markets, 58, 100633.
Mackey, A., Mackey, T. B., & Barney, J. B. (2007). Corporate social responsibility and firm performance: Investor preferences and corporate strategies. Academy of Management Review, 32(3), 817-835.
Mao, J. C. (1970). Survey of capital budgeting: Theory and practice. Journal of Finance, 25(2), 349-360.
Mervelskemper, L., & Streit, D. (2017). Enhancing market valuation through ESG disclosure—The influence of family ownership and long-term orientation. Journal of Sustainable Finance & Investment, 7(1), 1-27.
Nadarajah, S., Ali, S., Liu, B., & Huang, A. (2021). Stock liquidity and default risk. Journal of Banking & Finance, 126, 106073.
Newey, W. K. & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55 (3), 703-708.
Ng, A. C., & Rezaee, Z. (2020). Sustainability disclosures and cost of capital: Evidence from global firms. Review of Accounting Studies, 25(3), 938-991.
Nollet, J., Filis, G., & Mitrokostas, E. (2016). Corporate social responsibility and financial performance: A non-linear and disaggregated approach. Economic Modelling, 52, 400-407.
Nuber, C., Velte, P., & Hörisch, J. (2019). Corporate environmental performance and corporate financial performance: A meta-analytical review. Business Strategy and the Environment, 28(8), 1583-1596.
Omri, A., Jarboui, A., & Loukil, F. (2015). Corporate governance and stock market liquidity: New evidence from Tunisia. Journal of African Business, 16(1-2), 66-84.
Pan, L., Li, D., & Wang, S. (2015). Institutional investor horizon and stock liquidity: Evidence from China. Pacific-Basin Finance Journal, 35, 126-144.
Patel, S. A., Balic, A., & Bwakira, L. (2002). Measuring transparency and disclosure at firm-level in emerging markets. Emerging Markets Review, 3(4), 325-337.
Porter, M. E. (1997). Competitive strategy. Measuring Business Excellence, 1(2), 12-17.
Rashid, A., & Hamid, F. (2015). Downside risk analysis of returns on the Karachi Stock Exchange. Managerial Finance, 41(9), 940-957.
Reuer, J. J., & Leiblein, M. J. (2000). Downside risk implications of multinationality and international joint ventures. Academy of Management Journal, 43(2), 203-214.
Roy, A. D. (1952). Safety first and the holding of assets. Econometrica, 20, 431-449.
Sachs, J. D. (2015). The age of sustainable development. Columbia University Press.
Schiehll, E., & Kolahgar, S. (2021). ESG performance and firm value: The moderating role of disclosure. Journal of Business Ethics, 173(2), 369-389.
Sensoy, A. (2016). Dynamic relationship between commodities and stock market liquidity: Evidence from the US market. Finance Research Letters, 17, 171-177.
Serafeim, G. (2017). The role of the corporation in society: Implications for investors. Journal of Applied Corporate Finance, 29(2), 8-16.
Siikanen, J., Kauppi, T., & Nikkinen, J. (2017). The impact of annual and quarterly earnings announcements on stock liquidity: Evidence from NASDAQ OMX Helsinki. Research in International Business and Finance, 41, 307-318.
Stoll, H. R. (2000). Friction. Journal of Finance, 55(4), 1479-1514.
Svanes, Ø. F., & Øyaas, K. S. (2021). ESG and stock liquidity: Evidence from Brazil and Germany. Journal of Sustainable Finance & Investment, 11(4), 324-342.
Tampakoudis, I., & Anagnostopoulou, S. C. (2020). ESG performance and market value: Evidence from the EU banking industry. Journal of Economic Behavior & Organization, 177, 127-143.
Trumpp, C., & Günther, T. (2017). Too little or too much? Exploring U-shaped relationships between corporate environmental performance and corporate financial performance. Business Strategy and the Environment, 26(1), 49-68.
Tsai, W.-H., & Wu, Y.-Y. (2022). The impact of ESG on corporate financial performance in times of crisis: Evidence from COVID-19. Journal of Business Research, 140, 1010-1020.
Umar, M., Ji, X., Kirikkaleli, D., & Onifade, S. T. (2020). Understanding the relationship between innovation and environmental sustainability: A panel threshold analysis for global countries. Journal of Cleaner Production, 276, 124164.
Vance, S. C. (1975). Are socially responsible corporations good investment risks? Management Review, 64(8), 18-24.
Wagner, M., & Blom, J. (2011). The relationship of environmental and economic performance at the firm level: A review of empirical studies in Europe and methodological comments. European Environment, 21(1), 1-19.
Wang, H., & Qian, C. (2011). Corporate philanthropy and corporate financial performance: The roles of stakeholder response and political access. Academy of Management Journal, 54(6), 1159-1181.
Wang, Y. X. (2015). The Disclosure of Corporate Social Responsibility and Stock Liquidity.
Master′s thesis, Tunghai University.
Wang, Z., Chen, L., & Li, G. (2023). ESG performance and stock liquidity: Evidence from Chinese A-share listed companies. Journal of Environmental Management, 315, 115213.
Wright, P., & Ferris, S. P. (1997). Agency conflict and corporate strategy: The effect of divestment on corporate value. Strategic Management Journal, 18(1), 77-83.
Zhou, X., Gao, Y., & Zhao, K. (2021). The role of institutional investors in the market reaction to earnings announcements. Accounting & Finance, 61(2), 3031-3057.

指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2024-7-17

推文