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題名 ESG 評分與經風險調整後的報酬率：以股票期貨為例
ESG Scores and Risk-Adjusted Returns: Evidence from Single Stock Futures作者 林川博
Lin, Chuan-Po貢獻者 許永明
Shiu, Yung-Ming
林川博
Lin, Chuan-Po關鍵詞 ESG
永續金融
股票期貨
風險調整後報酬
交易行為
COVID-19
衍生性商品市場
ESG
sustainable finance
single-stock futures
risk-adjusted returns
trading activity
COVID-19
derivatives markets日期 2026 上傳時間 2-Feb-2026 12:13:24 (UTC+8) 摘要 永續金融興起使 ESG 成為資產定價的重要資訊，但既有研究多集中於現貨、基金或指數層級；相較之下，以企業 ESG 評分檢驗其在臺灣個股期貨市場對風險調整後報酬之影響，並評估其交易結構因素之角色，相關實證仍有限。本研究以 2016 至 2023 年臺灣上市櫃公司之股票與個股期貨資料為樣本，結合 TEJ ESG 評分與期貨交易資料，採兩階段迴歸與固定效果面板估計，檢驗 ESG 總分及 E、S、G 三構面對期貨風險調整後報酬（Sharpe、Jensen α、Treynor）的影響，並進行高／低 ESG 分組與 COVID-19 子樣本分析。 實證結果顯示，在全樣本期間控制傳統財務因子與基本面預期報酬後，ESG總分對三項風險調整後報酬皆不顯著，係數多為微幅負向；相對地，基本面預期報酬與期貨流動性在多數模型中呈穩定正向且具解釋力，顯示期貨績效主要由基本面與交易結構所主導。分組結果顯示 ESG 總分在組內仍多不顯著，但高 ESG群體整體表現優於低 ESG 群體；構面上，E 僅在高 ESG 群組呈顯著正向，S在兩組皆不顯著，G 在高 ESG 群組呈顯著負向而低 ESG 群組偏正向但不顯著。COVID-19 期間則出現顯著反轉：ESG 及其 E、S 構面對風險調整後報酬轉為顯著負向，G 多為負向但不顯著，顯示 ESG 效果具有明顯情境依賴性。 整體而言，ESG 在臺灣個股期貨市場未必必然提升風險調整後績效，其影響呈現構面差異、門檻特徵與危機反轉；相較之下，基本面預期報酬與期貨流動性仍是最穩定的績效驅動來源。本研究補足永續金融與衍生性商品之研究缺口，並建議投資、交易實務上採構面拆解與情境化配置框架，將 ESG 與基本面及交易結構指標結合運用，以提升決策品質。
As sustainable finance expands, ESG (Environmental, Social, and Governance) has become increasingly relevant for asset pricing, yet evidence remains concentrated in spot markets and fund/index settings. This study examines whether firm-level TEJ ESG scores translate into risk-adjusted performance in Taiwan’s single-stock futures market, and whether the effects vary by ESG pillars, across ESG levels, and during crisis conditions. Using 2016–2023 data on Taiwan listed firms’ stocks and single-stock futures, we combine TEJ ESG overall and E/S/G pillar scores with futures trading measures. Risk-adjusted futures performance is evaluated using Sharpe-, Jensen’s alpha-, and Treynor-based metrics. We employ a two-stage framework with fixed-effects panel estimation, controlling for conventional firm characteristics and fundamentals-driven expected returns, and conduct high-versus-low ESG subsample tests plus a COVID-19 subsample analysis. Results show that the overall ESG score is not significantly related to risk-adjusted futures performance and is generally slightly negative. In contrast, expected returns and futures-market liquidity are consistently positive and significant, indicating that performance is mainly driven by fundamentals and trading structure. Pillar effects are heterogeneous: E is significantly positive only among high-ESG firms, S is generally insignificant, and G is significantly negative in the high-ESG group but positive (insignificant) in the low-ESG group. During COVID-19, ESG and the E/S pillars turn significantly negative, highlighting strong state dependence. Overall, ESG does not necessarily improve risk-adjusted single-stock futures performance in Taiwan, whereas expected returns and liquidity remain the most robust drivers.參考文獻 Aggarwal, N., & Thomas, S. (2011). When do stock futures dominate price discovery? Paper presented at the 24th Australasian Finance and Banking Conference. Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of environmental and social stocks: An analysis of the exogenous COVID-19 market crash. The Review of Corporate Finance Studies, 9(3), 593–621. Alessandrini, F., & Jondeau, E. (2020). ESG investing: From sin stocks to smart beta. Journal of Portfolio Management, 46(3), 75–94. Antoniou, A., Holmes, P., & Priestley, R. (1998). The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news. Journal of Futures Markets, 18(2), 151–166. Anwer, Z., Goodell, J. W., Migliavacca, M., & Paltrinieri, A. (2024). Does ESG impact systemic risk? Evidencing an inverted U-shape relationship for major energy firms. Energy Economics, 123, 107356. Arias Barrera, L. C. (2025). The law of ESG derivatives: Risk, uncertainty and sustainable finance (1st ed.). Routledge. Bang, J., Ryu, D., & Webb, R. I. (2023). ESG controversy as a potential asset-pricing factor. Finance Research Letters, 58(Part A), 104315. Berg, F., Kölbel, J. F., & Rigobon, R. