ESG指數股票型基金上市對成分股報酬的影響

The Influence of Listing ESG Exchange-Traded Funds (ETF) on the Performance of Individual Stocks

張晴伊(Ching-Yi Chang)

指導教授 ： 黃心怡

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2024年)

摘要

本研究旨在探討 ESG 指數股票型基金對其成分股異常報酬的影響，並利用事 件研究法和迴歸分析和統計檢定方法對實證數據進行深入分析。研究結果顯示， ESG 指數股票型基金的上市前行為對成分股的異常報酬具有顯著影響，在上市後 初期和長期均呈現出不同程度的影響。此外，迴歸分析結果進一步證明了成分股和 非成分股在對上市個股累積異常報酬的影響程度上存在顯著差異。然而，本研究也 存在樣本限制和研究侷限性，建議未來的研究可擴大樣本範圍，納入更多影響因素 進行深入分析，以提高研究的可信度和有效性。

關鍵字

指數股票型基金 ； 成分股 ； 異常報酬 ； ESG

並列摘要

This study aims to investigate the impact of ESG index stock funds on the abnormal returns of the individual stocks they include. The research utilizes the event study method, regression analysis, and statistical testing techniques to conduct a comprehensive analysis of empirical data. The findings of the study suggest that the behavior of ESG index stock funds prior to listing significantly affects the abnormal returns of their component stocks, with varying impacts observed in the short and long termafter listing.Moreover, regression analysis reveals significant differences in the impact on cumulative abnormal returns between listed stocks that are components of the ESG index and those that are not. Nevertheless, it is important to note that this study is subject to limitations in terms of sample size and research constraints. Therefore, it is recommended that future studies broaden the sample scope, consider additional variables for comprehensive analysis, and thereby enhance the credibility and efficacy of the research.

並列關鍵字

exchange-traded funds ； Constituent stocks ； abnormal returns ； ESG

參考文獻

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