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題名 ETF 調整成分股對股價與碳排放影響之研究：以 NASDAQ 清潔綠能指數為例
The Impact of ETF Constituent Rebalancing on Stock Price and Carbon Emissions: Evidence from NASDAQ Clean Edge Green Energy Index
作者 謝昌宏
Hsieh, Chang-Hung
貢獻者 江彌修
Chiang, Mi-Hsiu
謝昌宏
Hsieh, Chang-Hung
關鍵詞 NASDAQ 清潔綠能指數
事件研究法
超額報酬
碳排放量
指數型共同基金
NASDAQ Clean Edge Green Energy Index
Event Study Method
Excess Returns
Carbon Emissions
ETF
日期 2025
上傳時間 1-Jul-2025 15:16:59 (UTC+8)
摘要 本研究探討 NASDAQ 清潔綠能指數成分股調整對股價與碳排放的影響，並進一步檢視碳排放量是否為解釋股價超額報酬的重要因子。研究採用事件研究法，分析 2010 年 1 月至 2024 年 6 月間 NASDAQ 清潔綠能指數成分股調整事件，計算超額報酬與累積超額報酬率，並透過多元迴歸模型納入企業碳排放表現（範疇 1 至 3 的排放量及成長率）與財務控制變數，評估對股價報酬的解釋力。 實證結果顯示，成分股被納入指數前未出現顯著正向超額報酬，但在事件發生後出現顯著且持續的負向修正，被剔除公司則在事件當日出現顯著負報酬，後續表現則趨於穩定。顯示市場反應受到短期資金配置與投資者情緒影響，並不符合效率市場假說的預期。迴歸分析結果顯示，碳排放變數在完整模型中並未顯著提升模型解釋力，顯示短期股價表現主要仍受市場因素驅動。 在環境行為方面，被納入的公司在事件發生當年度範疇 1 至 3 的碳排放量皆顯著增加，反映企業可能更重視供應鏈的碳排放揭露與管理，提升碳排放報導的完整性；被剔除公司則呈現碳排放成長趨緩的現象。NASDAQ 清潔綠能指數成分股調整雖然能對市場傳遞永續訊號，對企業長期環境行為的誘因效果仍具有不確定性。
This study investigates the impact of changes in the components of the NASDAQ Clean Edge Green Energy Index on stock returns and carbon emissions, also examining whether carbon emissions serve as a significant factor in explaining excess stock returns. Using the event study methodology, this research analyzes component changes between January 2010 and June 2024, calculating excess returns and cumulative excess returns. A cross-sectional regression model incorporating firm-level carbon emissions data (Scope 1 to 3, including total emissions and growth rates) and financial control variables is employed to assess their explanatory power on stock price returns. Empirical results show that newly added stocks did not experience significant positive excess returns prior to the event, but exhibited significant and persistent negative corrections afterward. Removed stocks showed significant negative returns on the event day, followed by relatively stable performance. These patterns suggest that market reactions are driven by short-term capital flows and investor sentiment, rather than aligning with the expectations of the Efficient Market Hypothesis. Regression results reveal that carbon emission variables did not significantly enhance the explanatory power of the full model, implying that short-term stock performance is primarily driven by market-based factors. Regarding environmental behavior, companies added to the index exhibited significant increases in Scope 1 to 3 carbon emissions during the event year, reflecting a potential emphasis on carbon disclosure and management throughout the supply chain, thereby improving the completeness of carbon reporting. Conversely, companies removed from the index showed a slowdown in emission growth. Although the adjustment of constituents in the NASDAQ Clean Edge Green Energy Index may convey sustainability signals to the market, its long-term effect on corporate environmental behavior remains uncertain.