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315–1344. Bessembinder, H., & Seguin, P. J. (1992). Futures-trading activity and stock price volatility. The Journal of Finance, 47(5), 2015–2034. Bessembinder, H., & Seguin, P. J. (1993). Price volatility, trading volume, and market depth: Evidence from futures markets. The Journal of Financial and Quantitative Analysis, 28(1), 21–39. Cao, J., Goyal, A., Zhan, X., & Zhang, W. E. (2025). Unlocking ESG premium from options (Swiss Finance Institute Research Paper No. 21-39). Swiss Finance Institute. Capelle-Blancard, G., & Petit, A. (2019). Every little helps? ESG news and stock market reaction. Journal of Business Ethics, 157(2), 543–565. Chan, K. (1992). A further analysis of the lead–lag relationship between the cash market and stock index futures market. The Review of Financial Studies, 5(1), 123–152. Chen, A., & Kao, L. (2025). Mutual fund investment and ESG rating: Evidence from mutual fund holdings in Taiwan. Asian Economic and Financial Review. Advance online publication. Cornell, B., & Damodaran, A. (2020). Valuing ESG: Doing good or sounding good? The Journal of Impact and ESG Investing, 1(1), 76–93. De Vincentiis, P. (2024). ESG news, stock volatility and tactical disclosure. Research in International Business and Finance, 68, 102187. Demers, 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), 513–552. Derwall, J., Koedijk, K., & Ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking & Finance, 35(8), 2137–2147. Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, 60(11), 2835–2857. 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The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 25(4), 441–468. Tobin, J. (1958). Liquidity preference as behavior towards risk. The Review of Economic Studies, 25(2), 65–86. Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43(1), 63–75. Truong, L. D., Friday, H. S., & Nguyen, A. T. K. (2022). The effects of index futures trading volume on spot market volatility in a frontier market: Evidence from Ho Chi Minh Stock Exchange. Risks, 10(12), 234. Trương, D. L., Nguyen, A. T. K., & Vo, D. V. (2021). Index future trading and spot market volatility in frontier markets: Evidence from Ho Chi Minh Stock Exchange. Asia-Pacific Financial Markets, 28(12), 1–14. Zhang, J., De Spiegeleer, J., & Schoutens, W. (2024). Implied tail risk and ESG ratings. KU Leuven Department of Mathematics Working Paper Series. 描述 碩士
國立政治大學
國際金融碩士學位學程
113ZB1007資料來源 http://thesis.lib.nccu.edu.tw/record/#G0113ZB1007 資料類型 thesis dc.contributor.advisor 許永明 zh_TW dc.contributor.advisor Shiu, Yung-Ming en_US dc.contributor.author (Authors) 林川博 zh_TW dc.contributor.author (Authors) Lin, Chuan-Po en_US dc.creator (作者) 林川博 zh_TW dc.creator (作者) Lin, Chuan-Po en_US dc.date (日期) 2026 en_US dc.date.accessioned 2-Feb-2026 12:13:24 (UTC+8) - dc.date.available 2-Feb-2026 12:13:24 (UTC+8) - dc.date.issued (上傳時間) 2-Feb-2026 12:13:24 (UTC+8) - dc.identifier (Other Identifiers) G0113ZB1007 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/161365 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 113ZB1007 zh_TW dc.description.abstract (摘要) 永續金融興起使 ESG 成為資產定價的重要資訊，但既有研究多集中於現貨、基金或指數層級；相較之下，以企業 ESG 評分檢驗其在臺灣個股期貨市場對風險調整後報酬之影響，並評估其交易結構因素之角色，相關實證仍有限。本研究以 2016 至 2023 年臺灣上市櫃公司之股票與個股期貨資料為樣本，結合 TEJ ESG 評分與期貨交易資料，採兩階段迴歸與固定效果面板估計，檢驗 ESG 總分及 E、S、G 三構面對期貨風險調整後報酬（Sharpe、Jensen α、Treynor）的影響，並進行高／低 ESG 分組與 COVID-19 子樣本分析。 實證結果顯示，在全樣本期間控制傳統財務因子與基本面預期報酬後，ESG總分對三項風險調整後報酬皆不顯著，係數多為微幅負向；相對地，基本面預期報酬與期貨流動性在多數模型中呈穩定正向且具解釋力，顯示期貨績效主要由基本面與交易結構所主導。分組結果顯示 ESG 總分在組內仍多不顯著，但高 ESG群體整體表現優於低 ESG 群體；構面上，E 僅在高 ESG 群組呈顯著正向，S在兩組皆不顯著，G 在高 ESG 群組呈顯著負向而低 ESG 群組偏正向但不顯著。COVID-19 期間則出現顯著反轉：ESG 及其 E、S 構面對風險調整後報酬轉為顯著負向，G 多為負向但不顯著，顯示 ESG 效果具有明顯情境依賴性。 整體而言，ESG 在臺灣個股期貨市場未必必然提升風險調整後績效，其影響呈現構面差異、門檻特徵與危機反轉；相較之下，基本面預期報酬與期貨流動性仍是最穩定的績效驅動來源。