[[alternative]]The Effect of the Revision of Component Stocks in Corporate Social Responsibility Index on Stock Return--Evidence from FTSE4Good TIP Taiwan ESG Index

[[abstract]] 本研究採用臺灣永續指數成分股異動公告之新增及刪除股作為研究樣本，並透過事件研究法，觀察並檢驗價格與成交量的變化，探討臺灣永續指數成分股異動之宣告效果，對於價量的影響。研究期間選定為2018年12月11日至2022年12月9日止，在此期間，共計有17次成分股調整與修正，經統計新增股有33支，刪除股則有20支，新增及刪除股共53支。本研究以證券投資人之觀點，探討價量的變化外，更進一步去探討企業社會責任指數成分股異動事件公告，對投資人評價決策之影響。實證結果顯示，新增股在事件宣告日不具有顯著異常報酬及顯著異常交易量，但刪除股則具有顯著異常報酬。本研究的目標是在對企業社會責任指數成分股異動宣告，進行實證研究，以幫助投資者解讀和應對成分股異動事件的資訊。同時，本研究也旨在提供投資者在未來投資決策中的參考依據。[[abstract]] To investigate the announcement effects of the revision (addition or deletion) of component stocks in FTSE4Good TIP Taiwan ESG Index, we observe and examine the variations in prices and trading volumes by collecting the revised component stocks from FTSE4Good TIP Taiwan ESG Index via event study method. The study period was from December 11, 2018 to December 9, 2022, there were a total of 17 constituent adjustments and revisions, with 33 constituent stocks added and 20 constituent stocks deleted, for a total of 53 stocks. The study performs a literature review and explores the announcement effects of the additions and deletions from shareholder's perspectives. The empirical results reveal that the additions do not experience significant abnormal return and abnormal trading volumes on the announcement day, but the deletions have significantly negative abnormal return