新冠疫情及ESG投資對股價報酬率之影響;The impact of the Covid-19 pandemic and ESG investment on stock return

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/89540

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/89540

Title:	新冠疫情及ESG投資對股價報酬率之影響;The impact of the Covid-19 pandemic and ESG investment on stock return
Authors:	黃偉竣;Huang, Wei-Chen
Contributors:	財務金融學系
Keywords:	新冠疫情;供應商;顧客公司;供應鏈;ESG活動;Covid-19;Supplier;Customer;Supply chain;ESG activity
Date:	2022-07-18
Issue Date:	2022-10-04 11:44:21 (UTC+8)
Publisher:	國立中央大學
Abstract:	過去文獻指出跨國供應鏈有助於緩解系統性風險的衝擊，且投入ESG活動的公司會在負面衝擊（Negative shock）時得到回報，或是降低金融風險。因此本研究即針對新冠疫情及ESG投資對股價報酬率的關聯性進行探討分析，並檢視其中的傳導機制。本論文選用以台灣為母公司的跨國公司，自Refinitiv ESG database中挑選出包含ESG綜合分數的樣本並分群，觀察其於疫情爆發後的2020年整年度週股價表現。我們採用疫情變數、ESG評級作為變數，並考慮相關控制變數對股價報酬率的影響。而疫情變數分為本國以及國外兩部分，本土透過確診人數、篩檢人數計算出本土疫情變數，國外以上下游供應鏈所在國家的疫情曝險程度做評估。實證結果顯示，台灣的疫情與股價呈現顯著負相關且沒有證據顯示與ESG投入活動多寡有關。此外，上下游供應鏈所在國家的疫情曝險程度與母公司於疫情期間的報酬率無顯著相關性，上述關係亦與ESG投入活動多寡無關。最後，與Ding et al.（2021）的文獻結果不同，2019年分別於Environment、Social、Governance獲得高評鑑的公司在部分模型下，2020年的股價報酬呈現顯著負相關。 ;Using a sample of Taiwan that has customer-supplier relationships, covering 2019 with the ESG Combined score from Refinitiv Eikon, this paper empirically investigates the impacts of the COVID-19 pandemic and ESG investment on stock return. The empirical results reveal that there’s a negative correlation between stock prices and local COVID-19, and it is not associated with stock prices and supplier exposures brought from COVID-19. Furthermore, the relations above are not related to the level of ESG investment. Furthermore, this relation is more pronounced if examining the level of COVID-19 with testing number and accumulated testing numbers. In contrast to Ding et al.（2021）, in some models of our study, the firms with higher score in environment, social, government pillars achieve lower returns in 2020.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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