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<p>This study investigates how ESG migration, indicating a change in ESG ratings, influences investor reactions in the Taiwanese stock market. Using firm-level ESG data from the TEJ database, which provide us not only total ESG score but also scores in the underlying E, S, G dimensions and in ESG media, we examine the market’s response to rating upgrades and downgrades, both in the short term and over longer horizons. Our findings reveal that ESG upgrades are followed by significantly positive abnormal returns, while downgrades lead to sustained underperformance. Notably, investors react more strongly to changes in environmental scores, with negative media coverage intensifying the effects of ESG downgrades. Our results underscore the growing importance of ESG dynamics in shaping market behavior, particularly in emerging markets. Our study contributes to the literature by shifting the focus from static ESG levels to ESG migration and by incorporating media sentiment as an additional dimension of ESG-related information.</p>

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ESG migration: Evidence from the Taiwan stock market

  • 期刊论文

  • 发表日期：

    2026年1月6日

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  • Hui-Chieh Chen,
  • Yueh-Neng Lin

摘要

This study investigates how ESG migration, indicating a change in ESG ratings, influences investor reactions in the Taiwanese stock market. Using firm-level ESG data from the TEJ database, which provide us not only total ESG score but also scores in the underlying E, S, G dimensions and in ESG media, we examine the market’s response to rating upgrades and downgrades, both in the short term and over longer horizons. Our findings reveal that ESG upgrades are followed by significantly positive abnormal returns, while downgrades lead to sustained underperformance. Notably, investors react more strongly to changes in environmental scores, with negative media coverage intensifying the effects of ESG downgrades. Our results underscore the growing importance of ESG dynamics in shaping market behavior, particularly in emerging markets. Our study contributes to the literature by shifting the focus from static ESG levels to ESG migration and by incorporating media sentiment as an additional dimension of ESG-related information.