資料載入中.....
|
請使用永久網址來引用或連結此文件:
https://nccur.lib.nccu.edu.tw/handle/140.119/158791
|
| 題名: | 台灣永續指數變動與價量表現
FTSE4Good TIP Taiwan ESG Index Changes and Price-Volume Performance |
| 作者: | 張鏵云
Chang, Hua-Yun |
| 貢獻者: | 蘇昱璇
Su, Yu-Hsuan
張鏵云
Chang, Hua-Yun |
| 關鍵詞: | 台灣永續指數
成分股調整
事件研究法
異常報酬率
異常交易量率
FTSE4Good TIP Taiwan ESG Index
Adjustment of the Constituent
Event Study
Abnormal Returns
Abnormal Volume Ratio |
| 日期: | 2025 |
| 上傳時間: | 2025-08-04 15:51:40 (UTC+8) |
| 摘要: | 本文探討台灣永續指數成分股異動對股價及交易量表現之影響，並運用事件研究法分析新增股與剔除股在事件宣告前、中、後各階段的標準化異常報酬率 (SAR) 與異常交易量率 (AVR)，輔以迴歸分析檢視產業類別及大盤因素的影響。研究期間設定為2018年至2024年，排除已下市或合併之成分股後，總計新增股與剔除股分別為54支與26支。結果發現，企業落實永續發展與其股價、交易量變動並無直接關係，台灣永續指數成分股異動後的價量表現多受到市場力量影響，與其永續主題無直接關聯。在短期內，市場投資人仍更關注總體經濟因素、地緣政治及供應鏈重組等市場整體表現，而非將永續表現作為單一投資指標。
對於事件宣告期間的新增股，其股價上漲反映市場對新增消息的正面態度，惟交易行為相對保守，尤其疫情後，投資人對新增股「買預期、賣事實」的現象更為明顯。剔除股價量變化則反映事件宣告前投資人就已獲利了結，宣告結束後SAR 回歸預期負向走勢，惟標準化累積異常報酬率 (SCAR) 仍維持正向，推測與產業因素有關。無論疫情前中後，剔除股皆出現交易量顯著增加，但股價未有顯著波動的情況。後續迴歸分析則進一步證實特定產業，如電腦及週邊設備業、航運業及半導體業，對新增股的價量表現有顯著正向影響，說明產業動能與市場期待是主要驅動因素。在剔除股方面，僅航運業對SAR與AVR具有顯著正向的效果，汽車工業對AVR則出現顯著負向效果，可能原因為市場信心不足。整體而言，儘管「永續發展」是長期趨勢，但台灣永續指數成分股的短期價量反應，更多受到總體經濟、產業趨勢和市場情緒影響，而非直接反映企業的永續表現。
This study investigates the impact of constituent changes in the FTSE4Good TIP Taiwan ESG Index on stock price and trading volume performance, utilizing event study methodology to analyze abnormal returns (SAR) and abnormal volume ratios (AVR) for added and deleted stocks across pre-announcement, announcement, and post-announcement periods, supplemented by regression analysis to examine the influence of industry categories and market-wide factors. The study period is set from 2018 to 2024. After excluding constituent stocks that were delisted or merged, a total of 54 added stocks and 26 deleted stocks were analyzed. The empirical results indicate that there is no direct relationship between corporate ESG implementation and changes in stock price or trading volume. The price and volume performance following FTSE4Good TIP Taiwan ESG Index constituent changes are largely influenced by market forces, with less direct connection to the sustainability theme itself. In the short term, market investors remain more focused on overall market performance driven by macroeconomic factors, geopolitical events, and supply chain restructuring, rather than using sustainability performance as a sole investment indicator.
