隨著全球對氣候變遷與再生能源的重視不斷加深，ESG 相關金融商品亦迅速發展。然而在政策推動、投資人行為與外部事件(如COVID-19 疫情)影響下，永續ETF 與能源情緒之間的連動性變得更為複雜，面對執行層面的種種挑戰，仍需更多努力以實現可衡量且持續的成效。這使得ESG 投資成為備受矚目的領域，而一般投資大眾也想關注ESG，本文認為相關ESG 商品實有探討的必要。本研究引用 Diebold and Yilmaz (2012, 2014)的實證方法，探討七檔交易量較大之ESG-ETF 和能源情緒波動率指数(OVX)於疫情前後的報酬外溢效應，藉以評估ESG-ETF 與能源情緒之動態關係的影響。主要的研究目的為：探討目前市場上永續ETF 與能源情緒(OVX)間之連動性；永續ETF 間也會互相干擾嗎? 以及疫情外生干擾期間，是否關係變得不同?
研究結果顯示，在疫情前OVX 多數時間為波動的接收者，對ESG-ETF 影響有限；但疫情後ESG-ETF 間的連動性明顯提高，且部分 ESG-ETF 對OVX亦有回饋作用，顯示投資人風險偏好與資產配置策略因疫情產生結構性改變。此發現有助於了解市場對永續金融資產在不同經濟情境下的反應，並為投資者與政策制定者提供重要參考。

With increasing global attention on climate change and renewable energy, ESGrelated
financial products have rapidly developed. However, the dynamic relationship
between sustainability ETFs and energy market sentiment has become more complex
due to the influence of policy initiatives, investor behavior, and exogenous shocks such as the COVID-19 pandemic. Despite growing awareness, challenges in implementation remain, requiring further efforts to achieve measurable and sustained impact. As ESG investment continues to attract interest, especially among retail investors, it is necessary to examine the behavior of related financial instruments.
This study adopts the spillover index framework proposed by Diebold and Yilmaz
(2012, 2014) to investigate the return spillover effects between seven major ESG ETFs
and the Crude Oil Volatility Index (OVX) before and after the COVID-19 outbreak,
aiming to evaluate their evolving dynamic relationship. The main research questions
include: What is the current linkage between ESG ETFs and energy market sentiment
(OVX)? Do ESG ETFs interact with each other? And how has the relationship changed
during the pandemic-induced external shock?
The empirical findings indicate that prior to the pandemic, OVX mostly acted as
a recipient of volatility with limited influence on ESG ETFs. However, in the postpandemic period, the interdependence among ESG ETFs increased significantly, and
certain ETFs even exerted feedback effects on OVX. This suggests that the pandemic
triggered structural changes in investor risk preferences and portfolio strategies. These insights contribute to a better understanding of how sustainable financial assets respond under different economic conditions and provide valuable references for investors and policymakers.

第一章 緒論 ..................... 1
第一節 研究動機 ........ 1
第二節 研究目的 ........ 4
第三節 研究架構 ........ 4
第四節 研究流程 ........ 6
第二章 文獻回顧 ............. 7
第一節 影響ESG-ETF 績效之因素 ....... 7
第二節 影響ESG-ETF 波動之因素 ..... 11
第三節 能源情緒OVX 之相關文獻 ..... 13
第三章 研究方法 ........... 15
第一節 向量自我迴歸模型Vector Autoregression model ............... 15
第二節 衝擊反應分析 Impulse Response Function ......... 16
第三節 動態外溢效應模型 Dynamic Spillover Effects .... 17
第四章 實證結果分析 .................. 20
第一節 資料及敘述統計 ......... 20
第二節 向量自我迴歸模型與衝擊反應函數實證結果 ...... 26
第三節 動態波動外溢 ............. 32
第五章 結論與建議 ....... 42
參考文獻 ...............44

圖目錄
【圖1】研究流程圖..............6
【圖2】疫情前OVX 對各檔ESG ETFs 之衝擊效應...............29
【圖3】疫情後OVX 對各檔ESG ETFs 之衝擊效應...............31
【圖4】疫情前OVX 與ESG-ETF 相對應之淨波動外溢..............35
【圖5】疫情前所有資產之淨波動外溢....36
【圖6】疫情後OVX 與ESG-ETF 相對應之淨波動外溢...........40
【圖7】疫情後所有資產之淨波動外溢....41

表目錄
【表4-1】敘述統計表..........25
【表4-2】疫情前靜態VAR 模型聯合檢定結果.28
【表4-3】疫情後靜態VAR 模型聯合檢定結果.30
【表4-4】疫情前動態波動外溢效果....34
【表4-5】疫情後動態波動外溢效果....39

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