本研究補足永續金融與衍生性商品之研究缺口，並建議投資、交易實務上採構面拆解與情境化配置框架，將 ESG 與基本面及交易結構指標結合運用，以提升決策品質。 zh_TW dc.description.abstract (摘要) As sustainable finance expands, ESG (Environmental, Social, and Governance) has become increasingly relevant for asset pricing, yet evidence remains concentrated in spot markets and fund/index settings. This study examines whether firm-level TEJ ESG scores translate into risk-adjusted performance in Taiwan’s single-stock futures market, and whether the effects vary by ESG pillars, across ESG levels, and during crisis conditions. Using 2016–2023 data on Taiwan listed firms’ stocks and single-stock futures, we combine TEJ ESG overall and E/S/G pillar scores with futures trading measures. Risk-adjusted futures performance is evaluated using Sharpe-, Jensen’s alpha-, and Treynor-based metrics. We employ a two-stage framework with fixed-effects panel estimation, controlling for conventional firm characteristics and fundamentals-driven expected returns, and conduct high-versus-low ESG subsample tests plus a COVID-19 subsample analysis. Results show that the overall ESG score is not significantly related to risk-adjusted futures performance and is generally slightly negative. In contrast, expected returns and futures-market liquidity are consistently positive and significant, indicating that performance is mainly driven by fundamentals and trading structure. Pillar effects are heterogeneous: E is significantly positive only among high-ESG firms, S is generally insignificant, and G is significantly negative in the high-ESG group but positive (insignificant) in the low-ESG group. During COVID-19, ESG and the E/S pillars turn significantly negative, highlighting strong state dependence. Overall, ESG does not necessarily improve risk-adjusted single-stock futures performance in Taiwan, whereas expected returns and liquidity remain the most robust drivers. en_US dc.description.tableofcontents 謝 辭 2 摘 要 3 Abstract 4 目次 5 表次 6 圖次 7 第一章 緒論 8 第一節 企業永續表現與期貨市場結構之分析 8 第二節 研究動機 19 第三節 研究目的 30 第二章 文獻回顧 32 第一節 期貨市場價格發現、資訊傳遞與ESG因子 32 第二節 ESG評分與投資報酬品質之關係 37 第三節 風險調整後報酬之衡量指標與理論基礎 43 第四節 研究缺口、假說與本研究之貢獻 50 第三章 研究方法 54 第一節 變數定義 54 第二節 研究方法與模型 66 第四章 實證結果 74 第一節 資料來源 74 第二節 敘述統計量 78 第三節 實證結果分析 85 第五章 結論 112 第一節 研究結論 112 第二節 研究限制與建議 116 參考文獻 119 zh_TW dc.format.extent 1841109 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0113ZB1007 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 永續金融 zh_TW dc.subject (關鍵詞) 股票期貨 zh_TW dc.subject (關鍵詞) 風險調整後報酬 zh_TW dc.subject (關鍵詞) 交易行為 zh_TW dc.subject (關鍵詞) COVID-19 zh_TW dc.subject (關鍵詞) 衍生性商品市場 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) sustainable finance en_US dc.subject (關鍵詞) single-stock futures en_US dc.subject (關鍵詞) risk-adjusted returns en_US dc.subject (關鍵詞) trading activity en_US dc.subject (關鍵詞) COVID-19 en_US dc.subject (關鍵詞) derivatives markets en_US dc.title (題名) ESG 評分與經風險調整後的報酬率：以股票期貨為例 zh_TW dc.title (題名) ESG Scores and Risk-Adjusted Returns: Evidence from Single Stock Futures en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aggarwal, N., & Thomas, S. (2011). When do stock futures dominate price discovery? Paper presented at the 24th Australasian Finance and Banking Conference. Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of environmental and social stocks: An analysis of the exogenous COVID-19 market crash. The Review of Corporate Finance Studies, 9(3), 593–621. Alessandrini, F., & Jondeau, E. (2020). ESG investing: From sin stocks to smart beta. Journal of Portfolio Management, 46(3), 75–94. Antoniou, A., Holmes, P., & Priestley, R. (1998). The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news. Journal of Futures Markets, 18(2), 151–166. Anwer, Z., Goodell, J. W., Migliavacca, M., & Paltrinieri, A. (2024). Does ESG impact systemic risk? Evidencing an inverted U-shape relationship for major energy firms. Energy Economics, 123, 107356. Arias Barrera, L. C. (2025). 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