本研究探討新冠疫情風險、ESG風險及ESG風險管理對半導體企業股票需求之影響，選取42家半導體企業，研究期間為2021年至2022年，建構2個需求函數及2個反需求函數，並選用混合普通最小平方法進行分析。實證模型採用半導體企業股票之成交股數與價格建構需求函數與反需求函數，並加入確診病例數與死亡人數的和作為新冠疫情風險變數；ESG風險變數則是採用Sustainalytics(2022)提供之ESG議題風險分數，並將2021年與2022年的ESG風險分數差作為ESG風險管理變數。實證結果發現：（1）新冠疫情風險與半導體企業股票的成交股數與價格為負向關係。（2）ESG風險與半導體企業股票的成交股數與價格為負向關係。（3）ESG風險管理與半導體企業股票的成交股數與價格為負向關係。

This study investigates the impact of COVID-19 risk, ESG risk, and ESG risk management on the demand for semiconductor company stocks. A sample of 42 semiconductor companies is selected, and the study period ranges from 2021 to 2022. Two demand functions and two inverse demand functions are built and the analysis is conducted using the Pooled OLS regression model. The empirical model uses the trade volume and prices of semiconductor company stocks to build the demand and inverse demand functions and incorporates the total number of confirmed cases and deaths as variables for COVID-19 risk. The ESG risk variable is based on the ESG issue risk scores provided by Sustainalytics, and the difference in ESG risk scores between 2021 and 2022 is used as the ESG risk management variable. The empirical results reveal that: (1) COVID-19 risk is significantly negatively related to the trade volume and prices of semiconductor company stocks. (2) ESG risk rating is significantly negatively related to the trade volume and prices of semiconductor company stocks. (3) ESG risk management is significantly negatively related to the trade volume and prices of semiconductor company stocks.

摘要......ii
ABSTRACT......iii
誌謝辭......iv
CONTENTS......v
LIST OF TABLES......vi
LIST OF FIGURES......vii
CHAPTER 1 INTRODUCTION......1
1.1 Research Motivation......1
1.2 Research Objectives......4
1.3 Research Problems......4
CHAPTER 2 LITERATURE REVIEW......5
2.1 ESG......5
2.2 ESG Ratings......10
2.3 Demand for Stocks......15
2.4 Summary......25
CHAPTER 3 METHODOLOGY......26
3.1 Theoretical Model......26
3.2 Research Hypotheses......27
3.3 Research Process......28
3.4 Research Data......30
3.5 Empirical Model......35
CHAPTER 4 EMPIRICAL RESULTS......39
CHAPTER 5 CONCLUSIONS AND RECOMMENDATIONS......49
5.1 Conclusions......49
5.2 Recommendations......51
REFERENCES......53

