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題名 永續投資於極端市場條件下的表現：COVID-19 時期 ESG ETF 的實證分析
Sustainable Investments in Extreme Market Conditions: Empirical Analysis of ESG ETFs During the COVID-19 Period作者 江彥文
Chiang, Yen-Wen貢獻者 林靖庭
Lin, Ching-Ting
江彥文
Chiang, Yen-Wen關鍵詞 ESG ETF
COVID-19疫情
分位數迴歸
疫情指標
新興市場
ESG ETF
COVID-19 Pandemic
Pandemic Indicators
Quantile Regression
Emerging Markets日期 2025 上傳時間 4-Aug-2025 14:33:07 (UTC+8) 摘要 本研究以 COVID-19 疫情期間臺灣市場的 ESG ETF 為研究對象，探討永 續投資在極端市場條件下的表現。隨著疫情帶來的市場不確定性加劇，投資者對具備韌性與避險特性的資產配置需求逐漸增加。本研究旨在揭示疫情相關變數（如確診病例數、死亡病例數、疫苗施打數等）與市場控制變數（如波動率指數、利率與能源價格）如何共同影響 ESG ETF 的報酬特徵。 本研究採用分位數迴歸模型，以分析不同類型 ESG ETF 在 COVID-19 疫 情期間之績效異質性。樣本涵蓋三類策略特徵明確的 ESG ETF，分別為：聚焦於公司治理構面之ETF、、涵蓋整 ESG 三構面（環境、社會與治理）之ETF、，以及結合 ESG 篩選與高股息特性之ETF。 實證結果顯示，疫情相關變數對 ESG 投資組合的影響具有顯著性與非對稱 性。在報酬率處於高分位區段時，疫情風險上升（例如確診病例數或死亡病例數增加）與 ESG 報酬率呈負向關聯，顯示市場可能於此情境下降低對風險性資產之配置比例。相對地，在報酬處於低分位區段時，疫情變數則與 ESG 報酬率呈正向關係，可能反映資金在市場低迷期間轉向相對具結構穩定性之資產進行配置。
This study centers on ESG-themed Exchange-Traded Funds （ETFs） within the Taiwanese capital market amid the COVID-19 pandemic, aiming to scrutinize the resilience and relative efficacy of sustainable investments under conditions of acute market stress. The heightened uncertainty introduced by the pandemic has amplified investors’ proclivity toward assets exhibiting defensive characteristics and structural robustness. Accordingly, this inquiry elucidates the interplay between pandemic-related variables—such as confirmed infections, mortality figures, and vaccination uptake—and key market control factors, including volatility indices, interest rates, and energy price dynamics, in shaping the return profiles of ESG ETFs. Employing a quantile regression framework, this research explores performance heterogeneity across three archetypes of ESG ETFs, each embodying distinct strategic orientations: （1） governance-centric ETFs, （2） comprehensive ESG-integrated ETFs encompassing environmental, social, and governance dimensions, and （3） ESG-screened high dividend-yielding ETFs. Empirical findings reveal that pandemic-specific variables exert statistically significant and asymmetrical influences on ESG portfolio returns. In upper quantiles of the return distribution, escalating pandemic risk—proxied by surges in case or fatality counts—correlates inversely with ESG returns, suggesting a reallocation away from risk-laden instruments under heightened systemic duress. Conversely, within lower quantiles, these same variables exhibit a positive association with ESG returns, potentially indicating a capital rotation toward structurally resilient assets as market sentiment deteriorates.參考文獻 Arun, T., Girardone, C., & Piserà, S. (2022). ESG issues in emerging markets and the role of banks. In Handbook of banking and finance in emerging markets (pp. 321-344). Edward Elgar Publishing. Agoraki, M. E. K., Aslanidis, N., & Kouretas, G. P. （2023）. How has COVID-19 affected the performance of green investment funds?. Journal of International Money and Finance, 131, 102792. Ahmad, N., Mobarek, A., & Raid, M. （2023）. Impact of global financial crisis on firm performance in UK: Moderating role of ESG, corporate governance and firm size. Cogent Business & Management, 10（1）, 2167548. Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. （2020）. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of behavioral and experimental finance, 27, 100326. Armah, M., & Amewu, G. （2024）. Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic. The Journal of Economic Asymmetries, 29, e00352. Cardillo, G., Bendinelli, E., & Torluccio, G. （2023）. COVID‐19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms. Business Strategy and the Environment, 32（1）, 602-623. Chang, C. P., Feng, G. F., & Zheng, M. （2021）. Government fighting pandemic, stock market return, and COVID-19 virus outbreak. Emerging Markets Finance and Trade, 57（8）, 2389-2406. Chebbi, K. （2024）. Examining the interplay of sustainable development, corporate governance, and stock Price crash risk: Insights from ESG practices. Sustainable Development, 