JISE


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Journal of Information Science and Engineering, Vol. 40 No. 4, pp. 799-811


Market Reactions to Firms’ Inclusion in the Sustainability Index: Further Evidence of TCFD Framework Adoption


WU-PO LIU, LI-YA LO AND WAN-CI HUANG+
Department of Accountancy and Institute of Finance
National Cheng Kung University
Tainan, 701 Taiwan
E-mail: paulliu@gs.ncku.edu.tw; {Demonring; wanci.h95
+}@gmail.com


This study investigates the market reactions to firms’ inclusion in the Environmental, Social, and Governance (ESG) index. Specifically, we investigate whether firms that adopt the Task Force on Climate-Related Financial Disclosures (TCFD) framework experience variations in abnormal returns. Analyzing a sample of 71 companies from the FTSE ESG index in Taiwan between 2019 and 2021, we discern a positive market reaction to compa-nies incorporated into the ESG index. Additionally, companies that embrace the TCFD framework demonstrate elevated abnormal returns. Contrary to prior research indicating a negative market impression of Asian companies with superior sustainability achievements, our study implies a growing favorable perception by Asian investors toward companies actively participating in sustainability initiatives.


Keywords: sustainability index, task force on climate-related financial disclosures (TCFD), market reactions, environmental, social, and governance (ESG)

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