台灣社會責任投資績效分析 —以台灣永續指數為例

自聯合國揭櫫永續發展目標以來，近年來在各國的政策推動之下企業對於企業社會責任指標也越來越重視，而投資人也對指標內的股票是越來越看好並逐漸衍伸出永續投資的概念。本研究首先從大量文獻中梳理企業社會責任和社會責任投資原則的發展過程，之後利用夏普指標、特雷諾指標以及詹森指標將台灣永續指數與台灣50、台灣中型100、台灣高股息、台灣公司治理100及台灣高薪100指數等之績效表現進行評比，觀察台灣永續指數是否比台灣50等其他指數會有更好的績效表現。研究期間自2017年6月16日至2019年12月31日，資料頻率為日資料。儘管驗證的結果有好有壞，台灣永續指數績效沒有比台灣50等其他指數效來的更好，但也沒有顯著差異。本文認為未來社會責任投資概念會越來越受到重視，當投資大眾和政府越來越重視這方面的發展時，社會責任投資的前景可期。

關鍵字

企業社會責任；社會責任投資；夏普指標；特雷諾指標；詹森指標

並列摘要

In recent years, under the promotion of national policies, enterprises have paid more attention to Corporate Social Responsibility (CSR) indicators, and investors have become more optimistic about the stocks in the indicators, thus gradually extending the concept of sustainable investment. This study first sorted out the progress of CSR and Social Responsibility Investment (SRI) from a large number of literatures. Second, we use Sharpe index, Treynor index and Jensen alpha index to evaluate the performance of Taiwan Environmental, Social and Governance index (Taiwan ESG Index). Choosing the indices, Taiwan mid-cap 100, Taiwan 50, High dividend, Taiwan 100 corporate governance and High salary 100 as benchmark, we observe whether Taiwan's ESG index will have a better performance. The study period is from June 16, 2017 to December 31, 2019, and the data frequency is daily data. Although the results are mixed, the performance of Taiwan's ESG index is no better than those of the benchmark index, there is no significant difference. This paper holds that the concept of social responsibility investment will be paid more and more attention in the future. When the investing public and the government pay more attention to the development of this aspect, the prospect of social responsibility investment will be expected.