32（1）, 1291-1309. Cheema‐Fox, A., LaPerla, B. R., Wang, H., & Serafeim, G. （2021）. Corporate resilience and response to COVID‐19. Journal of Applied Corporate Finance, 33（2）, 24-40. Connolly, R., Stivers, C., & Sun, L. （2005）. Stock market uncertainty and the stock-bond return relation. Journal of Financial and Quantitative Analysis, 40（1）, 161-194. Duchin, R., & Harford, J. （2021）. The COVID-19 crisis and the allocation of capital. Journal of Financial and Quantitative Analysis, 56（7）, 2309-2319. ElBannan, M. A. （2024）. Returns behavior of ESG ETFs in the COVID‐19 market crash: Are green funds more resilient?. Journal of Corporate Accounting & Finance, 35（2）, 187-223. Ghallabi, F., Souissi, B., Du, A. M., & Ali, S. (2025). ESG stock markets and clean energy prices prediction: Insights from advanced machine learning. International Review of Financial Analysis, 97, 103889. Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. 、（ 2024）. ESG shareholder engagement and downside risk. Review of Finance, 28（2）, 483-510. Huang, Y. （2024）. Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. International Review of Financial Analysis, 94, 103320. Huber, C., Huber, J., & Kirchler, M. （2021）. Market shocks and professionals’ investment behavior–Evidence from the COVID-19 crash. Journal of Banking & Finance, 133, 106247. Lashkaripour, M. （2023）. ESG tail risk: The Covid-19 market crash analysis. Finance Research Letters, 53, 103598. Lin, Y., & Li, S. （2025）. Supply chain resilience, ESG performance, and corporate growth. International Review of Economics & Finance, 97, 103763. Morgan Stanley Institute for Sustainable Investing. （2024）. Sustainable signals: Understanding individual investors’ interests and priorities. Naffa, H., & Dudás, F. (2024). Does ESG improve crisis resilience? Empirical evidence of global emerging equity markets during the Covid-19 crisis. Periodica Polytechnica Social and Management Sciences, 32(1), 17-27. Noemi Pucci （2025, January 30）. Global ESG fund flows increase in Q4. Morningstar. https://reurl.cc/QY46k5，擷取日期：2025年4月8日 Pavlova, I., & de Boyrie, M. E. （2022）. ESG ETFs and the COVID-19 stock market crash of 2020: Did clean funds fare better?. Finance Research Letters, 44, 102051. Rau, P. R., & Yu, T. （2024）. A survey on ESG: investors, institutions and firms. China Finance Review International, 14（1）, 3-33. Roncalli, T., & Zheng, B. (2019). Measuring the liquidity of ETFs: An application to the european market. SSRN. Savio, R., D’Andrassi, E., & Ventimiglia, F. （2023）. A systematic literature review on ESG during the COVID-19 pandemic. Sustainability, 15（3）, 2020. Singhania, M., & Saini, N. （2023）. Institutional framework of ESG disclosures: comparative analysis of developed and developing countries. Journal of Sustainable Finance & Investment, 13（1）, 516-559. Tessaromatis, N. （2003）. Stock market sensitivity to interest rates and inflation. Available at SSRN 392589. Xiao, R., Deng, J., Zhou, Y., & Chen, M. （2023）. Analyzing Contemporary Trends in Sustainable Finance and ESG Investment. Law and Economy, 2（11）, 44-52. Yuan, Y., Wang, H., & Jin, X. （2022）. Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. International Review of Financial Analysis, 83, 102315. 臺灣證券交易所 ESG專區，https://www.twse.com.tw/zh/esg-index-product/etf，擷取日期：2025年3月10日。 臺灣指數公司 臺灣永續價值指數，https://taiwanindex.com.tw/indexes/IX0158，擷取日期：2025年6月25日。 描述 碩士
國立政治大學
金融學系
112352032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352032 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.advisor Lin, Ching-Ting en_US dc.contributor.author (Authors) 江彥文 zh_TW dc.contributor.author (Authors) Chiang, Yen-Wen en_US dc.creator (作者) 江彥文 zh_TW dc.creator (作者) Chiang, Yen-Wen en_US dc.date (日期) 2025 en_US dc.date.accessioned 4-Aug-2025 14:33:07 (UTC+8) - dc.date.available 4-Aug-2025 14:33:07 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2025 14:33:07 (UTC+8) - dc.identifier (Other Identifiers) G0112352032 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158593 - 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) 112352032 zh_TW dc.description.abstract (摘要) 本研究以 COVID-19 疫情期間臺灣市場的 ESG ETF 為研究對象，探討永 續投資在極端市場條件下的表現。