投資人情緒於高 ESG 企業股價表現之影響 - 以科技業為例

The Impact of Investment Sentiment on Stock Performance of High ESG Score Firms: Evidence from Technology Industry

吳羿輝(Yi-Hui Wu)

指導教授 ： 連勇智

國立臺灣大學/管理學院/國際企業學系/碩士(2023年)

https://doi.org/10.6342/NTU202301251

摘要

本文以券資比、週轉率以及成交值比重月增率當作投資人間接情緒變數，欲探討於台灣金融市場熱度極高的疫情期間，情緒變數與科技業股票報酬之相關性，同時也加入公司財務評價變數包含股價淨值比、股利殖利率與每月營收年增率作為控制變數。研究方法方面，採面板數據迴歸之固定效果模型，並加入永續評級以及產業別將樣本進行分群，分析其不同群體，投資人情緒變數與股價報酬之相關性是否有所差異。

實證結果顯示，三項投資人指標皆與當期科技業股票報酬呈顯著正相關，並且券資比和週轉率與下期股票報酬呈顯著負相關，成交值比重月增率則與下期報酬僅在 10% 的信心水準下具有顯著相關性。此外，三項情緒指標於不同永續評級之群體對當期股票報酬相關性並無顯著差異，若是以產業進行分群，在半導體業和硬體產業，三項情緒指標皆與當期股票報酬呈顯著相關，軟體業則僅有週轉率和成交值比重月增率與當期股票報酬呈顯著相關。

關鍵字

投資人情緒 ； 面板數據迴歸 ； 追蹤資料 ； 科技業股票報酬 ； 疫情 ； 臺灣永續評鑑

並列摘要

This study examines the relationship between investor sentiment variables and stock returns in the technology industry of the Taiwanese stock market during a period of high market volatility caused by the COVID-19 pandemic. The sentiment variables considered are the sales/margin purchase ratio, market turnover ratio, and monthly growth rate of transaction value ratio. Financial valuation variables like price-to-book ratio, dividend yield, and annual growth rate of monthly company revenue are also included as control variables. The analysis uses panel data regression with fixed effects and also uses sustainability ratings and industry segmentation as criteria for grouping.

The empirical results demonstrate a significant positive correlation between the three investor sentiment indicators and current stock returns. Furthermore, the sales/margin purchase ratio and market turnover ratio exhibit a significant negative correlation with stock returns in the next period, while the monthly growth rate of transaction value ratio only shows a significant relationship with that at a 10% confidence level. Additionally, there is no significant difference in the correlation between the three sentiment indicators and current stock returns across different sustainability rating groups. However, when considering industry segmentation, all three sentiment indicators show a significant correlation with current stock returns in the semiconductor and hardware industries, while the market turnover ratio and monthly growth rate of transaction value ratio demonstrate a significant correlation in the software industry.

並列關鍵字

Investor sentiment ； panel data regression ； technology stock returns ； pandemic ； Taiwan sustainability evaluation

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