1. Aditya, S. M., & Nainggolan, Y. A. (2022). Stock Volatility and Liquidity During Covid-19 Pandemic: Comparison of ESG Leader and Non ESG Leader Companies in Indonesia. Asian Journal of Accounting and Finance, 4(3), 1–14. https://myjms.mohe.gov.my/index.php/ajafin/article/view/19371
2. Ahern, K. R. (2014). Do Common Stocks Have Perfect Substitutes? Product Market Competition and The Elasticity of Demand for Stocks. Review of Economics and Statistics, 96(4), 756–766. http://www.jstor.org/stable/43554953
3. Albulescu, C. T. (2021). COVID-19 and the United States Financial Markets’ Volatility. Finance Research Letters, 38, 101699. https://doi.org/10.1016/j.frl.2020.101699
4. Aldowaish, A., Kokuryo, J., Almazyad, O., & Goi, H. C. (2022). Environmental, Social, and Governance Integration into the Business Model: Literature Review and Research Agenda. Sustainability, 14(5), 2959. https://doi.org/10.3390/su14052959
5. Allen, R. G. D., & Lerner, A. P. (1934). The Concept of Arc Elasticity of Demand. The Review of Economic Studies, 1(3), 226–230. https://doi.org/10.2307/2967486
6. Alptekin, A., Broadstock, D. C., Chen, X., & Wang, D. (2019). Time-Varying Parameter Energy Demand Functions: Benchmarking State-Space Methods against Rolling-Regressions. Energy Economics, 82, 26–41. https://doi.org/10.1016/j.eneco.2018.0
7. Barclay, M. J., & Litzenberger, R. H. (1988). Announcement Effects of New Equity Issues and the Use of Intraday Price Data. Journal of Financial Economics, 21(1), 71–99. https://doi.org/10.1016/0304-405X(88)90032-3
8. Beja, A. (1972). On Systematic and Unsystematic Components of Financial Risk. Journal of Finance, 27(1), 37–45. https://doi.org/10.2307/2978501
9. Bender, F. E., & Suttor, R. E. (1966). A Look at Flexibilities and Elasticities: Comment. Journal of Farm Economics, 48(4), 1021–1022. https://doi.org/10.2307/1236632
10. Bowen, H. R. (1953). Social Responsibility of the Businessman. New York: Harper & Row.
11. Broadstock, D. C., Chan, K., Cheng, L. T. w., & Wang, X. (2021). The Role of ESG Performance during Times of Financial Crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. https://doi.org/10.1016/j.frl.2020.101716
12. Brusseau, J. (2012). The Business Ethics Workshop. Saylor Foundation. https://resources.saylor.org/wwwresources/archived/site/textbooks/The%20Business%20Ethics%20Workshop.pdf
13. Cerqueti, R., Ciciretti, R., Dalò, A., & Nicolosi, M. (2021). ESG Investing: A Chance to Reduce Systemic Risk. Journal of Financial Stability, 54, 100887. https://doi.org/10.1016/j.jfs.2021.100887
14. Chen, C., Su, C., & Chen, M. (2021). Understanding How ESG-Focused Airlines Reduce the Impact of the COVID-19 Pandemic on Stock Returns. Journal of Air Transport Management, 102, 102229. https://doi.org/10.1016/j.jairtraman.2022.102229
15. Czerwińska, T., & Kaźmierkiewicz, P. (2015). ESG Rating in Investment Risk Analysis of Companies Listed on the Public Market in Poland. Economic Analysis and Policy, 44(2), 211–248. https://doi.org/10.1111/ecno.12031
16. Edwards, C. (2023, February 22). What Is Greenwashing? BND. https://www.businessnewsdaily.com/10946-greenwashing.html
17. Englund, K., Eliadis, E., Flynn, C., & Lubowe, D. (2022, March 22). How Semiconductor Companies Can Lead on Sustainability Issues. EY. https://www.ey.com/en_us/tmt/how-semiconductor-companies-can-lead-on-sustainability
18. Fernando, J. (2023, March 7). What Are Stakeholders: Definition, Types, and Examples. Investopedia. https://www.investopedia.com/terms/s/stakeholder.asp
19. Ferriani, F., & Natoli, F. (2021). ESG Risks in Times of Covid-19. Applied Economics Letters, 28(18), 1537–1541. https://doi.org/10.1080/13504851.2020.1830932
20. Fier, S. G., & Carson, J. M. (2015). Catastrophes and the Demand for Life Insurance. Journal of Insurance Issues, 38(2), 125–156. http://www.jstor.org/stable/43574412
21. Frederick, W. C. (2016). Commentary: Corporate Social Responsibility: Deep Roots, Flourishing Growth, Promising Futures. Frontiers in Psychology, 7, 00129. https://doi.org/10.3389/fpsyg.2016.0012
22. Garcia, A. S., & Orsato, R. J. (2020). Testing the Institutional Difference Hypothesis: A Study about Environmental, Social, Governance, and Financial Performance. Business Strategy and the Environment, 29(8), 3261–3272. https://doi.org/10.1002/bse.2570
23. Global Reporting Initiative. (2022, June 30). GRI Standards English Language. GRI. https://www.globalreporting.org/how-to-use-the-gri-standards/gri-standards-english-language/
24. Global Sustainable Investment Alliance（2021）. Trends Report 2020. GSIA Publishing. http://www.gsi-alliance.org/trends-report-2020/
25. Greenwood, R. (2005). Short- and Long-Term Demand Curves for Stocks: Theory and Evidence on the Dynamics of Arbitrage. Journal of Financial Economics, 75(3), 607–649. https://doi.org/10.1016/j.jfineco.2004.03.007
26. Guidice, A. D., & Rigamonti, S. (2020). Does Audit Improve the Quality of ESG Scores? Evidence from Corporate Misconduct. Sustainability, 12(14), 5670. https://doi.org/10.3390/su12145670
 
