臺灣博碩士論文加值系統

社會責任型投資把企業社會責任的觀念帶進資本市場，在過去數十年間學術界也持續進行有關善盡社會責任的企業在資本市場的報酬和風險關連性之實證研究，然而究竟企業社會責任與企業財務績效是正向、負向或是無關，至今仍然眾說紛紜。
本論文以社會責任型指數與一般股票指數之報酬率為研究對象，使用時間序列模型，欲藉其報酬率之波動情形觀察社會責任指數之波動是否較一般股票指數之波動平穩；本文並加入虛擬變數，探討重大事件對指數的影響。最後使用Granger因果檢定來探討社會責任型指數與一般股票指數之報酬率之間是否存在Granger因果關係。
實證結果發現，在長時間下社會責任指數與一般股票指數之報酬率波動情形相似，但加上虛擬變數後就即可看出社會責任指數之報酬率波動較一般股票指數穩定；採用Granger因果檢定後發現社會責任指數與一般股票指數之間相互存在Granger因果關係。

Socially responsible investment brings the idea of corporate social responsibility into capital markets. The results of academic related empirical researches in the frame of capital returns and risks of enterprises which dedicate to social responsibility are still ambiguous whether the results are positive, negative, or irrelative.
This study investigated the return volatility between socially responsible indexes and general stock indexes by using longitudinal analysis. In order to discuss the impact of important events, the dummy variables are added. Finally, using the Granger causality test to discuss whether the Granger causality exists between socially responsible indexes and general stock indexes or not.
Using longitudinal analysis the following results are found: the return volatility between socially responsible indexes and general stock indexes are similar. After adding the dummy variables, the return volatility of socially responsible indexes are more stable than general stock indexes. Then using the Granger causality test, the results show that there are existent the Granger causality between socially responsible indexes and general stock indexes.

誌 謝..................................................i
摘 要.................................................ii
Abstract ...............................................iii
目 錄.................................................iv
圖 目 錄..................................................v
表 目 錄.................................................vi
第一章 緒論.............................................1
第一節 研究背景與動機...................................1
第二節 研究目的.........................................3
第三節 研究流程.........................................3
第四節 研究限制.........................................5
第五節 預期成果.........................................5
第二章 文獻回顧.........................................6
第一節 企業社會責任.....................................6
第二節 社會責任型投資..................................11
第三節 企業社會績效與企業財務績效......................18
第三章 研究方法........................................24
第一節 研究對象........................................24
第二節 研究架構與分析步驟 ..............................26
第三節 研究假說........................................28
第四節 單根檢定與序列相關檢定..........................28
第五節 實證模型........................................33
第四章 實證結果分析....................................36
第一節 單根檢定........................................36
第二節 實證分析........................................38
第五章 結論與建議......................................47
參考文獻.................................................49

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