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Title:	新興市場中ESG新聞對股價的影響：基於AI的分析 The Impact of ESG News on Stock Prices in Emerging Markets: An AI-Based Analysis
Authors:	勞士杰 Lao, Shih-Chieh
Contributors:	江彌修呂桔誠 Chiang, Mi-Hsiu Lyu, Jye-Cherng 勞士杰 Lao, Shih-Chieh
Keywords:	人工智慧資料探勘新興市場 ESG 新聞股價情緒分析 Artificial intelligence Data mining Emerging market ESG News Stock price Sentiment analysis
Date:	2024
Issue Date:	2024-08-05 14:18:00 (UTC+8)
Abstract:	我使用資料探勘和生成式人工智慧來擷取和分析非結構化的公司 ESG 新聞，創建了一個資料集。其中，資料集包含 2005 年至 2023 年期間一新興市場國家市值排名前 50 名公司的 6,962 個公司對照日期的觀察結果。我再使用該資料集來研究股票價格對此新興市場中不同類型的 ESG 新聞的反應。我證實在新興市場中，正面新聞有正面的股價反應，負面新聞有負面的股價反應，而當事件引起更大的關注時，正面的新聞會產生負面的股價反應。股價反應對吸引更多關注並與商業模式和創新等議題相關的正面事件更為強烈。此外，我也證實對於同一產業沒有直接財務影響的正面新聞，負面股價反應最為強烈。人工智慧協助我得出的結論是，欲透過實踐 ESG 行動立即提高新興市場公司價值，它們必須增加現金流或降低風險。若情況並非如此，實踐 ESG 行動可能會在短期間內導致公司價值降低。 Using data mining and generative AI to capture and analyze unstructured firm-level ESG news, I create a dataset comprising 6,962 firm-day observations for the top 50 companies by market capitalization in an emerging market over the period 2005–2023. I then use the dataset to examine how stock prices react to different types of ESG news in an emerging market. I demonstrate that in emerging markets, there are positive price reactions to positive news and negative price reactions to negative news, and that positive news are met with negative price reactions when the event attracts greater awareness. The price reactions are stronger to positive events that attracts greater awareness and is related to issues such as business model and innovation. Furthermore, I show that the negative price reactions are the strongest for positive news without an immediate financial impact related to the same industry. With the assistance of AI, I conclude that for ESG initiatives to immediately enhance company value in emerging markets, they must lead to either increased cash flows or reduced risk. If that is not the case, ESG initiatives can lead to lower value for firms in the short term.
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Description:	碩士國立政治大學國際金融碩士學位學程 111ZB1002
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0111ZB1002
Data Type:	thesis
Appears in Collections:	[Master’s Program in Global Banking and Finance] Theses

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