27. Guiso, L., & Parigi, G. (1999). Investment and Demand Uncertainty. The Quarterly Journal of Economics, 114(1), 185–227. http://www.jstor.org/stable/2586951
28. Gupta, A., Sharma, U., & Gupta, S. K. (2021, February 4). The Role of ESG in Sustainable Development: An Analysis Through the Lens of Machine Learning〔Conference presentation〕. 2021 IEEE International Humanitarian Technology Conference, United Kingdom. https://dx.doi.org/10.1109/IHTC53077.2021.9698939
29. Härdle, W., Hildenbrand, W., & Jerison, M. (1991). Empirical Evidence on the Law of Demand. Econometrica, 59(6), 1525–1549. https://doi.org/10.2307/2938277
30. Hoek, R. V. (2020). Responding to COVID-19 Supply Chain Risks—Insights from Supply Chain Change Management, Total Cost of Ownership and Supplier Segmentation Theory. Logistics, 4(4), 0023. https://doi.org/10.2991/gcbme-16.2016.8
31. Holthausen, R. W., Leftwich, R. W., & Mayers, D. (1987). The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis. Journal of Financial Economics, 19(2), 237–267. https://doi.org/10.1016/0304-405X(87)90004-3
32. Houck, J. P. (1966). A Look at Flexibilities and Elasticities. Journal of Farm Economics, 48(2), 225–232. https://doi.org/10.2307/1236213
33. Jones, S. (2022). ESG Risk in Times of Crisis: Evidence from the COVID-19 Pandemic. Journal of Finance Issues, 20(2), 25–34. https://doi.org/10.58886/jfi.v20i2.3875
 
34. Kabajeh, M. abdel majid, Nu’aimat, S. mukhled A. al, & Dahmash, F. N. (2012). The Relationship between the ROA, ROE and ROI Ratios with Jordanian Insurance Public Companies Market Share Prices. International Journal of Humanities and Social Science, 2(11), 115–120. https://doi.org/10.35794/emba.3.4.2015.11493
35. Kambhu, J., Krishnan, N., & Weidman, S. (2007). Part 1: Introduction to New Directions for Understanding Systemic Risk. Economic and Policy Review, 13, 3–14. https://www.newyorkfed.org/medialibrary/media/research/epr/07v13n2/0711part1.pdf
36. Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand Curves for Stocks Do Slope down: New Evidence from an Index Weights Adjustment. Journal of Finance, 55(2), 893–912. http://www.jstor.org/stable/222526
37. Kerber, R., & Jin, H. (2022, May 20). Tesla Cut from S&P 500 ESG Index, and Elon Musk Tweets His Fury. Reuters. https://www.reuters.com/business/sustainable-business/tesla-removed-sp-500-esg-index-autopilot-discrimination-concerns-2022-05-18/
38. Kolodny, L. (2022, May 18). Why Tesla Was Kicked out of the S&P 500′s ESG Index. CNBC. https://www.cnbc.com/2022/05/18/why-tesla-was-kicked-out-of-the-sp-500s-esg-index.html
39. Lee, K., & Lu, S. (2021). The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market. International Journal of Environmental Research and Public Health, 18, 1398. https://doi.org/10.3390/ijerph18041398
40. Lee, Y. N. (2021, March 15). 2 Charts Show How Much the World Depends on Taiwan for Semiconductors. CNBC. https://www.cnbc.com/2021/03/16/2-charts-show-how-much-the-world-depends-on-taiwan-for-semiconductors.html
 
41. Li, D., Moshirian, F., Nguyen, P., & Wee, T. (2007). The Demand for Life Insurance in OECD Countries. Journal of Risk and Insurance, 74(3), 637–652. http://www.jstor.org/stable/25145237
42. Li, X., Nosheen, S., Haq, N. U., & Gao, X. (2021). Value Creation during Fourth Industrial Revolution: Use of Intellectual Capital by Most Innovative Companies of the World. Technological Forecasting & Social Change, 163, 120479. https://doi.org/10.1016/j.techfore.2020.120479
43. Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and Affected Countries Stock Markets Response. International Journal of Environmental Research and Public Health, 17, 2800. https://doi.org/10.3390/ijerph17082800
44. Loderer, C., Cooney, J. W., & Van Drunen, L. D. (1991). The Price Elasticity of Demand for Common Stock. The Journal of Finance, 46(2), 621–651. https://doi.org/10.2307/2328839
45. Lokuwaduge, C. S. D. S., & De Silva, K., M. (2022). ESG Risk Disclosure and the Risk of Green Washing. Australasian Accounting Business & Finance Journal, 16(1), 146-159. http://dx.doi.org/10.14453/aabfj.v16i1.10
46. Lord, J. (2020, July 31). Cathay Launches Taiwan Dividend ETF with ESG Screening. ETF Strategy. https://www.etfstrategy.com/cathay-launches-taiwan-dividend-etf-with-esg-screening-98547/
47. Lucia, C. D., Pazienza, P., & Bartlett, M. (2020). Does Good ESG Lead to Better Financial Performances by Firms? Machine Learning and Logistic Regression Models of Public Enterprises in Europe. Sustainability, 12(13), 5317. https://doi.org/10.3390/su12135317
48. Mikkelson, W. H., & Partch, M. M. (1985). Stock Price Effects and Costs of Secondary Distributions. Journal of Financial Economics, 14(2), 165–194. https://doi.org/10.1016/0304-405X(85)90013-3
 