For added stocks, price changes during the announcement period reflected the market’s positive attitude towards the news, but trading behavior was relatively cautious. This “buy the rumor, sell the news” phenomenon was even more apparent after the pandemic for added stocks. For deleted stocks, price and volume changes indicated investors had taken profits before the announcement. After the announcement period, SAR showed a short-term positive reaction followed by an expected negative trend, but cumulative standardized abnormal returns (SCAR) remained positive, possibly due to industry factors. Regardless of the period (pre, during, or postpandemic), deleted stocks consistently showed significantly increased trading volume without significant price volatility. Subsequent regression analysis further confirmed that specific industries, such as Computer & Peripherals, Shipping, and Semiconductor, had a significant positive impact on the price and volume performance of added stocks, indicating that industry momentum and market expectations are the primary driving factors. For deleted stocks, only the Shipping industry showed a significant positive effect on SAR and AVR, while the Automotive industry showed a significant negative effect on AVR, possibly reflecting a lack of market confidence. Overall, despite “sustainable development” being a long-term trend, the short-term price and volume reactions to FTSE4Good TIP Taiwan ESG Index constituent changes are more influenced by macroeconomic conditions, industry trends, and market sentiment, rather than directly reflecting corporate sustainability performance. |
| 參考文獻: | Ahmad, N., Mobarek, A., & Roni, N. N. (2021). Revisiting the impact of ESG on financial performance of FTSE350 UK firms: Static and dynamic panel data analysis. Cogent Business & Management, 8(1), 1900500.
Alareeni, B. A., & Hamdan, A. (2020). ESG impact on performance of US S&P 500listed firms. Corporate Governance: The International Journal of Business in Society, 20(7), 1409-1428.
Alliance, G. S. I. (2020). Global sustainable investment review. Biennial Report.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
Barzuza, M., Curtis, Q., & Webber, D. H. (2019). Shareholder value (s): Index fund ESG activism and the new millennial corporate governance. S. Cal. L. Rev., 93, 1243.
Becchetti, L., Ciciretti, R., Hasan, I., & Kobeissi, N. (2012). Corporate social responsibility and shareholder's value. Journal of Business Research, 65(11), 1628-1635. Beneish, M. D., & Whaley, R. E. (1996). An anatomy of the “S&P Game”: The effects of changing the rules. The Journal of Finance, 51(5), 1909-1930.
Boatright, J. R. (2010). Finance ethics: Critical issues in theory and practice. John Wiley & Sons.
Boehmer, E., Masumeci, J., & Poulsen, A. B. (1991). Event-study methodology under conditions of event-induced variance. Journal of financial economics, 30(2), 253-272.
Bowen, H. R. (2013). Social responsibilities of the businessman. University of Iowa Press.
Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27.
Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
Carroll, A. B. (1979). A three-dimensional conceptual model of corporate performance. Academy of management review, 4(4), 497-505.
Carroll, A. B., & Brown, J. A. (2018). Corporate social responsibility: A review of current concepts, research, and issues. Corporate social responsibility, 39-69.
Curran, M. M., & Moran, D. (2007). Impact of the FTSE4Good Index on firm price: An event study. Journal of environmental management, 82(4), 529-537.
De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
De Bondt, W. P. (1993). Betting on trends: Intuitive forecasts of financial risk and return. International Journal of forecasting, 9(3), 355-371.
De George, R. T. (1987). The status of business ethics: Past and future. Journal of Business Ethics, 6, 201-211. Dhillon, U., & Johnson, H. (1991). Changes in the Standard and Poor's 500 List. Journal of Business, 75-85.
Doh, J. P., Howton, S. D., Howton, S. W., & Siegel, D. S. (2010). Does the market respond to an endorsement of social responsibility? The role of institutions, information, and legitimacy. Journal of Management, 36(6), 1461-1485.
Dorfleitner, G., Halbritter, G., & Nguyen, M. (2015). Measuring the level and risk of corporate responsibility–An empirical comparison of different ESG rating approaches. Journal of Asset Management, 16, 450-466.
Dowell, G., Hart, S., & Yeung, B. (2000). Do corporate global environmental standards create or destroy market value? Management science, 46(8), 1059-1074.
