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System No. U0002-2307202215222100
Title (in Chinese) 企業ESG在疫期間的股價影響_以大型金控為例
Title (in English) The impact of ESG on stock prices during the epidemic- The example of Taiwan finance holding companies
Other Title
Institution 淡江大學
Department (in Chinese) 經濟學系經濟與財務碩士班
Department (in English) Master's Program in Economics and Finance, Department of Economics
Other Division
Other Division Name
Other Department/Institution
Academic Year 110
Semester 2
PublicationYear 111
Author's name (in Chinese) 林昱宏
Author's name(in English) Yu-Hong Lin
Student ID 610570045
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2022-06-21
Pagination 37page
Committee Member advisor - Yen-Ling Lin
co-chair - 陳怡宜
co-chair - 袁宇熙
Keyword (inChinese) ESG
COVID-19
Difference-In-Difference
金控公司
股價
Keyword (in English) ESG
COVID-19
Difference-In-Difference
Finance Holding Companies
Other Keywords
Subject
Abstract (in Chinese)
本研究探討大型金控的ESG程度在疫情期間的股價影響。近年來企業ESG觀念興起,許多投資人與機構也陸續將ESG納入投資標的篩選標準,各國主管機關也提出相關的標準與規範,使得ESG於現在企業實務運作中顯得至關重要。而COVID-19疫情的突然爆發,正是檢視ESG在危機中所帶來效應的一個時點。本研究以台灣大型金控公司作為研究標的,利用天下雜誌永續公民獎2018年至2021年的數據資料作為ESG評比資料,並從台灣經濟新報取得所對應資料年度的各家金控企業的背景資料。本研究的實證方法為兩階段,第一階段以各家金控的每月營收為應變數,觀察各個變數對金控營收的影響;第二階段以各家金控的每月股價報酬為應變數,將當年度有入榜的金控做為實驗組,未入榜的設定為控制組,計算Difference-In-Difference的成效,評估ESG在疫情期間對企業股價的相對效果。實證結果發現,ESG程度對金控營收有顯著且正向的影響,而台灣在疫情控制穩定的情況下,對金控營收的負面影響非常小。本研究進一步將ESG變數拆解細項以觀察各面向對金控營收的影響,發現社會(S)面向是主要正向影響的來源,然而治理(G)對金控營收的影響卻是負向且顯著。股價方面,Difference-In-Difference的結果顯示ESG評比有入榜的金控,其股價會顯著高於未入榜金控的股價,說明當市場風險發生時,ESG程度可做為是投資人的一項重要參考指標。本研究的結果在政策面的意義上除了可以要求企業遵循揭露義務外,政府應可透過誘因機制加速國內企業與國際ESG標準接軌,有利於國內企業在永續發展上建立優勢條件。
Abstract (in English)
This study investigates the impact of the ESG on stock prices for finance holding companies during the epidemic. ESG has got a lot of attention in recent years. Many investors and institutions have used ESG as the criteria indicator for their investment. Many governments have also proposed relevant standards and norms to make ESG more important in current corporate operations. Therefore, the suddenly coming of the COVID-19 could be a time point to examine the effects of ESG. This research takes Taiwan's finance holding companies as our research object. The ESG score data is adopted from Commonwealth Magazine's Sustainable Award in 2018 to 2021; the background information of each finance holding company in the corresponding data year is collected from the data bank of Taiwan Economic Journal. The empirical method of this study is a two-stage analysis. In the first stage, the monthly revenue of each finance holding companies is the dependent variable; in the second stage, we use the predicted monthly stock price returns as a dependent variable to examine the Difference-In-Difference effects of ESG on stock prices during the epidemic where the treatment group is the companies inside the ESG list and the control group is the companies outside the list. The results show that the ESG has a significant and positive impact on the finance holding company’s revenue. It’s found that Taiwan has a very small negative impact on the finance holding company’s revenue when the epidemic is under good control. This study also separates ESG score into various aspects to see the effects on the revenue of finance holding companies. We can find that the “S” is the main source of ESG positive impact, but “G” has negative and significant effect on the revenue. In terms of stock price, the results of Difference-In-Difference show that the stock price of finance holding companies inside the ESG rating list will be significantly higher than those are not on the list. This indicates that when market risks occur, the degree of ESG can be regarded as an important indicator for investors’ concern. In terms of policy implications, the results of this study can not only require companies to comply with the disclosure obligation, but also the government should be able to accelerate the integration of domestic companies with international ESG standards through an incentive mechanism, which will help domestic companies to establish advantageous conditions for sustainable development.
Other Abstract
Table of Content (with Page Number)
目錄
第一章 緒論	1
第一節 研究背景	1
第二節 研究動機	3
第三節 研究問題	4
第四節 論文架構	5
第二章  企業的ESG	6
第一節  ESG簡介	6
第二節  ESG的演進	8
第三章 文獻回顧	12
第一節 CSR與ESG相關理論	12
第二節 ESG與CSR相關實證文獻	13
第三節 ESG在疫情期間的企業影響	14
第四章 資料與方法	17
第一節  資料來源	17
第二節  變數設定	19
第三節  實證方法	22
第五章 實證分析	25
第一節 對營收的影響	26
第二節 對股價的影響	29
第六章 結論	33
參考文獻	35


