隨著企業的經營越來越重視環境、企業社會責任和公司治理等議題，各種相關指數因應而生。本研究以臺灣指數公司編製的臺灣永續指數、臺灣高薪100指數及臺灣公司治理100指數，分別視為環境、社會及公司治理的代理指標。本研究運用事件研究法，探討指數成分股之宣告日效果與生效日效果，亦即是否會使新增股的股價上漲，而剔除股是否造成股價下跌，並進一步探討環境樣本(臺灣永續指數)、社會樣本(臺灣高薪指數)、及公司治理樣本(臺灣公司治理指數)對股價報酬的影響是否有程度上的差異。研究結果顯示，新增股呈現顯著的正異常報酬，表示投資人對新增訊息較敏感，認為被納入指數中的股票擁有較佳的訊息；被剔除股則呈現不顯著，即投資意願無顯著影響。其中，新增股以環境樣本影響最大，皆呈現正向顯著報酬，表示投資者對其公司是否落實永續相當重視；被剔除股則以社會樣本影響最大，呈現負向顯著異常報酬，表示投資者對沒有落實企業社會責任的公司不信任。
The related indexes were created along with more and more attention on environ-ment-tal, corporate social responsibility and corporate governance issues. The Taiwan Sustainability Index, TWSE HC 100 Index, and TWSE CG 100 Index compiled by Taiwan Index company can be regarded as proxies for environmental, social and corporate gov-ernance. The companies that are included into previous three indexes were used to repre-sent those value environmental, social and corporate governance respectively in Taiwan's capital market. Among them, companies included in the index represented better envi-ronmental performance, higher pay levels and better-performing corporate governance, which had a positive impact on the business and higher share price expectations; exclud-ing stocks were the opposite. The event study was applied to explore the impact of the announcement date and effective date of Taiwan Index to determine whether the price of the newly issued stocks would increase and the price of excluded stocks would decline. The results show that added stocks experience significant positive abnormal return. It in-dicates that investors are sensitive to the new information and think that included in the index have better information. The abnormal returns of excluded stocks are not signifi-cant. Among them, environmental sample of added stocks are impacted most. It means that investors emphasize the value on sustainability of investment. The social sample of excluded stocks are impacted most. It indicates that investors do not trust the companies without corporate social responsibility.
