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| Title: | ETF 調整成分股對股價與碳排放影響之研究：以 NASDAQ 清潔綠能指數為例
The Impact of ETF Constituent Rebalancing on Stock Price and Carbon Emissions: Evidence from NASDAQ Clean Edge Green Energy Index |
| Authors: | 謝昌宏
Hsieh, Chang-Hung |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
謝昌宏
Hsieh, Chang-Hung |
| Keywords: | NASDAQ 清潔綠能指數
事件研究法
超額報酬
碳排放量
指數型共同基金
NASDAQ Clean Edge Green Energy Index
Event Study Method
Excess Returns
Carbon Emissions
ETF |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:16:59 (UTC+8) |
| Abstract: | 本研究探討 NASDAQ 清潔綠能指數成分股調整對股價與碳排放的影響，並進一步檢視碳排放量是否為解釋股價超額報酬的重要因子。研究採用事件研究法，分析 2010 年 1 月至 2024 年 6 月間 NASDAQ 清潔綠能指數成分股調整事件，計算超額報酬與累積超額報酬率，並透過多元迴歸模型納入企業碳排放表現（範疇 1 至 3 的排放量及成長率）與財務控制變數，評估對股價報酬的解釋力。
實證結果顯示，成分股被納入指數前未出現顯著正向超額報酬，但在事件發生後出現顯著且持續的負向修正，被剔除公司則在事件當日出現顯著負報酬，後續表現則趨於穩定。顯示市場反應受到短期資金配置與投資者情緒影響，並不符合效率市場假說的預期。迴歸分析結果顯示，碳排放變數在完整模型中並未顯著提升模型解釋力，顯示短期股價表現主要仍受市場因素驅動。
在環境行為方面，被納入的公司在事件發生當年度範疇 1 至 3 的碳排放量皆顯著增加，反映企業可能更重視供應鏈的碳排放揭露與管理，提升碳排放報導的完整性；被剔除公司則呈現碳排放成長趨緩的現象。NASDAQ 清潔綠能指數成分股調整雖然能對市場傳遞永續訊號，對企業長期環境行為的誘因效果仍具有不確定性。
This study investigates the impact of changes in the components of the NASDAQ Clean Edge Green Energy Index on stock returns and carbon emissions, also examining whether carbon emissions serve as a significant factor in explaining excess stock returns. Using the event study methodology, this research analyzes component changes between January 2010 and June 2024, calculating excess returns and cumulative excess returns. A cross-sectional regression model incorporating firm-level carbon emissions data (Scope 1 to 3, including total emissions and growth rates) and financial control variables is employed to assess their explanatory power on stock price returns.
Empirical results show that newly added stocks did not experience significant positive excess returns prior to the event, but exhibited significant and persistent negative corrections afterward. Removed stocks showed significant negative returns on the event day, followed by relatively stable performance. These patterns suggest that market reactions are driven by short-term capital flows and investor sentiment, rather than aligning with the expectations of the Efficient Market Hypothesis. Regression results reveal that carbon emission variables did not significantly enhance the explanatory power of the full model, implying that short-term stock performance is primarily driven by market-based factors.
Regarding environmental behavior, companies added to the index exhibited significant increases in Scope 1 to 3 carbon emissions during the event year, reflecting a potential emphasis on carbon disclosure and management throughout the supply chain, thereby improving the completeness of carbon reporting. Conversely, companies removed from the index showed a slowdown in emission growth. Although the adjustment of constituents in the NASDAQ Clean Edge Green Energy Index may convey sustainability signals to the market, its long-term effect on corporate environmental behavior remains uncertain. |
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| Description: | 碩士
國立政治大學
金融學系
112352017 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352017 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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