 
圖目錄
圖 1: 聯合國永續發展目標 SDGS17個目標	10

 
表目錄
表 1: 三家主要機構的ESG評估細項	7
表 2: 聯合國SDGS的17 項永續發展目標	11
表 3: 台灣大型金融控股公司	17
表 4: DID的分析	24
表 5: 敘述統計表	25
表 6: 企業ESG對營收的影響-以ESG總分為估計	28
表 7: 企業ESG對營收的影響-以ESG分項評分為估計	29
表 8: 疫情前後有無ESG的企業股價影響-以ESG總分的營收配適值迴歸結果	31
表 9:  疫情前後有無ESG的企業股價影響-以ESG分項評分的營收配適值迴歸結果	32

References
一、中文部分
陳亭吟(2021)。ESG評比對危機下銀行業股價表現之影響──來自COVID-19危機的證據。臺灣大學財務金融學研究所學位論文。
陳昱均(2021)。疫情對台灣電影票房的影響──以COVID-19為例。世新大學管理學院經濟學系碩士學位論文。
楊舒婷(2019)。ESG揭露程度對公司風險之影響。政治大學財務管理學系碩士學位論文。
趙婉伃(2021) 。新冠病毒疫情(COVID-19)爆發後對企業價值之影響-採DID法。國立高雄科技大學會計資訊系碩士學位論文。

二、英文部分
Albuquerque, R., Koskinen, Y., Yang, S. Zhang, C. (2020),“Resiliency of environmental and social stocks: An analysis of the exogenous COVID-19 market crash”, The Review of Corporate Finance Studies, 9(3), 593-621.
Broadstock, D. C., Chan, K., Cheng, L. T.W. Wang, X. (2021), “The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China”, Finance Research Letters, 38, 101716.
Cheng, B., Ioannou, I. Serafeim, G. (2013). “Corporate social responsibility and access to finance”, Strategic Management Journal, 35(1), 1-23.
Demers, E., Hendrikse, J., Joos, P. Lev, B. (2020). “ESG didn’t immunize stocks during the COVID-19 crisis, but investments in intangible assets did”, Journal of Business Finance Accounting, 48(3-4), 433-462.
Ding, W., Levine, R., Lin, C. Xie, W. (2021). “Corporate immunity to the COVID-19 pandemic”, Journal of Financial Economics, 0304-405X.
Eccles, R. G., Ioannou, I. Serafeim, G. (2014). “The impact of corporate sustainability on organizational processes and performance”, Management Science, 60(11), 2835-2857.
Friede, G., T. Busch, and A. Bassen. (2015). “ESG and Financial Performance: Aggregated Evidence From More Than 2000 Empirical Studies”, Journal of Sustainable Finance and Investment 5 (4): 210–233.
Freeman, R. E. (1984). Strategic Management: A Stakeholder Approach.
Gregory, R. P. (2022). “ESG Scores and the Response of the S&P 1500 to Monetary and Fiscal Policy during the Covid-19 Pandemic”, Int. Rev. Econ. Finance 78, 446–456. 
Hwang J, Kim H, Jung D. “The Effect of ESG Activities on Financial Performance during the COVID-19 Pandemic—Evidence from Korea”, Sustainability. 2021; 13(20):11362.
Lins, L. V., Servaes, H., Tamayo, A. (2017). “Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis”, The Journal of Finance, 74(4), 1785-1824.
Lee K-J, Lu S-L. “The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market”, International Journal of Environmental Research and Public Health. 2021,18(4):1398.
Schuler, D. A. Cording, M. (2006). “A corporate social performance–Corporate financial performance behavioral model for consumers”, Academy of Management Review, 31(3), 540-558.
Takahashi, H. Yamada, K. (2021). “When the Japanese stock market meets COVID-19: Impact of ownership, China and US exposure, and ESG channels”, International Review of Financial Analysis, 74, 101670.
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