近年來，ESG 已成為企業經營與資本市場評價中重要的非財務資訊。過去研究 多著重於 ESG 與企業財務績效、企業價值或股票報酬之關聯，較少直接探討 ESG 是 否會反映於企業系統性風險。因此，本研究以台灣上市櫃公司為研究對象，探討 ESG 評級與 Beta 值之關聯，並進一步檢驗該關係是否會因市場波動狀態不同而呈 現非線性差異。
本研究樣本期間為 2014 年至 2024 年，排除金融保險業、ESG 評級缺值及主 要財務變數缺漏樣本後，最終樣本包含 1,793 家公司、16,816 筆公司年度觀察值。 本文以 Beta 作為應變數，TESG 評分作為主要解釋變數，並納入公司規模、財務槓 桿、ROA、市價淨值比、現金比率與研發支出比率等控制變數。實證方法上，本文先 採用線性面板迴歸模型，並進一步建構面板平滑轉換迴歸模型(PSTR)，以標準化 後之年度市場波動率作為轉換變數，檢驗 ESG 與 Beta 關係是否具有市場情境依賴 性。同時，本文亦將 ESG 拆解為環境、社會與治理三構面進行分析。
實證結果顯示，線性模型中 TESG 係數雖為負，但未達統計顯著水準，表示整 體 ESG 評級與 Beta 之平均線性關係尚未獲得充分支持。然而，在平滑轉換模型中， TESG 於低市場波動狀態下與 Beta 呈顯著負向關係，且隨著市場波動上升，其負向 效果逐漸減弱。進一步觀察 ESG 三構面，線性模型結果顯示僅治理構面與 Beta 呈 顯著負向關係;而平滑轉換模型則顯示，環境、社會與治理三構面在低波動狀態下 皆與 Beta 呈顯著負向關係，且其效果同樣會隨市場波動上升而減弱。
整體而言，本研究發現 ESG 與企業系統性風險之關係並非單純線性，而具有市 場情境依賴性。若僅觀察平均線性效果，可能無法完整捕捉 ESG 評級與 Beta 之間 的關聯。本文之實證結果可補充台灣市場中 ESG 與企業系統性風險關係之在地實證 證據。

This study examines the relationship between ESG ratings and firms’ systematic risk in the Taiwanese stock market. Using listed and over-the-counter firms in Taiwan from 2014 to 2024, the final sample consists of 1,793 firms and 16,816 firm-year observations. Beta is used as the dependent variable, while TESG score is the main explanatory variable. This study first applies a linear panel regression model and then uses a Panel Smooth Transition Regression model to examine whether the relationship between ESG and Beta depends on market volatility. The empirical results show that TESG is negatively but insignificantly related to Beta in the linear model. However, the nonlinear model shows that TESG is significantly and negatively associated with Beta under low market volatility, while this negative effect weakens as market volatility increases. Further analysis of ESG components shows that only the governance dimension is significantly negative in the linear model, whereas environmental, social, and governance dimensions are all negatively related to Beta under low-volatility conditions in the nonlinear model. Overall, the findings suggest that the relationship between ESG performance and systematic risk is not purely linear, but depends on market conditions. This study provides empirical evidence from Taiwan and highlights the importance of considering market volatility when evaluating the risk implications of ESG performance.

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