ESG 基金之風險分析

Risk Analysis on ESG Fund

鄭宇縣(Yu-Xian Zheng)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202201095

摘要

近年來，環境保護、社會責任與公司治理(Environment, Social, and Governance；ESG) 浪潮逐漸襲捲全球，投資人愈來愈關注ESG 投資對績效的影響，雖關於ESG 的學術研究已有不少，但對於其與傳統資產間的相關性結構和風險所知甚少(Friede, 2019)。
近來關於ESG 投資與傳統投資比較的研究逐漸增加，但研究結果卻有相互矛盾的情形(Cornell, 2021)，沒有一致的結論，也鮮少以ESG 型ETF 作為研究對象。故本文結合「ESG」、「ETF」兩大概念，探討ESG 型ETF 相對於股票市場以及傳統型ETF 的投資風險。
本文考量報酬序列之變異數可能受到前期報酬率之影響而不為常數，以及報酬率可能受到前期報酬率及殘差的影響，配適ARMA-GARCH 之邊際分配模型，再使用Student-t Copula 函數降低估計的參數數量，以及描述殘差不為常態分配的現象。實證結果發現，以標準差來看，選取的傳統型ETF (IJR) 的風險最高，NASDAQ 指數次之，ESG 型ETF (ESGU) 最低，但ESGU 與NASDAQ 指數的相關性卻比IJR 與NASDAQ 指數的相關性還要高，尤其在左尾相關性方面，顯示ESGU 更可能與NASDAQ 指數同時下跌，意即ESG 型ETF 並未有較好的抗跌性。此外，在95% 信心水準的情況下，檢視預測期間內的風險情況，結果顯示ESGU 與NASDAQ 指數在這段期間內皆有4 次穿透預估之風險值，表示在此段期間內風險都較高。

關鍵字

ESG ； CARCH ； Copula ； ARMA ； 風險值

並列摘要

In recent years, the environmental, social, and corporate governance (ESG) wave has gradually swept the world. Investors are paying more and more attention to the impact of ESG investment on performance. Although there has been a lot of research on ESG. However, little is known about its risk and correlation structure with traditional assets (Friede, 2019).
Recently, the research on ESG investing compared to traditional investing has gradually increased. But the results of the studies are conflicting and have no consistent conclusions (Cornell, 2021). In addition, ESG ETFs are rarely used as research objects. Therefore, this study combines the concepts of ESG and ETF to discuss investment risks of ESG ETF relative to the stock market and traditional ETF.
This study considers that the variance of the return series may be affected by the previous rate of return and the rate of return may be affected by the previous rate of return and residuals. We fit the marginal distribution model of ARMA-GARCH first, then use the Student-t Copula function to reduce the number of parameters and describe that the residuals are not normally distributed. The empirical results show that traditional ETF (IJR) has the highest risk in terms of standard deviation, followed by NASDAQ, and ESG ETF (ESGU) has the lowest risk. But the dependence between ESGU and NASDAQ is higher than that between IJR and NASDAQ, especially in lower tail dependence. It shows that ESGU is more likely to fall at the same time as the NASDAQ, which means that ESG ETF do not have preferred protection capabilities. Besides, under the 95% confidence level,
the results show that both ESGU and the NASDAQ have 4 penetrations of the estimated VaR, indicating that the risk is higher during this period.

並列關鍵字

ESG ； CARCH ； Copula ； ARMA ； Value at risk

參考文獻

Aloui, Riadh, Mohamed Safouane Ben Assa, and Duc Khuong Nguyen (2011). ”Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?.” Journal of Banking Finance, 35(1), 130-141.

Ait-Sahalia, Yacine, Jianqing Fan, and Yingying Li (2013). ”The leverage effect puzzle: Disentangling sources of bias at high frequency.” Journal of Financial Economics, 109(1), 224-249.

Ashwin Kumar, N. C., Camille Smith, Lela Badis, Nan Wang, Paz Ambrosy, and Rodrigo Tavares (2016). ”ESG factors and risk-adjusted performance: a new quantitative model.” Journal of Sustainable Finance and Investment, 6(4), 292-300.

Arreola Hernandez, Jose, Shawkat Hammoudeh, Duc Khuong Nguyen, Mazin A. M. Al Janabi and Juan Carlos Reboredo (2017). ”Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach.” Applied Economics, 49(25), 2409-2427.

Amel-Zadeh, Amir, and George Serafeim (2018). ”Why and how investors use ESG information: Evidence from a global survey.” Financial Analysts Journal, 74(3), 87-103.