International Journal of Performance Measurement











Volume 10, Number 1, June 2020

The Changes of Shareholder Wealth of ESG Stocks

Ssu-Ting Wang 1 , Hsiao-Chen Chang 1 , Yi-Hsien Wang 1 , Fu-Ju Yang 1*


As enterprises pay more and more attention to the issues such as environment, corporate social responsibility and corporate governance in their operations, various relevant indexes have emerged. In this study, the Taiwan Sustainability Index, TWSE RAFI Taiwan High Compensation 100 Index, and TWSE Corporate Governance 100 Index prepared by Taiwan Index Plus Corporation will be regarded as proxy indexes for environmental, social and corporate governance respectively. The event study method is applies to explore the announcement date effect and the effective date effect of index component stocks, i.e. whether it will increase the stock price of newly added stocks and whether the stock price will decrease if the stock price is eliminated. It also further explores whether there are differences in the impact of environmental samples, social samples and corporate governance samples. The results show that the new shares show significant positive abnormal returns, indicating that investors are more sensitive to newly added information and believe that the stocks included in the index have better performance; while the excluded shares do not have significant impact. That is, the investment willingness of investors do not change significantly. Among the new shares are most affected by environmental samples, indicating that investors attach great importance to the sustainability of their companies. The excluded shares are greatly affected by social stocks, showing negative and significant abnormal returns and indicating that investors do not trust companies that have not implemented corporate social responsibility.


Keywords: TWSE HC 100 Index, TWSE CG100 Index, Taiwan Sustainability Index, Abnormal Return, Environmental, Social and Corporate Governance (ESG)


JEL Classification: G12, G14, G17


1 Department of Banking and Finance, Chinese Culture University

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