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| Title: | ESG投資和基金風險
ESG investing and Fund Risks |
| Authors: | 曾心儀
TSENG, HSIN-I |
| Contributors: | 何靜嫺
曾心儀
TSENG, HSIN-I |
| Keywords: | ESG 投資
基金風險
基金相關網絡
中心性
ESG Investing
Fund Risk
Fund Correlation Network
Centrality |
| Date: | 2022 |
| Issue Date: | 2022-06-01 16:35:49 (UTC+8) |
| Abstract: | 近年來，全球ESG投資迎來爆炸性成長，先前國外研究主題；多偏重ESG投資的表現，因此我們的研究著重於ESG投資的風險。由於永續投資其主要的投資策略為"ESG負面篩選"，會排除特定類型的企業，將大量的資金瞄準少數ESG表現佳的公司或共同基金，導致這些股票和基金的相關性越來越強。為了研究這些相關性的影響，我們使用晨星公司的樣本，並使用 "逆夏普比率 "來衡量基金風險。結果表明，基金的ESG表現與基金風險存在顯著的正向關係。當我們將ESG拆分為個別E/S/G得分時，研究結果顯示，如果一檔基金持有較多社會面(S)表現好的公司，比較不會受到，基金持股相關性增加造成的負面影響。接續，為了研究基金網絡中的傳染效應，我們構建了基金相關網絡（Fund Correlation Network），並使用 "中心性 "指標來衡量一個基金在這個網絡中的重要性。結果顯示，基金在網絡中的中心度越高，它就越能接受來自其他基金的傳染性風險，從而承擔更高的風險。當研究不同基金規模的子群體時，結果顯示，大型基金的傳染效應比小型基金的傳染效應要高得多（幾乎是四倍）。
There has been a significant expansion of ESG investing around the globe. While most literature addresses the performance of ESG investing, we investigate the risk aspect of ESG investing. As sustainable investment strategies screen assets according to their ESG indices, there is a large amount of money targeting on a few high ESG firms or mutual funds, which causes these stocks and funds to be increasingly correlated. To study the effects of these correlations, we investigate a sample from Morningstar and use “inverse Sharpe ratio” to measure fund risk. Our results first show that funds’ ESG performance are positively related to fund risk. When we collapse ESG to individual E\\S\\G scores, our results show that funds holding more companies with better social performance seem to be immune from the contrary effect caused by the increasing correlation among holding companies. Next, to study the contagious effect, we construct a fund correlation network and use indicators of “centrality” to measure a fund’s importance in this network. Our results show that the higher a fund’s centrality in the network, the more it would receive the contagious risks from other funds and hence bear higher risk. When investigating the ESG and contagious effects for subgroups with different fund sizes, our results show that the contagious effects for larger funds are much higher (almost four times) than those for smaller funds. |
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| Description: | 碩士
國立政治大學
經濟學系
109258024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109258024 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200445 |
| Appears in Collections: | [經濟學系] 學位論文
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