49. Moen, E. (2020), MSCI ESG Ratings. MSCI Publishing. https://www.msci.com/documents/1296102/21901542/MSCI+ESG+Ratings+Brochure-cbr-en.pdf
50. Moore, H. L. (1919). Empirical Laws of Demand and Supply and the Flexibility of Prices. Political Science Quarterly, 34(4), 546–567. https://doi.org/10.2307/2142027
51. Moore, H. L. (1922). Elasticity of Demand and Flexibility of Prices. Journal of the American Statistical Association, 18(137), 8–19. https://doi.org/10.2307/2277462
52. Moosavi, J., Fathollahi-fard, A. M., & Dulebenets, M. A. (2022). Supply Chain Disruption during the COVID-19 Pandemic: Recognizing Potential Disruption Management Strategies. International Journal of Disaster Risk Reduction, 75, 102983. https://doi.org/10.1016/j.ijdrr.2022.102983
53. Mousa, M., Saleem, A., & Sági, J. (2022). Are ESG Shares a Safe Haven during COVID-19? Evidence from the Arab Region. Sustainability, 14(1), 208. https://doi.org/10.3390/su14010208
54. Nagy, R. A., & Obenberger, R. W. (1994). Factors Influencing Individual Investor Behavior. Financial Analysts Journal, 50(4), 63–68. http://www.jstor.org/stable/4479763
55. O’Donoghue, T., & Somerville, J. (2018). Modeling Risk Aversion in Economics. Journal of Economic Perspectives, 32(2), 91–114. http://www.jstor.org/stable/26409426
56. Oet, M. V., Eiben, R., Bianco, T., Gremlich, D., & Ong, S. J. (2011, October 28). The Financial Stress Index: Identification of Systemic Risk Conditions. Federal Reserve Bank of Cleveland. https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2011/wp-1130-the-financial-stress-index-identification-of-systemic-risk-conditions-pdf.pdf
57. Padhan, R., & Prabheesh, K. P. (2021). The Economics of COVID-19 Pandemic: A Survey. Economic Analysis and Policy, 70, 220–237. https://doi.org/10.1016/j.eap.2021.02.012
58. Palakeel, P., Nambiar, M. N., Vishnu, V., & Deepika, M. G. （2017, December 14-16）. Estimating Demand Function for Gold Using the Vector Auto Regression Model〔Conference presentation〕. 2017 IEEE International Conference on Computational Intelligence and Computing Research (ICCIC), Coimbatore, India. https://ieeexplore.ieee.org/abstract/document/8524459
59. Park, S., & Jang, J. (2021). The Impact of ESG Management on Investment Decision: Institutional Investors’ Perceptions of Country-Specific ESG Criteria. International Journal of Financial Studies, 9(3), 48. https://doi.org/10.3390/ijfs9030048
60. Rashes, M. S. (2001). Massively Confused Investors Making Conspicuously Ignorant Choices (MCI-MCIC). Journal of Finance, 56(5), 1911–1927. http://www.jstor.org/stable/2697743
61. Robinson, D. (2022, November 13). What Is Greenwashing? Earth.Org. https://earth.org/what-is-greenwashing/
62. Rodini, L. (2022, November 9). What Was the COVID-19 Stock Market Crash of 2020? Causes & Effects. TheStreet. https://www.thestreet.com/dictionary/c/covid-19-stock-market-crash-of-2020
63. Safdie, S. (2023, January 27). ESG Risks: Definition, Examples and Assessment Method. Greenly. https://greenly.earth/en-us/blog/company-guide/esg-risks-definition-examples-and-assessment-method
64. Scatigna, M., Xia, D., Zabai, A., & Zulacia, O. (2021, December 20). Achievements and Challenges in ESG Markets. BIS Quarterly Review. https://www.bis.org/publ/qtrpdf/r_qt2112f.htm
 