Erwin, G. R., & Miller, J. M. (1998). The liquidity effects associated with addition of a stock to the S&P 500 index: Evidence from bid/ask spreads. Financial Review, 33(1), 131-146.
Fama, E. (1976). Foundations of Finance, New York ; Basic books.
Fatemi, A., Glaum, M., & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global finance journal, 38, 45-64.
Feng, Z., & Wu, Z. (2021). ESG disclosure, REIT debt financing and firm value. The Journal of Real Estate Finance and Economics, 1-35.
Fombrun, C. J., Gardberg, N. A., & Barnett, M. L. (2000). Opportunity platforms and safety nets: Corporate citizenship and reputational risk. Business and society review, 105(1).
Folger-Laronde, Z., Pashang, S., Feor, L., & ElAlfy, A. (2022). ESG ratings and financial performance of exchange-traded funds during the COVID-19 pandemic. Journal of Sustainable Finance & Investment, 12(2), 490-496.
Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233.
Friedman, M. (1970). A theoretical framework for monetary analysis. journal of Political Economy, 78(2), 193-238. Friedman, M. (2007). The social responsibility of business is to increase its profits. In Corporate ethics and corporate governance (pp. 173-178). Springer.
Geczy, C. C., Stambaugh, R. F., & Levin, D. (2021). Investing in socially responsible mutual funds. The Review of Asset Pricing Studies, 11(2), 309-351.
Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance research letters, 35, 101512.
Gowri Shankar, S., & Miller, J. M. (2006). Market reaction to changes in the S&P SmallCap 600 index. Financial Review, 41(3), 339-360.
Griffin, J. J., & Mahon, J. F. (1997). The corporate social performance and corporate financial performance debate: Twenty-five years of incomparable research. Business & society, 36(1), 5-31.
Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815-829.
Hart, S. L., & Milstein, M. B. (2003). Creating sustainable value. Academy of Management Perspectives, 17(2), 56-67.
Hawkins, D. F. (1986). Corporate financial reporting and analysis. (No Title).
Hebb, T., Hamilton, A., & Hachigian, H. (2010). Responsible property investing in Canada: factoring both environmental and social impacts in the Canadian real estate market. Journal of Business Ethics, 92, 99-115.
Henisz, W., Koller, T., & Nuttall, R. (2019). Five ways that ESG creates value. McKinsey Quarterly, 1-12.
Hopwood, B., Mellor, M., & O'Brien, G. (2005). Sustainable development: mapping different approaches. Sustainable development, 13(1), 38-52.
Jain, P. C. (1987). The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal, 43(1), 58-65.
Kadan, O., Michaely, R., & Moulton, P. C. (2015). Speculating on private information: Buy the rumor, sell the news. Available at SSRN 2427282, 10.
Kanuri, S. (2020). Risk and return characteristics of environmental, social, and governance (ESG) equity ETFs. The Journal of Beta Investment Strategies, 11(2), 66-75.
Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks do slope down: New evidence from an index weights adjustment. The Journal of Finance, 55(2), 893-912.
Lamoureux, C. G., & Wansley, J. W. (1987). Market effects of changes in the Standard & Poor's 500 index. Financial Review, 22(1), 53-69.
Lee, C. M., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069.
Lee, H. L., Padmanabhan, V., & Whang, S. (1997). The bullwhip effect in supply chains. Sloan Management Review, 38, 93-102.
Lovata, L. M., & Costigan, M. L. (2002). Empirical analysis of adopters of economic value added. Management Accounting Research, 13(2), 215-228.
Mǎnescu, C. (2011). Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk? Sustainable development, 19(2), 95-118.
Mohammad, W. M. W., & Wasiuzzaman, S. (2021). Environmental, Social and Governance (ESG) disclosure, competitive advantage and performance of firms in Malaysia. Cleaner Environmental Systems, 2, 100015.
