ESG對企業在新冠肺炎衝擊下之影響-以臺灣上市櫃企業為例

COVID-19造成全球經濟面臨了巨大衝擊，隨著國際原油價格下跌超過20%，加上四次啟動熔斷機劑，導致臺灣於2020年3月19日加權指數重挫至8,681點。全球經歷了COVID-19危機和極端氣候變遷，許多人認為2021年11月舉辦的第26屆聯合國氣候變化大會是人類避免風險的重要時刻。自2020年至今，全球因應COVID-19的影響，經濟受到嚴重的衝擊，加上日益嚴峻的氣候變遷危機促使各國訂立減碳政策，投資人的投資趨向逐漸轉向至永續經營的ESG產業。本研究利用臺灣上市櫃ESG類股證券市場作為研究的中心，運用事件研究法之市場模式預期報酬結合GARCH 估計風險調整模式來計算異常報酬，分析COVID-19是否對臺灣ESG類股證券市場有影響，檢定WHO宣告COVID-19大流行之前後50日是否產生顯著異常報酬。實證研究主要以27檔臺灣上市櫃ESG類股為研究標的。實證結果顯示COVID-19對ESG類股股價報酬率有顯著的影響。

關鍵字

第 26屆聯合國氣候峰會；新冠肺炎； ESG ； GARCH ；事件研究法

並列摘要

COVID-19 caused a huge impact on the global economy, as international crude oil prices fell more than 20% and four meltdown triggers caused Taiwan's weighted index to plummet to 8,681 points on March 19, 2020. With the world experiencing the COVID-19 crisis and extreme climate change, the 26th session of the Conference of the Parties in November 2021 is considered by many to be an important moment for humanity to avoid risk. Since 2020, the world's economy has been severely impacted by the COVID-19 crisis, and the increasingly severe climate change crisis has prompted countries to adopt carbon reduction policies, and investors are gradually shifting their investment trend to sustainable ESG industries. This study uses the Taiwan ESG stock market as the center of the study and uses the event study method of market model expected returns combined with the GARCH estimation risk adjustment model to calculate abnormal returns to analyze whether COVID-19 has an impact on the Taiwan ESG stock market and to determine whether significant abnormal returns are generated 50 days before and after the WHO declaration of COVID-19 pandemic. The empirical study focused on 27 Taiwan-listed ESG stocks as the target. The empirical results showed that COVID-19 significantly affected the return of ESG stocks.