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| Title: | ESG評級分數對日經225指數個別公司風險之研究
Impact of ESG factors on firm risk in Nikkei 225 index |
| Authors: | 張誠允
Chang, Cheng-Yun |
| Contributors: | 楊曉文
Yang, Sheau-Wen
張誠允
Chang, Cheng-Yun |
| Keywords: | ESG評分
公司市場風險
崩盤風險
財務限制風險
ESG Score
Firm risk
Crash risk
Financial constraint risk |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:50:16 (UTC+8) |
| Abstract: | 本研究主要希望能探討對於日本大型股的日經225指數成分股中，其個別公司的ESG 評分以及其底下的環境、社會與公司治理類別評分對於個別公司風險之影響效果，特別是下檔風險。在此研究中，我主要以市場風險(特質風險)、崩盤風險(負偏斜度NCSKEW、股票報酬漲跌波動率DUVOL)與財務限制指數(KZ指數、WW指數、SA 指數)作為風險變數，並以Refinitiv 資料庫中 2010-2018 年間的1,883筆日本日經225指數的成分股公司作為研究樣本進行回歸分析，希望能探究針對日本大型股(日經225)的ESG評分與其公司個別風險的關係。
而實證結果顯示，在市場風險上，ESG總分底下的治理層面分數與未來公司個別的市場風險的具有明顯的負相關性。而治理分數中的細部項目CSR戰略與股東權益分數分數與公司的市場風險有顯著負相關。從崩盤風險來看，ESG與其底下其餘類別主要分數與崩盤風險的關聯性不明顯。最後從財務限制風險的角度來看，ESG 績效分數越高，未來一年公司的財務限制指數越低。而細觀環境、社會、治理的子項目中，可以發現在社會項目中的子項目人權、社會，以及治理子項目的CSR策略與股東權益在本研究樣本中對減緩財務限制風險的影響最大。
This study hopes to explore the impact of the ESG scores of individual companies and the environmental, social and governance category scores of individual companies in the components of large Japanese stocks Nikkei 225 Index on individual company risks. In this research, I mainly use market risk (idiosyncratic risk), crash risk (negative conditional skewness NCSKEW, down-to-up volatility DUVOL) and financial restriction index (KZ index, WW index , SA index) as the risk variable. And I use 1,883 pieces of esg score data in Refinitiv database from 2010 to 2018 as the research sample to perform regression analysis, hoping to explore the impact of large Japanese stocks (Nikkei 225) and the relationship between ESG scores and company`s risks.
The empirical results show that in terms of market risk, the governance score has a significant negative correlation with the one-year-ahead individual market risk. And the CSR strategy score and shareholders score in governance pillar score is significantly negatively correlated with the company`s market risk. For crash risk, the correlation between ESG score and crash risk is not obvious. Finally, for financial restriction risk, the higher the ESG performance score, the lower the company`s financial restriction index in the next year. In the components of environment, society and governance score, we can find that human rights score, community score, CSR strategies score and shareholders score have the greatest impact on mitigating financial constraint risks in the sample of this research. |
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| Description: | 碩士
國立政治大學
金融學系
108352014 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352014 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202101134 |
| Appears in Collections: | [金融學系] 學位論文
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