隨著疫情帶來的市場不確定性加劇，投資者對具備韌性與避險特性的資產配置需求逐漸增加。本研究旨在揭示疫情相關變數（如確診病例數、死亡病例數、疫苗施打數等）與市場控制變數（如波動率指數、利率與能源價格）如何共同影響 ESG ETF 的報酬特徵。 本研究採用分位數迴歸模型，以分析不同類型 ESG ETF 在 COVID-19 疫 情期間之績效異質性。樣本涵蓋三類策略特徵明確的 ESG ETF，分別為：聚焦於公司治理構面之ETF、、涵蓋整 ESG 三構面（環境、社會與治理）之ETF、，以及結合 ESG 篩選與高股息特性之ETF。 實證結果顯示，疫情相關變數對 ESG 投資組合的影響具有顯著性與非對稱 性。在報酬率處於高分位區段時，疫情風險上升（例如確診病例數或死亡病例數增加）與 ESG 報酬率呈負向關聯，顯示市場可能於此情境下降低對風險性資產之配置比例。相對地，在報酬處於低分位區段時，疫情變數則與 ESG 報酬率呈正向關係，可能反映資金在市場低迷期間轉向相對具結構穩定性之資產進行配置。 zh_TW dc.description.abstract (摘要) This study centers on ESG-themed Exchange-Traded Funds （ETFs） within the Taiwanese capital market amid the COVID-19 pandemic, aiming to scrutinize the resilience and relative efficacy of sustainable investments under conditions of acute market stress. The heightened uncertainty introduced by the pandemic has amplified investors’ proclivity toward assets exhibiting defensive characteristics and structural robustness. Accordingly, this inquiry elucidates the interplay between pandemic-related variables—such as confirmed infections, mortality figures, and vaccination uptake—and key market control factors, including volatility indices, interest rates, and energy price dynamics, in shaping the return profiles of ESG ETFs. Employing a quantile regression framework, this research explores performance heterogeneity across three archetypes of ESG ETFs, each embodying distinct strategic orientations: （1） governance-centric ETFs, （2） comprehensive ESG-integrated ETFs encompassing environmental, social, and governance dimensions, and （3） ESG-screened high dividend-yielding ETFs. Empirical findings reveal that pandemic-specific variables exert statistically significant and asymmetrical influences on ESG portfolio returns. In upper quantiles of the return distribution, escalating pandemic risk—proxied by surges in case or fatality counts—correlates inversely with ESG returns, suggesting a reallocation away from risk-laden instruments under heightened systemic duress. Conversely, within lower quantiles, these same variables exhibit a positive association with ESG returns, potentially indicating a capital rotation toward structurally resilient assets as market sentiment deteriorates. en_US dc.description.tableofcontents 第一章 緒論 6 第一節 研究背景動機 6 第二節 研究實證發現 7 第三節 研究貢獻 9 第二章 文獻回顧 11 第一節 ESG投資與疫情影響的背景 11 第二節 疫情與市場變數對資產報酬的影響 12 第三章 研究方法與資料描述 13 第四章 實證分析結果 18 第一節 敘述統計 18 第二節 整體研究分析 30 第五章 個別ETF分析結果 37 第一節 整合環境、社會與公司治理要素 38 第二節 著重於公司治理要素 51 第六章 研究結論與未來展望 58 第一節 研究結論與意義 58 第二節 未來展望與投資建議 59 第七章 參考資料 60 zh_TW dc.format.extent 2751451 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352032 en_US dc.subject (關鍵詞) ESG ETF zh_TW dc.subject (關鍵詞) COVID-19疫情 zh_TW dc.subject (關鍵詞) 分位數迴歸 zh_TW dc.subject (關鍵詞) 疫情指標 zh_TW dc.subject (關鍵詞) 新興市場 zh_TW dc.subject (關鍵詞) ESG ETF en_US dc.subject (關鍵詞) COVID-19 Pandemic en_US dc.subject (關鍵詞) Pandemic Indicators en_US dc.subject (關鍵詞) Quantile Regression en_US dc.subject (關鍵詞) Emerging Markets en_US dc.title (題名) 永續投資於極端市場條件下的表現：COVID-19 時期 ESG ETF 的實證分析 zh_TW dc.title (題名) Sustainable Investments in Extreme Market Conditions: Empirical Analysis of ESG ETFs During the COVID-19 Period en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Arun, T., Girardone, C., & Piserà, S. (2022). ESG issues in emerging markets and the role of banks. In Handbook of banking and finance in emerging markets (pp. 321-344). Edward Elgar Publishing. Agoraki, M. E. K., Aslanidis, N., & Kouretas, G. P. （2023）. How has COVID-19 affected the performance of green investment funds?. Journal of International Money and Finance, 131, 102792. Ahmad, N., Mobarek, A., & Raid, M. （2023）. Impact of global financial crisis on firm performance in UK: Moderating role of ESG, corporate governance and firm size. Cogent Business & Management, 10（1）, 2167548. Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. （2020）. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of behavioral and experimental finance, 27, 100326. Armah, M., & Amewu, G. （2024）. Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic. The Journal of Economic Asymmetries, 29, e00352. Cardillo, G., Bendinelli, E., & Torluccio, G. （2023）. COVID‐19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms. Business Strategy and the Environment, 32（1）, 602-623. Chang, C. P., Feng, G. F., & Zheng, M. （2021）. Government fighting pandemic, stock market return, and COVID-19 virus outbreak. Emerging Markets Finance and Trade, 57（8）, 2389-2406. Chebbi, K. （2024）. Examining the interplay of sustainable development, corporate governance, and stock Price crash risk: Insights from ESG practices. Sustainable Development, 32（1）, 1291-1309. Cheema‐Fox, A., LaPerla, B. R., Wang, H., & Serafeim, G. （2021）. Corporate resilience and response to COVID‐19. Journal of Applied Corporate Finance, 33（2）, 24-40. Connolly, R., Stivers, C., & Sun, L. （2005）. Stock market uncertainty and the stock-bond return relation. Journal of Financial and Quantitative Analysis, 40（1）, 161-194. Duchin, R., & Harford, J. （2021）. The COVID-19 crisis and the allocation of capital. Journal of Financial and Quantitative Analysis, 56（7）, 2309-2319. ElBannan, M. A. （2024）. Returns behavior of ESG ETFs in the COVID‐19 market crash: Are green funds more resilient?. Journal of Corporate Accounting & Finance, 35（2）, 187-223. Ghallabi, F., Souissi, B., Du, A. M., & Ali, S. (2025). ESG stock markets and clean energy prices prediction: Insights from advanced machine learning. International Review of Financial Analysis, 97, 103889. Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. 、（ 2024）. ESG shareholder engagement and downside risk. Review of Finance, 28（2）, 483-510. Huang, Y. （2024）. Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. International Review of Financial Analysis, 94, 103320. Huber, C., Huber, J., & Kirchler, M. （2021）. Market shocks and professionals’ investment behavior–Evidence from the COVID-19 crash. Journal of Banking & Finance, 133, 106247. Lashkaripour, M. （2023）. ESG tail risk: The Covid-19 market crash analysis. Finance Research Letters, 53, 103598. Lin, Y., & Li, S. （2025）. Supply chain resilience, ESG performance, and corporate growth. International Review of Economics & Finance, 97, 103763. Morgan Stanley Institute for Sustainable Investing. （2024）. Sustainable signals: Understanding individual investors’ interests and priorities. Naffa, H., & Dudás, F. (2024). Does ESG improve crisis resilience? Empirical evidence of global emerging equity markets during the Covid-19 crisis. Periodica Polytechnica Social and Management Sciences, 32(1), 17-27. Noemi Pucci （2025, January 30）. Global ESG fund flows increase in Q4. Morningstar. https://reurl.cc/QY46k5，擷取日期：2025年4月8日 Pavlova, I., & de Boyrie, M. E. （2022）. ESG ETFs and the COVID-19 stock market crash of 2020: Did clean funds fare better?. Finance Research Letters, 44, 102051. Rau, P. R., & Yu, T. （2024）. A survey on ESG: investors, institutions and firms. China Finance Review International, 14（1）, 3-33. Roncalli, T., & Zheng, B. (2019). Measuring the liquidity of ETFs: An application to the european market. SSRN. Savio, R., D’Andrassi, E., & Ventimiglia, F. （2023）. A systematic literature review on ESG during the COVID-19 pandemic. Sustainability, 15（3）, 2020. Singhania, M., & Saini, N. （2023）. Institutional framework of ESG disclosures: comparative analysis of developed and developing countries. Journal of Sustainable Finance & Investment, 13（1）, 516-559. Tessaromatis, N. （2003）. Stock market sensitivity to interest rates and inflation. Available at SSRN 392589. Xiao, R., Deng, J., Zhou, Y., & Chen, M. （2023）. Analyzing Contemporary Trends in Sustainable Finance and ESG Investment. Law and Economy, 2（11）, 44-52. Yuan, Y., Wang, H., & Jin, X. （2022）. Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. International Review of Financial Analysis, 83, 102315. 臺灣證券交易所 ESG專區，https://www.twse.com.tw/zh/esg-index-product/etf，擷取日期：2025年3月10日。 臺灣指數公司 臺灣永續價值指數，https://taiwanindex.com.tw/indexes/IX0158，擷取日期：2025年6月25日。 zh_TW
