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ESG, Market Microstructure, and Herding Behavior: Evidence from CSAD Tests in Taiwan
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DOI：10.1016/j.iref.2025.104865.png)
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Abstract
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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.
Keywords:
ESG transparency
Market microstructure reform
Herding behavior
CSAD models
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