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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/136358
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dc.contributor.advisor江彌修zh_TW
dc.contributor.advisorChiang, Mi-Hsiuen_US
dc.contributor.author余彥良zh_TW
dc.contributor.authorYu, Yan-Liangen_US
dc.creator余彥良zh_TW
dc.creatorYu, Yan-Liangen_US
dc.date2021en_US
dc.date.accessioned2021-08-04T06:50:39Z-
dc.date.available2021-08-04T06:50:39Z-
dc.date.issued2021-08-04T06:50:39Z-
dc.identifierG0108352017en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/136358-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description金融學系zh_TW
dc.description108352017zh_TW
dc.description.abstract本研究使用兩種方法，包含 Pearson相關係數及排序後重複性檢驗，來探\n討收斂性，本研究會使用此兩 種方法，主要是因為在僅有公司ESG評級下，故僅採用 Pearson相關係數進行統計檢驗，並透過排序後的重複性來進行穩固性的檢驗。本研究採用的 2014年至 2019年內，三間國際評級機構對於台灣上市公司的評級資料進行統計測試，實證結果發現目前在國際評級機構間 對於評級的收斂性不存在，此可能對於金融機構所發行的金融產品造成潛在性的風險。並且針對在Covid疫情下，台灣金融市場內以ESG為主題之ETF表現，發現並無顯著的超額報酬及風險轉移的效果存在。zh_TW
dc.description.abstractIn this paper, we implement two methods, including Pearson correlation coefficient and post-ranking repeatability, to explore convergence of ESG ratings. We use these two methods, mainly because we only have the company’s ESG ratings data, only Pearson correlation coefficient is used, and we use post-ranking repeatability comparison as robustness test. We use three international rating agencies’ ESG rating data of listed companies in Taiwan. The empirical results find that there is no convergence of ESG ratings among these three rating agencies. This may imply potential risks of the products which financial institutions issue. In additions, we find that ESG-themed ETFs in Taiwan were no significant excess return and risk transfer effect under the Covid epidemic.en_US
dc.description.tableofcontents致謝 i\n摘要 ii\nAbstract iii\n目 次 iv\n表 次 v\n圖 次 vi\n\n第一章 緒論 1\n第二章 文獻回顧 4\n\n第三章 資料與研究方法 6\n第一節 資料 6\n第二節 研究方法 11\n第二節之一 基於相關係數檢驗 12\n第二節之二 基於重複性檢驗 13\n\n第四章 實證結果 15\n第一節 Pearson 相關係數相關性檢定結果 15\n第一節之一 環境評級 (Environment)之相關係數檢定 15\n第一節之二 社會與文化 評級 (Social)之相關係數檢定 17\n第一節之三 公司治理 (Governance)評級之相關性檢定 19\n第一節之四 整體評級 (Combined)之相關係數檢定 21\n第二節 透過排序之重複性檢驗結果 24\n第二節之一 環境 ((Environment)評級排序後重複性檢驗 24\n第二節之二 社會與文化 (Social)評級排序後重複性檢驗 26\n第二節之三 公司治理 (Governance)評級排序後重複性檢驗 27\n第二節之四 整體 (Combined)評級排序後重複性檢驗 29\n第三節 台灣 ESG主題 ETF市場探討 31\n第三節之一 各 ETF產品報酬指數及 COVID下分析 33\n第三節之二 COVID疫情下成交量分析 37\n\n第五章 結論與後續研究建議 38\n第一節 結論 38\n第二節 後續研究建議 40\n\n參考文獻 42zh_TW
dc.format.extent1874295 bytes-
dc.format.mimetypeapplication/pdf-
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0108352017en_US
dc.subjectESGzh_TW
dc.subjectESG投資zh_TW
dc.subjectESG評級zh_TW
dc.subject評級機構zh_TW
dc.subjectESGen_US
dc.subjectESG Investingen_US
dc.subjectESG Ratingen_US
dc.subjectRating Agencyen_US
dc.subjectESG ETFen_US
dc.titleESG評級收斂之探討 : 以三間評級公司為例zh_TW
dc.titleOn The Convergence of ESG Ratings: Using Three Major Rating Agencies as Examplesen_US
dc.typethesisen_US
dc.relation.referenceAvetisyan, E., & Hockerts, K. (2017). The consolidation of the ESG rating industry as an enactment of institutional retrogression. Business Strategy and the Environment, 26(3), 316-330.\nBroadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.\nChatterji, A., Durand, R., Levine, D., & Touboul, S. (2014). Do ratings of firms converge? Implications for strategy research. Strategic Management Journal.\nChatterji, A. K., Levine, D. I., & Toffel, M. W. (2009). How well do social ratings actually measure corporate social responsibility? Journal of Economics & Management Strategy, 18(1), 125-169.\nChatterji, A. K., & Toffel, M. W. (2010). How firms respond to being rated. Strategic Management Journal, 31(9), 917-945.\nCrilly, D., Zollo, M., & Hansen, M. T. (2012). Faking it or muddling through? Understanding decoupling in response to stakeholder pressures. Academy of Management Journal, 55(6), 1429-1448.\nDemers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462.\nDorfleitner, G., Halbritter, G., & Nguyen, M. (2015). Measuring the level and risk of corporate responsibility–An empirical comparison of different ESG rating approaches. Journal of Asset Management, 16(7), 450-466.\nDrasgow, F. (2014). Polychoric and polyserial correlations. Wiley StatsRef: Statistics Reference Online.\nGalema, R., Plantinga, A., & Scholtens, B. (2008). The stocks at stake: Return and risk in socially responsible investment. Journal of Banking & Finance, 32(12), 2646-2654.\nHübel, B., & Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21(1), 52-69.\nMǎnescu, C. (2011). Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk? Sustainable development, 19(2), 95-118.\nOlsson, U. (1979). Maximum likelihood estimation of the polychoric correlation coefficient. Psychometrika, 44(4), 443-460.\nStatman, M., & Glushkov, D. (2009). The wages of social responsibility. Financial Analysts Journal, 65(4), 33-46.zh_TW
dc.identifier.doi10.6814/NCCU202100665en_US
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item.openairecristypehttp://purl.org/coar/resource_type/c_46ec-
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