Volume 20, Number 1, June 2025
| The Impact of Corporate Sustainability Announcements and the COVID-19 Pandemic on Stock Prices: Evidence from the Taiwan Stock Market |
Abstract
In recent years, climate change has significantly impacted nations, societies, and individuals. The outbreak and spread of the COVID-19 pandemic have further intensified these effects on the global economy and society, drawing increased attention to sustainable development. The United Nations' Principles for Responsible Investment (PRI) integrate Environmental, Social, and Governance (ESG) factors into investment decision-making processes, and investors are increasingly adopting ESG-based sustainable investment strategies. The market for financial products related to ESG investments has been expanding rapidly. This study employs an event study to investigate the effect of corporate sustainability announcements on the inclusion of Taiwanese listed companies in the Dow Jones Sustainability Index (DJSI) as the research event. A non-parametric analysis is employed to examine the effectiveness of corporate sustainability announcements before and after the COVID-19 pandemic. Furthermore, regression analysis is utilized to explore the factors influencing cumulative abnormal returns (CAR). The findings reveal that corporate sustainability announcements provide long-term benefits to investors, although no significant short-term cumulative abnormal returns (SCAR) are observed. Additionally, during and after the pandemic, corporate sustainability announcements generate significantly higher positive SCARs compared to the pre-pandemic period. Moreover, the announcement effects in the electronics industry are higher than those in non-electronics industries. These results suggest that factors such as the pandemic and industry classification play a crucial role in determining the effectiveness of corporate sustainability announcements.
Keywords: ESG, sustainable development, COVID-19 pandemic, event study
JEL Classification: G14, G41, I15