參考文獻 Achen, C. H. (2005). Let's put garbage-can regressions and garbage-can probits where they belong. Conflict Management and Peace Science, 22(4), 327-339. Amel-Zadeh, A., & Serafeim, G. (2018). Why and how investors use ESG information: Evidence from a global survey. Financial analysts journal, 74(3), 87-103. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The journal of finance, 61(1), 259-299. Armitage, S. (1995). Event study methods and evidence on their performance. Journal of economic surveys, 9(1), 25-52. Aswani, J., Raghunandan, A., & Rajgopal, S. (2024). Are carbon emissions associated with stock returns?. Review of Finance, 28(1), 75-106. Avramov, D., Lioui, A., Liu, Y., & Tarelli, A. (2025). Dynamic ESG equilibrium. Management Science, 71(4), 2867-2889. Beneish, M. D., & Whaley, R. E. (1996). An anatomy of the “S&P Game”: The effects of changing the rules. The Journal of Finance, 51(5), 1909-1930. Binder, J. J. (1983). Measuring the effects of regulation with stock price data: a new methodology. The University of Chicago. Bolton, P., & Kacperczyk, M. (2021). Do investors care about carbon risk?. Journal of financial economics, 142(2), 517-549. Chang, Y. C., Hong, H., & Liskovich, I. (2015). Regression discontinuity and the price effects of stock market indexing. The Review of Financial Studies, 28(1), 212-246. Chava, S. (2014). Environmental externalities and cost of capital. Management science, 60(9), 2223-2247. Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930. Enders, A., Lontzek, T., Schmedders, K., & Thalhammer, M. (2025). Carbon risk and equity prices. Financial Review, 60(1), 13-32. Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. Griffin, P. A., Lont, D. H., & Sun, E. Y. (2017). The relevance to investors of greenhouse gas emission disclosures. Contemporary Accounting Research, 34(2), 1265-1297. Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. the Journal of Finance, 41(4), 815-829. Heinkel, R., Kraus, A., & Zechner, J. (2001). The effect of green investment on corporate behavior. Journal of financial and quantitative analysis, 36(4), 431-449. Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of financial economics, 93(1), 15-36. Howard, C. (2024). ETF flows and the index effect. Available at SSRN 4875607. Ilhan, E., Sautner, Z., & Vilkov, G. (2021). Carbon tail risk. The Review of Financial Studies, 34(3), 1540-1571. Jain, P. C. (1987). The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal, 43(1), 58-65. Kotsantonis, S., Pinney, C., & Serafeim, G. (2016). ESG integration in investment management: Myths and realities. Journal of Applied Corporate Finance, 28(2), 10-16. Krueger, P., Sautner, Z., & Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of financial studies, 33(3), 1067-1111. Krüger, P. (2015). Corporate goodness and shareholder wealth. Journal of financial economics, 115(2), 304-329. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39. Oberndorfer, U., Schmidt, P., Wagner, M., & Ziegler, A. (2013). Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms. Journal of environmental economics and management, 66(3), 497-509. Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of financial economics, 142(2), 550-571. Perdichizzi, S., Buchetti, B., Cicchiello, A. F., & Dal Maso, L. (2024). Carbon emission and firms’ value: Evidence from Europe. Energy Economics, 131, 107324. Rohleder, M., Wilkens, M., & Zink, J. (2022). The effects of mutual fund decarbonization on stock prices and carbon emissions. Journal of Banking & Finance, 134, 106352. Shleifer, A. (1986). Do demand curves for stocks slope down? The Journal of Finance, 41(3), 579-590. Woolridge, J. R., & Ghosh, C. (1986). Institutional trading and security prices: the case of changes in the composition of the S&P 500 index. Journal of Financial Research, 9(1), 13-24. Wurgler, J., & Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks?. The Journal of Business, 75(4), 583-608.
