The Impact of Investor Sentiment on Abnormal Returns and Abnormal Volumes- the Study of ESG Event

[[abstract]]在證券市場中，散戶資訊較不完整，容易在事件衝擊之後，因為情緒波動而產生異常報酬及異常交易量。本文以元大臺灣ESG永續ETF成份股為觀察樣本，檢驗投資人情緒與ESG事件對股票異常報酬與交易量的影響。本研究實證結果如下：(1) ETF成份股在ESG事件前後存在異常報酬與異常交易量。(2) 投資人情緒與異常報酬與異常交易量呈現負相關。(3) ESG的事件衝擊會減少股票異常報酬與異常交易量。[[abstract]]In the securities market, the information of individual investors is relatively incomplete, and it is easy to generate abnormal returns and volume due to emotional fluctuations after the impact of events shock. This paper uses the component stocks of Yuanta Taiwan ESG ETF as observation samples to examine the impact of investor sentiment and ESG events on abnormal returns and volume. The empirical results of this study are as follows: (1) ETF component stock have abnormal returns and abnormal volumes before and after ESG events (2) Investor sentiment is negative correlated with abnormal returns and abnormal volumes. (3) The impact of ESG events will decrease the abnormal returns and abnormal volume of stocks