Responsive image
博碩士論文 etd-0530122-012659 詳細資訊
Title page for etd-0530122-012659
論文名稱
Title
臺灣傳統指數與綠能指數在新冠疫情前後之因果與擴散關係
The causal and spillover relationship between Taiwan’s conventional index and green energy indexes in both pre and post Covid-19 period
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
62
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2022-06-14
繳交日期
Date of Submission
2022-06-30
關鍵字
Keywords
因果關係檢定、擴散效果、綠色金融、新冠肺炎、永續發展
Granger-causality, Spillover effect, Green finance, Covid-19, Sustainability
統計
Statistics
本論文已被瀏覽 416 次,被下載 71
The thesis/dissertation has been browsed 416 times, has been downloaded 71 times.
中文摘要
在新冠肺炎影響下,大眾對於ESG相關議題的關注度吸引投資人在這方面議題更高程度的注意。此研究主在探討臺灣的傳統指數與綠能指數之間的因果與擴散關係,尤其在疫情前後之間的差異,探討在疫情後關於永續議題的發展。此研究採用Granger Causality test 及Spillover model(Baruník & Křehlík, 2018; Diebold & Yilmaz, 2012)來檢視指數間的因果與擴散關係。資料內容包括NASDAQ clean energy indexes,其用來代表綠能指數,及NASDAQ Taiwan Index,其用來代表臺灣傳統指數。資料涵蓋期間自2013年1月1日至2021年12月31日。
研究結果顯示,在長期來說,臺灣傳統指數與綠能指數之間存在雙向的因果關係,並且擴散效果在疫情之後顯得更為顯著。而兩者之間的連結頻率在疫情後更是顯著縮短及增強。上述發現可顯示出,在兩種指數相互影響的程度於疫情後加劇的情況下,長期投資者無論投資於傳統市場或綠色能源市場,其報酬可能將無顯著差異。而擴散效果的增強也顯示出投資者對於永續議題的關注日漸提升,隨著投資人的投資行為改變,所有關乎此議題發展的利害關係人,包括企業及政府等,也都必須將公司政策或政府政策轉向趨於永續發展的方向。
Abstract
The growing concerns of ESG related issues have brought the investors’ attention to a higher level since the breakout of the Covid-19 pandemic. This study explores the causality and spillover over specific time and frequency domain between Taiwan’s conventional index and green indexes to provide insightful meanings of how the green investment has developed specifically after the pandemic. This study applies the Granger-Causality test and the spillover model by Baruník & Křehlík (2018) and Diebold & Yilmaz (2009, 2012) on NASDAQ clean energy indexes, representing as green indexes, and NASDAQ Taiwan Index, representing as Taiwan’s conventional index, with daily data from 1st January 2013 to 31st December 2021. The results show that there exists a bi-directional causality between the two sets of indexes in the long-run, and the spillover effect increases after the pandemic. The connectedness between the indexes also grows stronger in the high frequency domain after the pandemic. The above findings in this study suggest that the investors are paying more attention towards green investment. With the behavior of the investors changing, all concern parties including corporates and governments should be easier to steer their operations towards sustainability.
目次 Table of Contents
Table of Contents
論文審定書 i
摘要 ii
Abstract iii
Table of Contents iv
List of Figures v
List of Tables vi
1. Introduction 1
1.1. Sustainability development in recent years 1
1.2. Green finance in different countries and sectors 2
1.3. The causal relationship and spillover effect over time and frequency domain 4
2. Literature review 6
2.1. The development of green finance 6
2.2. Measuring spillovers in time and frequency domain 7
2.3. Connectedness between conventional and green indexes 9
3. Data and Methodology 9
3.1. Data 9
3.1.1. Descriptive statistics and stationary test 11
3.2. Measuring spillovers in time domain 11
3.3. Measuring spillovers in frequency domain 14
4. Results and discussion 24
4.1. Breitung & Candelon Granger Causality test 25
4.2. Diebold & Yilmaz Spillover index (DY12) over time domain in full period 32
4.3. Baruník & Křehlík Spillover index (BK12) over time and frequency domain 33
4.4. Discussion of the results 37
5. Conclusion 44
References 49

參考文獻 References
References
Al Mamun, M., Boubaker, S., & Nguyen, D. K. (2022). Green finance and decarbonization: Evidence from around the world. Finance Research Letters, 46, 102807. https://doi.org/10.1016/j.frl.2022.102807
Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). Range-Based Estimation of Stochastic Volatility Models. The Journal of Finance, 57(3), 1047–1091.
