EXPLORING ESG MOMENTUM: CORPORATE RESPONSIBILITY AND STOCK PERFORMANCE IN TAIWAN

With the acceleration of global economic integration and a growing awareness of sustainability, investors are increasingly prioritizing corporate social responsibility (CSR) in their decisionmaking. This study examines the relationship between CSR and stock momentum by analyzing the Taiwan stock market through the lens of two prominent Exchange-Traded Funds (ETFs): the Fubon Taiwan Corporate Governance 100 ETF (00692) and the Yuanta Taiwan ESG Sustainability ETF (00850). Using a sample period from December 2009 to December 2019, the study constructs momentum portfolios based on historical returns to evaluate whether CSRfocused companies demonstrate persistent outperformance or reversal effects. Results reveal significant momentum effects in portfolios formed from CSR-oriented firms, offering valuable implications for institutional and retail investors alike.