環境保護、社會責任及公司治理(Environmental, Social, and Governance, ESG)已成為顯學，企業除了原有的營業活動，也須兼顧 ESG 的活動；而 ESG 表現的好壞是否會影響企業在其他層面的表現？而股價波動會受到系統風險跟獨特風險的影響，若企業的 ESG 表現優秀，是否能夠有效減緩風險，降低股價的波動。本文獻透過 TESG 永續發展指標，研究西元 2015 年至 西元 2021 年上市上櫃共 1,424 間非金融業企業之股價波動，探討企業 ESG 表現與其股價波動之間的關係。

本研究總共提出了三個假說。假說一發現，企業 ESG 的表現確實能影響股價波動， 整體分數、社會構面分數、公司治理構面分數皆可有效減緩股價波動；唯獨環境構面分數的效果無法確定。延續假說一的發現，假說二更進一步研究 ESG 表現在不同產業間的效果；而股價波動及 ESG 的減緩效果的確會因產業有差異。假說三則探討在西元 2020 年及西元 2021 年疫情期間， ESG 的效果是否會增加或減弱？最後的數據顯示， 各 ESG 分數的效果不穩定，無法斷定是否為增強或減弱；僅在某幾季時，公司治理構面方數的確產生更多的股價波動減緩效果。

Environmental protection, social responsibility, and corporate governance (Environmental, Social, and Governance, ESG) have become important issues than before. In addition to the original business activities, companies must also take ESG activities into consideration. Stock price volatility will be affected by systemic risk from market and unique risk from companies. If a company's ESG performance is excellent, can it effectively mitigate risks and reduce stock price volatility? This study explores the relationship between ESG performance and stock price volatility with 1,424 non-financial companies listed on OTC from 2015 to 2021.

There are three hypotheses in this study. Hypothesis 1 finds that ESG performance can indeed affect stock price volatility, and the overall score, social dimension score, and corporate governance dimension score can all effectively slow down stock price volatility; only the effect of the environmental dimension score cannot be determined. Hypothesis 2 further studies the effect of ESG performance in different industries and the mitigation effects of ESG performance will indeed vary by industry. Hypothesis 3 explores whether the effect of ESG will increase or decrease during the covid-19 epidemic in 2020 and 2021. The result shows that the effect of each ESG performance is unstable, so it can’t be sure that whether ESG performance is strengthening or weakening in that period; only in certain quarters, the corporate governance dimension score does produce more mitigation effects on stock price volatility.

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