- 學位論文
ESG金融指數的獲利穩定性會優於 CSR與SD金融指數嗎？ 分量對分量迴歸方法的應用
Is the profit stability of ESG financial index superior to those of CSR and SD financial indices? An application of quantile-on-quantile regression approach
摘要
本研究採用分量對分量迴歸（quantile-on-quantile regression, QQR）模型評估特選ESG高股息報酬指數、台灣企業社會責任中小型指數及台灣永續指數等報酬率的穩定性（或持續性）。實證期間為2021年5月3日至2023年1月13日的日資料，共計有425筆觀察值。實證結果顯示： （一）三種指數報酬率的穩定性（或持續性）隨前七期報酬率與當期報酬率位於不同的分量（t,θ）而呈現差異性或不對稱性的效果，並非傳統自我迴歸所主張單一穩定性的結果。值得一提者，當前七期指數報酬率位於低分量（t=0.05, 0.10.15）時，代表三種指數下跌幅度較大，故報酬是不穩定的。 （二）除了落後七期特選ESG高股息報酬指數報酬率（RESG(-7)）位於0.05, 0.10, 015與0.80分量外，其餘的（t,θ）組合下，RESG(-7) 的估計係數之信賴區間皆介於 之間，顯示當RESG(-7) 位於極低分量（亦即t =0.05, 0.10, 015）時，RESG是不穩定的。 （三）當落後七期台灣企業社會責任中小型指數報酬率（RESG(-7)）位於中分量 （0.4≤t≤0.65）附近，且當期台灣企業社會責任中小型指數報酬率（RCSR）位於中高分量（0.6≤θ≤0.9）時，RCSR(-7) 的估計係數之信賴區間皆介於±1之間，顯示RCSR 是穩定的。其餘的（t,θ）組合下，RCSR多數呈現不穩定的現象，尤其以t=0.15且θ≥0.65為甚。 （四）除了落後七期台灣永續指數報酬率（RSD(-7)）位於低分量（t=0.15）外，其餘的（t,θ）組合下，RSD(-7) 的估計係數之信賴區間皆介於 之間。因此，台灣永續指數是三個指數中報酬率最為穩定者。 此外，根據實證結果，本研究亦對長期投資者、指數發行機構、政府相關機構與研究者提出相關的政策建議。 關鍵詞： ESG、企業社會責任、分量迴歸模型、分量對分量迴歸模型、分量單根檢定、持續性（或穩定性）
並列摘要
This study adopts a quantile-on-quantile regression (QQR) model to assess the stability (or persistence) of the return rates of the recommended ESG High Dividend Return Indexes, Taiwan CSR Small-Mid Cap Index, and Taiwan Sustainability Index. The empirical period is the daily data from May 3, 2021 to January 13, 2023, with a total of 425 observations. The empirical results are summarized as follows: First, the stability (or persistence) of the return rates of the three indices is different or asymmetrical as the seven-period lagged return rate and the current period return rate are in different quantiles (t,θ), which cannot be obtained from the traditional auto-regression. It is worth mentioning that when the seven-period lagged return rate is at a low quantile (t=0.05, 0.1, or 0.15), it means that the three indexes have fallen greatly, so the three returns are unstable. Second, except for the seven-period lagged return rate of the recommended ESG High Dividend Return Indexes (RESG(-7)) at 0.05, 0.1, 015, and 0.8 quantiles, under the remaining combinations of (t,θ), the estimated coefficient of RESG(-7) locates in the interval of [-1,1], showing that RESG is unstable when RESG(-7) is at a very low quantile (i.e., t=0.05, 0.1, or 015). Third, when the seven-period lagged return rate of the Taiwan CSR Small-Mid Cap Index (RCSR(-7)) locates near the medium quantile (0.4≤t≤0.65), and the current period of return rate of the Taiwan CSR Small-Mid Cap Index (RCSR) locates at the middle and high quantiles (0.6≤θ≤0.9),the estimated coefficients of RCSR(-7) all locate in the interval of [-1,1], indicating that RCSR is stable. Under the other ( , θ) combinations, most of the RCSR is unstable, especially when t=0.15 and θ≥0.65. Fourth, except for the seven-period lagged return rate of the Taiwan Sustainability Index (RSD(-7)) at a low quantile (t=0.15), under the remaining combinations of (t,θ), the estimated coefficient of RSD(-7) locates in the interval of [-1,1]. Thus, the Taiwan Sustainability Index has the most stable return among the three indexes. In addition, based on the empirical results, this study also puts forward relevant policy suggestions for long-term investors, index issuers, government agencies, and researchers. Keywords: ESG, corporate social responsibility (CSR), quantile regression model, quantile-on-quantile regression model, quantile unit root test, persistence (or stability)