描述 碩士
國立政治大學
金融學系
112352017
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352017
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.advisor Chiang, Mi-Hsiuen_US
dc.contributor.author (Authors) 謝昌宏zh_TW
dc.contributor.author (Authors) Hsieh, Chang-Hungen_US
dc.creator (作者) 謝昌宏zh_TW
dc.creator (作者) Hsieh, Chang-Hungen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 15:16:59 (UTC+8)-
dc.date.available 1-Jul-2025 15:16:59 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 15:16:59 (UTC+8)-
dc.identifier (Other Identifiers) G0112352017en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157833-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 112352017zh_TW
dc.description.abstract (摘要) 本研究探討 NASDAQ 清潔綠能指數成分股調整對股價與碳排放的影響，並進一步檢視碳排放量是否為解釋股價超額報酬的重要因子。研究採用事件研究法，分析 2010 年 1 月至 2024 年 6 月間 NASDAQ 清潔綠能指數成分股調整事件，計算超額報酬與累積超額報酬率，並透過多元迴歸模型納入企業碳排放表現（範疇 1 至 3 的排放量及成長率）與財務控制變數，評估對股價報酬的解釋力。 實證結果顯示，成分股被納入指數前未出現顯著正向超額報酬，但在事件發生後出現顯著且持續的負向修正，被剔除公司則在事件當日出現顯著負報酬，後續表現則趨於穩定。顯示市場反應受到短期資金配置與投資者情緒影響，並不符合效率市場假說的預期。迴歸分析結果顯示，碳排放變數在完整模型中並未顯著提升模型解釋力，顯示短期股價表現主要仍受市場因素驅動。 在環境行為方面，被納入的公司在事件發生當年度範疇 1 至 3 的碳排放量皆顯著增加，反映企業可能更重視供應鏈的碳排放揭露與管理，提升碳排放報導的完整性；被剔除公司則呈現碳排放成長趨緩的現象。NASDAQ 清潔綠能指數成分股調整雖然能對市場傳遞永續訊號，對企業長期環境行為的誘因效果仍具有不確定性。zh_TW
dc.description.abstract (摘要) This study investigates the impact of changes in the components of the NASDAQ Clean Edge Green Energy Index on stock returns and carbon emissions, also examining whether carbon emissions serve as a significant factor in explaining excess stock returns. Using the event study methodology, this research analyzes component changes between January 2010 and June 2024, calculating excess returns and cumulative excess returns. A cross-sectional regression model incorporating firm-level carbon emissions data (Scope 1 to 3, including total emissions and growth rates) and financial control variables is employed to assess their explanatory power on stock price returns. Empirical results show that newly added stocks did not experience significant positive excess returns prior to the event, but exhibited significant and persistent negative corrections afterward. Removed stocks showed significant negative returns on the event day, followed by relatively stable performance. These patterns suggest that market reactions are driven by short-term capital flows and investor sentiment, rather than aligning with the expectations of the Efficient Market Hypothesis. Regression results reveal that carbon emission variables did not significantly enhance the explanatory power of the full model, implying that short-term stock performance is primarily driven by market-based factors. Regarding environmental behavior, companies added to the index exhibited significant increases in Scope 1 to 3 carbon emissions during the event year, reflecting a potential emphasis on carbon disclosure and management throughout the supply chain, thereby improving the completeness of carbon reporting. Conversely, companies removed from the index showed a slowdown in emission growth. Although the adjustment of constituents in the NASDAQ Clean Edge Green Energy Index may convey sustainability signals to the market, its long-term effect on corporate environmental behavior remains uncertain.en_US
dc.description.tableofcontents 誌謝 i 摘要 ii Abstract iii 目錄 v 表目錄 vi 圖目錄 vii 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第二章 文獻回顧 4 第一節 調整成分股與股價反應 4 第二節 調整成分股與碳排放之關係 5 第三節 碳排放與股價報酬之關聯性探討 6 第三章 研究方法 9 第一節 股價報酬率 9 第二節 碳排放成長率 11 第三節 股價與碳排放之多元迴歸分析 12 第四章 實證結果 14 第一節 資料描述與敘述統計 14 第二節 納入成分股與股價報酬之關係 18 第三節 剔除成分股與股價報酬之關係 23 第四節 調整成分股與碳排放量之關係 28 第五節 股價與碳排放變化之決定因素：多元迴歸分析 35 第五章 結論與未來展望 47 第一節 研究結論 47 第二節 研究限制與展望 48 參考文獻 50zh_TW
dc.format.extent 2630551 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352017en_US
dc.subject (關鍵詞) NASDAQ 清潔綠能指數zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) 超額報酬zh_TW
dc.subject (關鍵詞) 碳排放量zh_TW
dc.subject (關鍵詞) 指數型共同基金zh_TW
dc.subject (關鍵詞) NASDAQ Clean Edge Green Energy Indexen_US
dc.subject (關鍵詞) Event Study Methoden_US
dc.subject (關鍵詞) Excess Returnsen_US
dc.subject (關鍵詞) Carbon Emissionsen_US
dc.subject (關鍵詞) ETFen_US
dc.title (題名) ETF 調整成分股對股價與碳排放影響之研究：以 NASDAQ 清潔綠能指數為例zh_TW
