隨著永續議題的興起，一般民眾從日常生活中落實環境保護，企業從公司治理逐步實踐永續經營，政府透過法規的制定具體推展企業社會責任(Corporate Social Responsibility, CSR)，相關議題也引起媒體關注而有越來越多的報導。本研究之目的在於探討新聞訊息與CSR活動對股票流動性之影響，透過中時電子報之新聞資料進行新聞報導量、新聞情緒及ESG報導程度之衡量，也依據「中華民國上市上櫃公司企業社會責任實務守則」條列之六大面向建構CSR指標。實證結果顯示整年度的情緒報導量或ESG報導量越多，對股票流動性的提升沒有幫助；然而，年度報導內容之平均淨樂觀程度越高或ESG報導程度越高，則有助於提升股票流動性；本研究推論新聞報導的資訊內涵相較新聞報導量的多寡更有助於促進股票市場流動性之表現。當公司整體CSR表現越好，會促進股票流動性的增加，本研究推論投資人漸趨看重企業之永續性表現，故在CSR表現較好之企業容易獲得投資人的青睞而促進股票流動性。在穩健性分析中，本研究檢驗COVID-19期間CSR變數及新聞訊息變數對股票市場流動性之影響，結果顯示在公司治理面向表現較好或揭露較多CSR資訊之公司，有助於股票流動性之提升。但是，在COVID-19期間媒體報導呈現之平均淨樂觀程度越高，則對流動性表現未能產生助益，反而有流動性變差的現象。根據上述結果推論，COVID-19的發生除了為全球帶來未知的恐慌，還連帶衝擊經濟及增加市場的不確定性，即使報導顯示出平均較為樂觀之情緒，多數投資人抱持靜觀市場變化的態度，讓股票流動性之表現受到影響。

With the rise of sustainability issues, the public implements environmental protection in their daily life, enterprises gradually practice sustainable management from corporate governance, and the government promotes corporate social responsibility through the formulation of laws and regulations. Related issues have also attracted media attention and increased coverage. This study aims to investigate the influence of news information and CSR activities on stock liquidity. News information including news sentiment, ESG media coverage, and news volume, are measured through the reports in China Times. The construction of corporate social responsibility (CSR) indicators is based on the six aspects of the “Rules Governing the Preparation and Filing of Corporate Social Responsibility Reports by TWSE Listed Companies”. The empirical results show that the more yearly sentiment news volume or yearly ESG news volume has no effect on improving stock liquidity. However, the higher the average net optimism degree of the news content or degree of ESG media coverage, the higher the stock liquidity. This study concludes that the information content of the news is more important than the amount of news. When the overall CSR performance of a company is better, it will promote an increase in stock liquidity. This study infers that investors tend to value the sustainability performance of enterprises, so enterprises with better CSR performance are more likely to win the favor of investors and promote stock liquidity. In the robustness analysis, this study examines CSR and news variables' impact on stock market liquidity during COVID-19. The results show that companies with better performance in corporate governance or disclosing more CSR information contribute to improving stock liquidity. However, a higher average net optimism degree of the news content during COVID-19 hurts liquidity. According to the above results, the perspective from this study is that the occurrence of COVID-19 not only brings unknown panic to the world but also impacts the economy and increases the uncertainty of the market. Therefore, even though the news presents relatively optimistic sentiment on average, most investors turn to wait and see the market changes, thus affecting the performance of stock liquidity.

摘要 i
Abstract ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
壹、緒論 1
一、 研究背景與動機 1
二、 研究問題 3
三、 研究架構與流程 4
貳、文獻回顧 5
一、 企業社會責任 5
二、 新聞訊息 7
三、 股票市場流動性 9
參、研究方法 13
一、 資料來源與研究樣本 13
二、 股票流動性衡量 13
三、 企業社會責任指標建立 14
四、 新聞訊息分析 16
五、 控制變數 21
六、 研究模型 23
肆、實證結果與分析 29
一、 敘述性統計 29
二、 相關係數分析 34
三、 迴歸分析 36
四、 穩健性分析 42
伍、結論與建議 48
參考文獻 50
一、 中文文獻 50
二、 英文文獻 50
附錄一 CSR指標建立描述及範例 55
附錄二 剔除公司清單 61

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