한국생산성학회

ESG activities, which have a significant impact on an firm’s sustainability and corporate value, have received much attention from domestic and foreign investors. Due to their importance, a relationship between ESG activities and corporate value has become an interesting research topic. In this study, the focus of sustainability is on inclusion and exclusion of constituents in the KOSPI 200 ESG Index. In other words, existing studies involving changes in existing indices have focused primarily on indices representing the country's stock market, but this study focuses on ESG indices, which are highly relevant to sustainability in testing the hypotheses of existing studies. The results of this study are as follows. First, information incorporated into the ESG index is accepted as a positive signal in the short term, and information excluded is recognized negatively. Therefore, in the short term, it was confirmed that the incorporated companies were much higher than the excluded companies in the CAR. Second, both added and excluded companies saw their stock prices fall after the index change date. In other words, the price pressure hypothesis was supported. Third, the short-term rise in share prices is accompanied by a relatively high excess volume compared to the trading volume in the overall market, and it is also accompanied by a relatively high rate of change in volume relative to other periods. So, the short-term rise in stock prices, the rise in stock prices caused by increasing liquidity, can be interpreted as supporting the liquidity hypothesis. Fourth, to test the investor awareness hypothesis, this study compares the shadow costs of incorporated and excluded shares with the number of shareholders. Results for incorporated shares show that shadow costs are reduced and that the number of shareholders increases. So, these results are consistent with the investor awareness hypothesis that the event of index additions causes investors to raise their share prices by reducing shadow costs. Fifth, in a regression analysis to investigate the relationship with variables affecting CAR caused by information on the inclusion of the ESG index, the excess volume and the rate of change in volume, respectively, have a positive(+) effect on the CAR for the shares incorporated. This can be seen as an additional support for the liquidity hypothesis. In conclusion, information on the inclusion of the KOSPI 200 ESG index has had a positive impact on investors, along with an increase in transaction volume within the event period, leading to a rise in stock prices, but the increase is minimal. This can be interpreted as not being very meaningful information for investors, as opposed to financial performance, such as productivity and profitability. The differentiation of this study is that information on the inclusion and exclusion of the KOSPI 200 ESG Index is used to test index change effects. This study has a limitation of measuring index change effects as a short-term stock price response, and this study plans to conduct further studies on the long-term performance of stock prices and their relevance to financial performance, such as productivity and profitability.