Arif, M., Hasan, M., Alawi, S. M., & Naeem, M. A. (2021). COVID-19 and time-frequency connectedness between green and conventional financial markets. Global Finance Journal, 49, 100650. https://doi.org/10.1016/j.gfj.2021.100650
Arif, M., Naeem, M. A., Farid, S., Nepal, R., & Jamasb, T. (2021). Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19 (SSRN Scholarly Paper No. 3782126). Social Science Research Network. https://doi.org/10.2139/ssrn.3782126
Baruník, J., & Křehlík, T. (2018). Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. Journal of Financial Econometrics, 16(2), 271–296. https://doi.org/10.1093/jjfinec/nby001
Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model. The Review of Economics and Statistics, 72(3), 498–505. https://doi.org/10.2307/2109358
Breitung, J., & Candelon, B. (2006). Testing for short- and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363–378. https://doi.org/10.1016/j.jeconom.2005.02.004
Broom, D. (2022). Explainer: What is sustainable finance? World Economic Forum. https://www.weforum.org/agenda/2022/01/what-is-sustainable-finance/
Chen, H. H., & Lee, A. H. I. (2014). Comprehensive overview of renewable energy development in Taiwan. Renewable and Sustainable Energy Reviews, 37, 215–228. https://doi.org/10.1016/j.rser.2014.04.055
Chrysoloras, N. (2021, December 30). How Green Stocks Became Flops in 2021, Lagging Even Airlines. Bloomberg.Com. https://www.bloomberg.com/news/articles/2021-12-30/once-stellar-green-stocks-fell-even-more-than-airlines-in-2021
Cooper, S. (2019, February 5). The evolution of sustainable finance. Standard Chartered. https://www.sc.com/en/feature/the-evolution-of-sustainable-finance/
Department of Information Services, Executive Yuan. (2018). Green Finance Action Plan [Text/html]. 2.16.886.101.20003; 2.16.886.101.20003. https://english.ey.gov.tw/News3/9E5540D592A5FECD/cd6978e5-1a6d-4031-9db5-f10fd04fa4c8
Department of Information Services, Executive Yuan. (2021). Green Finance Action Plan 2.0 [Text/html]. 2.16.886.101.20003; 2.16.886.101.20003. https://english.ey.gov.tw/News3/9E5540D592A5FECD/096b3841-781d-4dd5-842c-1d34e3e67f43
Díaz, A., Esparcia, C., & López, R. (2022). The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. Economic Analysis and Policy, 75, 39–60. https://doi.org/10.1016/j.eap.2022.05.001
Diebold, F. X., & Yilmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. The Economic Journal, 119(534), 158–171. https://doi.org/10.1111/j.1468-0297.2008.02208.x
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
Engle, R. F., & Kroner, K. F. (1995). Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11(1), 122–150. https://doi.org/10.1017/S0266466600009063
Engle, R. F., & Sheppard, K. (2001). Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (Working Paper No. 8554; Working Paper Series). National Bureau of Economic Research. https://doi.org/10.3386/w8554
Ferrer, R., Benítez, R., & Bolós, V. J. (2021). Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis. Mathematics, 9(8), 900. https://doi.org/10.3390/math9080900
Forbes. (2022). Renewable Energy Stocks Had A Mixed 2021. Will 2022 Be Better? Forbes. https://www.forbes.com/sites/greatspeculations/2022/01/04/renewable-energy-stocks-had-a-mixed-2021-will-2022-be-better/
Garman, M. B., & Klass, M. J. (1980). On the Estimation of Security Price Volatilities from Historical Data. The Journal of Business, 53(1), 67–78.
Government of United Kingdom. (2022). Update to Green Finance Strategy: Call for evidence (accessible webpage). GOV.UK. https://www.gov.uk/government/consultations/update-to-green-finance-strategy-call-for-evidence/update-to-green-finance-strategy-call-for-evidence-accessible-webpage
Gulzar, S., Mujtaba Kayani, G., Xiaofeng, H., Ayub, U., & Rafique, A. (2019). Financial cointegration and spillover effect of global financial crisis: A study of emerging Asian financial markets. Economic Research-Ekonomska Istraživanja, 32(1), 187–218. https://doi.org/10.1080/1331677X.2018.1550001
Hoang, A. T., Sandro Nižetić, Olcer, A. I., Ong, H. C., Chen, W.-H., Chong, C. T., Thomas, S., Bandh, S. A., & Nguyen, X. P. (2021). Impacts of COVID-19 pandemic on the global energy system and the shift progress to renewable energy: Opportunities, challenges, and policy implications. Energy Policy, 154, 112322. https://doi.org/10.1016/j.enpol.2021.112322
Hu, W.-C., Chung, S.-M., Lin, J.-C., Fan, C.-T., & Lien, C.-A. (2017). An accelerating green growth for Taiwan’s climate ambition. Renewable and Sustainable Energy Reviews, 79, 286–292. https://doi.org/10.1016/j.rser.2017.05.089
International Trade Administration. (2021). Taiwan Renewable Energy Market. https://www.trade.gov/market-intelligence/taiwan-renewable-energy-market