dc.title (題名) The Impact of ETF Constituent Rebalancing on Stock Price and Carbon Emissions: Evidence from NASDAQ Clean Edge Green Energy Indexen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Achen, C. H. (2005). Let's put garbage-can regressions and garbage-can probits where they belong. Conflict Management and Peace Science, 22(4), 327-339. Amel-Zadeh, A., & Serafeim, G. (2018). Why and how investors use ESG information: Evidence from a global survey. Financial analysts journal, 74(3), 87-103. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The journal of finance, 61(1), 259-299. Armitage, S. (1995). Event study methods and evidence on their performance. Journal of economic surveys, 9(1), 25-52. Aswani, J., Raghunandan, A., & Rajgopal, S. (2024). Are carbon emissions associated with stock returns?. Review of Finance, 28(1), 75-106. Avramov, D., Lioui, A., Liu, Y., & Tarelli, A. (2025). Dynamic ESG equilibrium. Management Science, 71(4), 2867-2889. Beneish, M. D., & Whaley, R. E. (1996). An anatomy of the “S&P Game”: The effects of changing the rules. The Journal of Finance, 51(5), 1909-1930. Binder, J. J. (1983). Measuring the effects of regulation with stock price data: a new methodology. The University of Chicago. Bolton, P., & Kacperczyk, M. (2021). Do investors care about carbon risk?. Journal of financial economics, 142(2), 517-549. Chang, Y. C., Hong, H., & Liskovich, I. (2015). Regression discontinuity and the price effects of stock market indexing. The Review of Financial Studies, 28(1), 212-246. Chava, S. (2014). Environmental externalities and cost of capital. Management science, 60(9), 2223-2247. Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930. Enders, A., Lontzek, T., Schmedders, K., & Thalhammer, M. (2025). Carbon risk and equity prices. Financial Review, 60(1), 13-32. Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. Griffin, P. A., Lont, D. H., & Sun, E. Y. (2017). The relevance to investors of greenhouse gas emission disclosures. Contemporary Accounting Research, 34(2), 1265-1297. Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. the Journal of Finance, 41(4), 815-829. Heinkel, R., Kraus, A., & Zechner, J. (2001). The effect of green investment on corporate behavior. Journal of financial and quantitative analysis, 36(4), 431-449. Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of financial economics, 93(1), 15-36. Howard, C. (2024). ETF flows and the index effect. Available at SSRN 4875607. Ilhan, E., Sautner, Z., & Vilkov, G. (2021). Carbon tail risk. The Review of Financial Studies, 34(3), 1540-1571. Jain, P. C. (1987). The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal, 43(1), 58-65. Kotsantonis, S., Pinney, C., & Serafeim, G. (2016). ESG integration in investment management: Myths and realities. Journal of Applied Corporate Finance, 28(2), 10-16. Krueger, P., Sautner, Z., & Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of financial studies, 33(3), 1067-1111. Krüger, P. (2015). Corporate goodness and shareholder wealth. Journal of financial economics, 115(2), 304-329. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39. Oberndorfer, U., Schmidt, P., Wagner, M., & Ziegler, A. (2013). Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms. Journal of environmental economics and management, 66(3), 497-509. Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of financial economics, 142(2), 550-571. Perdichizzi, S., Buchetti, B., Cicchiello, A. F., & Dal Maso, L. (2024). Carbon emission and firms’ value: Evidence from Europe. Energy Economics, 131, 107324. Rohleder, M., Wilkens, M., & Zink, J. (2022). The effects of mutual fund decarbonization on stock prices and carbon emissions. Journal of Banking & Finance, 134, 106352. Shleifer, A. (1986). Do demand curves for stocks slope down? The Journal of Finance, 41(3), 579-590. Woolridge, J. R., & Ghosh, C. (1986). Institutional trading and security prices: the case of changes in the composition of the S&P 500 index. Journal of Financial Research, 9(1), 13-24. Wurgler, J., & Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks?. The Journal of Business, 75(4), 583-608.zh_TW