在2008年全球金融危機之後，主權財富基金(Sovereign Wealth Funds, SWFs)的規模迅速的增長，也因為資產規模龐大對全球金融市場的波動敏感度極高，故其資金的流動動向也備受關注，加上近年來全球環境的變遷而使可持續性投資的理念興起，也讓投資人將環境、社會、公司治理(Environmental, Social and Corporate Governance, ESG)的理念納入篩選標準。然而有另外的觀點認為加入ESG理念會造成企業成本增加，以至於無法達到股東利益極大化，因此不看好市場。故本研究初步採用市場模式，探究被投資人納入或剔除之股票資訊揭露後，是否產生股價異常報酬或異常成交量周轉率之反應，再進一步進行迴歸分析。樣本期間採取2008年至2019年，實證結果顯示，挪威主權基金公告納入事件後，產生負向異常報酬；公告剔除的事件後，產生正向異常報酬。
The scale of Sovereign Wealth Funds (SWF) has grown rapidly after the global financial tsunami in 2008. Because of the large scale of assets and the high sensitivity to fluctuations in global financial markets, the flow of funds has attracted much attention. In addition to the recent changes in the global environment, the concept of sustainable investment has emerged, and investors have also included the concept of Environmental, Social and Corporate Governance (ESG) in the selection criteria. However, there is another point of view that the inclusion of ESG concepts will increase the cost of the company, so that it cannot maximize the interests of shareholders. Therefore, this study initially adopts the market model to investigate whether the stock information included or excluded by investors is exposed, whether there is a response to abnormal return (AR) or abnormal volume turnover (AV), and then further perform regression analysis.
