從產業觀點探討市場在下跌事件中ESG股票的價格行為

THE PRICE BEHAVIOR OF ESG STOCKS FROM AN INDUSTRIAL PERSPECTIVE AROUND THE EVENTS OF MARKET DECLINE

本研究從產業角度分析台灣非金融與金融ESG類股，在市場下跌期間兩者的價格行為差異，著重研究ESG評等是否提供下行保護與股價韌性。採用事件研究法，分析2017年12月至2022年12月期間的六次市場重大下跌事件。運用市場模型，評估非金融與金融ESG類股的異常報酬（Abnormal Return, AR）和累積異常報酬（Cumulative Abnormal Return, CAR）。並透過縱橫資料迴歸模型檢驗各項假設，以深入探討ESG股票在市場下跌事件中的行為表現。研究結果發現：（1）在事件期間中，非金融ESG類股的交易活動顯著增強。（2）ESG評等較高的非金融類股在市場低迷時期的股價跌幅較小，而金融類股則未觀察到類似現象。（3）非金融類股的ESG活動（Activities），在市場下跌事件中提供股價下行保護與韌性。（4）ESG資訊是未來股價表現的良好指標。本研究對ESG文獻的邊際貢獻，在於發現非金融與金融類股在市場下跌期間，呈現不同的市場反應。投資者可將ESG評等作為未來投資標的篩選工具，而企業管理者與政策制定者，則可運用這些研究發現來更強化永續發展策略。

Relative to the previous studies, this study uses a greater number of declining events and adopts an industrial perspective, non-financial and financial stocks, to examine the stock price behavior of the constituents of the Taiwan ESG Index. The study spans the period from Dec. 2017 (start of the ESG index) to Dec. 2022. Our research contributions to the literature include: (1) Trading activities of non-financial stocks intensify during the event period. (2) Firms with higher ESG ratings of non-financial stocks experience smaller stock price declines during market downturns, while such a phenomenon is not observed in financial stocks. (3) The ESG activities of non-financial stocks provide downside protection and resiliency around market decline events, whereas no such phenomena are observed for financial stocks. (4) Investors can consider ESG information as a signal of future stock performance during market decline.