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

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.