Murray, C. J., Ikuta, K. S., Sharara, F., Swetschinski, L., Aguilar, G. R., Gray, A., Han, C., Bisignano, C., Rao, P., & Wool, E. (2022). Global burden of bacterial antimicrobial resistance in 2019: a systematic analysis. The Lancet, 399(10325), 629-655.
Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A meta-analysis. Organization studies, 24(3), 403-441.
Peterson, P. P. (1989). Event Studies: A Review of Issues and Methodology. Quarterly Journal of Business and Economics, 28(3), 36–66.
Polbennikov, S., Desclée, A., Dynkin, L., & Maitra, A. (2016). ESG ratings and performance of corporate bonds. The Journal of Fixed Income, 26(1), 21-41.
Povilonis, J. R. (2022). Contracting for ESG: Sustainability-Linked Bonds and a New Investor Paradigm. The Business Lawyer, 77, 625-650.
Pruitt, S. W., & Wei, K. J. (1989). Institutional Ownership and Changes in the S&P 500. The Journal of Finance, 44(2), 509-514.
Reiser, D. B., & Tucker, A. (2019). Buyer beware: variation and opacity in ESG and ESG index funds. Cardozo L. Rev., 41, 1921.
Roca, E. (2013). The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context. Journal of Asian Economics, 24, 51-65.
Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
Shleifer, A. (1986). Do demand curves for stocks slope down? The Journal of Finance, 41(3), 579-590.
Tracey, S., & Anne, B. (2008). OECD insights sustainable development linking economy, society, environment: Linking economy, society, environment. OECD Publishing.
Wackernagel, M., & Rees, W. (1998). Our ecological footprint: reducing human impact on the earth (Vol. 9). New society publishers.
Wartick, S. L., & Cochran, P. L. (1985). The evolution of the corporate social performance model. Academy of management review, 10(4), 758-769.
Wood, D. J. (1991). Corporate social performance revisited. Academy of management review, 16(4), 691-718.
Woolridge, J. R., & Ghosh, C. (1986). Institutional trading and security prices: the case of changes in the composition of the S&P 500 index. Journal of Financial Research, 9(1), 13-24.
Wurgler, J., & Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks? The Journal of Business, 75(4), 583-608.
李志宏（2002）。 資訊揭露前後交易者交易行為與流動性之研究：以台灣股市為例（SC91-2416-H-004-015-）。行政院國家科學委員會專題研究計畫。
吳依正、廖永熙（2008）。臺灣50指數成分股異動對價格與成交量之影響。台灣期貨與衍生性商品學刊，7，138-164。
沈中華、李建然（2000）。事件研究法。台北：華泰文化事業公司。
何怡滿、陳雯琪（2019）。投資人關注度對臺灣50指數成分股之股票報酬與公司績效的影響。屏東大學學報–管理類，2，73-103。
林靖中（2005）。台灣 50 指數股票型基金 (ETF)對標的指數成分股之影響。（未出版之博士論文）。國立成功大學企業管理學系碩博士班。
張晨瀚（2022）。台灣投資人對ESG相關主題基金之認知。（未出版之碩士論文）。國立政治大學國際經營與貿易學系。
黃啟瑞、池祥麟、陳宥杉、蔡昀芸、張愷銘、陳華偉（2022）。
2022年台灣永續投資調查。
楊馥如、王偉權、蘇柏諺、林惠雪（2016）。指數成分股變動之異常報酬與公司治理。績效與策略研究，13，45-70。 |
| 描述: | 碩士
國立政治大學
國家發展研究所
110261017 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0110261017 |
| 資料類型: | thesis |
| 顯示於類別: | [國家發展研究所] 學位論文
|
文件中的檔案:
| 檔案 |
描述 |
大小 | 格式 | 瀏覽次數 |
|---|
| 101701.pdf | | 3898Kb | Adobe PDF | 0 | 檢視/開啟 |
|
在政大典藏中所有的資料項目都受到原著作權保護.
|
