本研究以 COVID-19 疫情期間臺灣市場的 ESG ETF 為研究對象，探討永
續投資在極端市場條件下的表現。隨著疫情帶來的市場不確定性加劇，投資者對具備韌性與避險特性的資產配置需求逐漸增加。本研究旨在揭示疫情相關變數（如確診病例數、死亡病例數、疫苗施打數等）與市場控制變數（如波動率指數、利率與能源價格）如何共同影響 ESG ETF 的報酬特徵。
本研究採用分位數迴歸模型，以分析不同類型 ESG ETF 在 COVID-19 疫
情期間之績效異質性。樣本涵蓋三類策略特徵明確的 ESG ETF，分別為：聚焦於公司治理構面之ETF、、涵蓋整 ESG 三構面（環境、社會與治理）之ETF、，以及結合 ESG 篩選與高股息特性之ETF。
實證結果顯示，疫情相關變數對 ESG 投資組合的影響具有顯著性與非對稱
性。在報酬率處於高分位區段時，疫情風險上升（例如確診病例數或死亡病例數增加）與 ESG 報酬率呈負向關聯，顯示市場可能於此情境下降低對風險性資產之配置比例。相對地，在報酬處於低分位區段時，疫情變數則與 ESG 報酬率呈正向關係，可能反映資金在市場低迷期間轉向相對具結構穩定性之資產進行配置。

This study centers on ESG-themed Exchange-Traded Funds （ETFs） within the Taiwanese capital market amid the COVID-19 pandemic, aiming to scrutinize the resilience and relative efficacy of sustainable investments under conditions of acute market stress. The heightened uncertainty introduced by the pandemic has amplified investors’ proclivity toward assets exhibiting defensive characteristics and structural robustness. Accordingly, this inquiry elucidates the interplay between pandemic-related variables—such as confirmed infections, mortality figures, and vaccination uptake—and key market control factors, including volatility indices, interest rates, and energy price dynamics, in shaping the return profiles of ESG ETFs.
Employing a quantile regression framework, this research explores performance heterogeneity across three archetypes of ESG ETFs, each embodying distinct strategic orientations: （1） governance-centric ETFs, （2） comprehensive ESG-integrated ETFs encompassing environmental, social, and governance dimensions, and （3） ESG-screened high dividend-yielding ETFs.
Empirical findings reveal that pandemic-specific variables exert statistically significant and asymmetrical influences on ESG portfolio returns. In upper quantiles of the return distribution, escalating pandemic risk—proxied by surges in case or fatality counts—correlates inversely with ESG returns, suggesting a reallocation away from risk-laden instruments under heightened systemic duress. Conversely, within lower quantiles, these same variables exhibit a positive association with ESG returns, potentially indicating a capital rotation toward structurally resilient assets as market sentiment deteriorates.

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