Jain, M., Sharma, G. D., Goyal, M., Kaushal, R., & Sethi, M. (2021). Econometric analysis of COVID-19 cases, deaths, and meteorological factors in South Asia. Environmental Science and Pollution Research, 28(22), 28518–28534. https://doi.org/10.1007/s11356-021-12613-6
Jain, M., Sharma, G. D., & Srivastava, M. (2019). Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices. Risks, 7(1), 15. https://doi.org/10.3390/risks7010015
Jo, H., Kim, H.-E., & Sim, M. (2022). Environmental preference, air pollution, and fund flows in China. Pacific-Basin Finance Journal, 72, 101723. https://doi.org/10.1016/j.pacfin.2022.101723
Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119–147. https://doi.org/10.1016/0304-4076(95)01753-4
Kung, C.-C., Lan, X., Yang, Y., Kung, S.-S., & Chang, M.-S. (2022). Effects of green bonds on Taiwan’s bioenergy development. Energy, 238, 121567. https://doi.org/10.1016/j.energy.2021.121567
Li, Z., Kuo, T.-H., Siao-Yun, W., & The Vinh, L. (2022). Role of green finance, volatility and risk in promoting the investments in Renewable Energy Resources in the post-covid-19. Resources Policy, 76, 102563. https://doi.org/10.1016/j.resourpol.2022.102563
Markowitz, H. M. (1968). Portfolio Selection: Efficient Diversification of Investments. In Portfolio Selection. Yale University Press. https://doi.org/10.12987/9780300191677
Masterson, V. (2022). These are the countries best prepared for a green future. World Economic Forum. https://www.weforum.org/agenda/2022/04/green-future-index-2022/
Naeem, M. A., Peng, Z., Suleman, M. T., Nepal, R., & Shahzad, S. J. H. (2020). Time and frequency connectedness among oil shocks, electricity and clean energy markets. Energy Economics, 91, 104914. https://doi.org/10.1016/j.eneco.2020.104914
Ortas, E., Moneva, J. M., & Salvador, M. (2012). Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil. Emerging Markets Review, 13(4), 581–597. https://doi.org/10.1016/j.ememar.2012.09.004
Oxford Business Group. (2021). ESG Trends 2021: Rise of Green Finance. Oxford Business Group. https://oxfordbusinessgroup.com/news/esg-trends-2021-rise-green-finance
Pham, L. (2016). Is it risky to go green? A volatility analysis of the green bond market. Journal of Sustainable Finance & Investment, 6(4), 263–291. https://doi.org/10.1080/20430795.2016.1237244
Pham, L., & Cepni, O. (2022). Extreme directional spillovers between investor attention and green bond markets. International Review of Economics & Finance, 80, 186–210. https://doi.org/10.1016/j.iref.2022.02.069
Sarker, T., Taghizadeh-Hesary, F., Mortha, A., & Saha, A. (2020). The Role of Fiscal Incentives in Promoting Energy Efficiency in the Industrial Sector: Case Studies from Asia. 24.
Sharma, G. D., Sarker, T., Rao, A., Talan, G., & Jain, M. (2022). Revisiting conventional and green finance spillover in post-COVID world: Evidence from robust econometric models. Global Finance Journal, 51, 100691. https://doi.org/10.1016/j.gfj.2021.100691
Sharma, G. D., Talan, G., Bansal, S., & Jain, M. (2021). Is there a cost for sustainable investments: Evidence from dynamic conditional correlation. Journal of Sustainable Finance & Investment, 0(0), 1–21. https://doi.org/10.1080/20430795.2021.1874215
Sirur, S. (2021). Clean energy investments rise after Covid-induced dip, can still support green goals: Study. ThePrint. https://theprint.in/economy/clean-energy-investments-rise-after-covid-induced-dip-can-still-support-green-goals-study/718755/
Timchenko, M. (2022). 5 priorities for putting emerging economies on the path to clean electrification. World Economic Forum. https://www.weforum.org/agenda/2022/01/clean-electrification-decarbonization-ukraine-emerging-economies/
Tiwari, A. K. (2012). An empirical investigation of causality between producers’ price and consumers’ price indices in Australia in frequency domain. Economic Modelling, 29(5), 1571–1578. https://doi.org/10.1016/j.econmod.2012.05.010
United Nations. (2015). Paris Agreement.
United Nations. (2021). The Sustainable Development Goals Report 2021.
WANG, C. N. (2022). Green Finance Year 2021 Review and a 2022 Green Finance Outlook – Green Finance & Development Center. https://greenfdc.org/green-finance-2021-in-review-2022-outlook/
Wang, Q.-J., Wang, H.-J., & Chang, C.-P. (2022). Environmental performance, green finance and green innovation: What’s the long-run relationships among variables? Energy Economics, 110, 106004. https://doi.org/10.1016/j.eneco.2022.106004

電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內校外完全公開 unrestricted
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available


紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code