65. Schmiedeknecht, M. (2013). Encyclopedia of Corporate Social Responsibility. In: Idowu, S., Capaldi, N., Zu, L., Gupta, A. (Ed.), Dow Jones Sustainability Indices. (pp. 832-838). Springer. https://doi.org/10.1007/978-3-642-28036-8_577
66. Schultz, P. (2008). Downward-Sloping Demand Curves, the Supply of Shares, and the Collapse of Internet Stock Prices. The Journal of Finance, 63(1), 351–378. http://www.jstor.org/stable/25094442
67. Securities and Future Bureau. (2020, September 3). Corporate Governance 3.0 -Sustainable Development Roadmap. Securities and Future Bureau. https://www.sfb.gov.tw/en/home.jsp?id=271&parentpath=0,117,118,120
68. Shleifer, A. (1986). Do Demand Curves for Stocks Slope Down? The Journal of Finance, 41(3), 579–590. https://doi.org/10.2307/2328486
69. Stern, N., & Valero, A. (2021). Innovation, Growth and the Transition to Net-Zero Emissions. Research Policy, 50(9), 104293. https://doi.org/10.1016/j.respol.2021.104293
70. Stosberg, J. (2005). Risk in the Theory of Investment. In Political Risk and the Institutional Environment for Foreign Direct Investment in Latin America: An Empirical Analysis with a Case Study on Mexico (NED-New edition, pp. 7–78). Peter Lang AG. http://www.jstor.org/stable/j.ctv9hj81q.9
71. Sukmawati, F., & Garsela, I. (2016). The Effect of Return on Assets and Return on Equity to the Stock Price. Advances in Economics, Business and Management Research, 15, 53–57. https://doi.org/10.2991/gcbme-16.2016.8
72. Sustainalytics. (2020, July 16). Overview of Sustainalytics’ ESG Risk Ratings. Sustainalytics. https://www.sustainalytics.com/corporate-solutions/esg-solutions/esg-risk-ratings
73. Taiwan Future Exchange. (2023, June 30). Taiwan Stock Exchange Corporation Rules Governing the Preparation and Filing of Sustainability Reports by TWSE Listed Companies. Taiwan Future Exchange. https://www.taifex.com.tw/cht/2/weightedPriceIndex
74. Taiwan Semiconductor Industry Association. (2021, January 5). Taiwan Semiconductor Industry Excels Again in Dow Jones Sustainability Index. TSIA. https://www.tsia.org.tw/EN/PageList?nodeID=66
75. The United Nations Global Compact. (2004). Who Cares Wins. https://www.unepfi.org/fileadmin/events/2004/stocks/who_cares_wins_global_compact_2004.pdf
76. Toscano, A., Balzarotti, M., & Re, I. (2022). Sustainability Practices and Greenwashing Risk in the Italian Poultry Sector: A Grounded Theory Study. Sustainability, 14(21), 14088. https://doi.org/10.3390/su142114088
77. Van Hoang, T., Pham, L., Lahiani, A. & Segbotangni, E. (2023). Does ESG Disclosure Transparency Mitigate the COVID-19 Pandemic Shock? An Empirical Analysis of Listed Firms in the UK. Journal of Innovation Economics & Management, 41, 75-106. https://doi.org/10.3917/jie.pr1.0131
78. Wang, Z., & Sarkis, J. (2013). Investigating the relationship of sustainable supply chain management with corporate financial performance. International Journal of Productivity and Performance Management, 62(8), 871-888. https://doi.org/10.1108/IJPPM-03-2013-0033
79. Watson, B. (2016, August 20). The Troubling Evolution of Corporate Greenwashing. The Guardian. https://www.theguardian.com/sustainable-business/2016/aug/20/greenwashing-environmentalism-lies-companies
80. Xu, Z., Elomri, A., Kerbache, L., & Omri, A. E. (2020). Impacts of COVID-19 on Global Supply Chains: Facts and Perspectives. IEEE Engineering Management Review, 48(3), 153–166. https://doi.org/10.1109/EMR.2020.3018420
81. Yoon, B., Lee, J. H., & Byun, R. (2018). Does ESG Performance Enhance Firm Value? Evidence from Korea. Sustainability, 10(10), 3635. https://doi.org/10.3390/su10103635
 
82. Yu, E. P., Luu, B. V., & Chen, C. H. (2020). Greenwashing in Environmental, Social and Governance Disclosures. Research in International Business and Finance, 52, 101192. https://doi.org/10.1016/j.ribaf.2020.101192
83. Zaheri, F., & Barkhordary, S. (2015). Relationship between Financial Characteristics of Companies in Cement Industry and Their Stock Returns in Tehran Stock Exchange. Research Journal of Recent Sciences, 4(8), 77–83. http://www.isca.in/rjrs/archive/v4/i8/14.ISCA-RJRS-2013-971.php
84. Zhang, D., Hu, M., & Ji, Q. (2020). Financial Markets under the Global Pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528
85. Zhou, D., & Zhou, R. (2022). ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic. International Journal Environmental Research and Public Health, 19(1), 202. https://doi.org/10.3390/ijerph19010202