本文以台灣永續指數成分股為樣本，採事件研究法探究入選永續指數對資本市場之影響。本篇進一步探討入選企業是否因過往永續績效優劣、永續報告書有無認證、有無進行氣候相關財務揭露(Task Force on Climate-related Financial Disclosures, TCFD)而使市場反應產生差異。本文發現入選台灣永續指數成分股會使市場有正向反應。此外，企業若出具之永續報告書業經外部認證或進行氣候相關財務揭露者，會有更為正面的市場反應。然而，企業若曾獲企業社會責任獎項，或涉入違法事件者，則會削弱此一正向之市場反應。本文可提供主管機關、市場投資人以及實務界人士進行參考。

Using the constituent stocks of the FTSE4Good TIP Taiwan ESG Index as a sample, this study investigates the market reactions to the inclusion in a sustainability index. I further examine if the differences in market reactions are associated with whether firms have positive or negative past sustainability performance, whether their sustainability reports have been assured, and whether they have adopted the Task Force on Climate-related Financial Disclosures (TCFD) in reports. This paper finds positive reactions to the inclusion of stocks in the sustainability index. In addition, companies that issue sustainability reports that are externally assured or adopt the TCFD will have much more positive market reactions. However, less positive market reactions are found if the company has won corporate social responsibility awards or been involved in illegal incidents. This study provides implications for authorities, market investors, and practitioners.

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