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Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets

Author

Listed:
  • Pitipat Nittayakamolphun

    (Faculty of Management Sciences, Buriram Rajabhat University, Buriram 31000, Thailand)

  • Wiwatwong Bunnun

    (Faculty of Business Administration and Information Technology, Rajamangala University of Technology Isan, Khon Kaen 40000, Thailand)

  • Nathaporn Phong-a-ran

    (Faculty of Business Administration and Information Technology, Rajamangala University of Technology Isan, Khon Kaen 40000, Thailand)

  • Raweepan Uttarin

    (Faculty of Management Sciences, Buriram Rajabhat University, Buriram 31000, Thailand)

  • Panjamapon Pholkerd

    (Faculty of Management Sciences, Buriram Rajabhat University, Buriram 31000, Thailand)

Abstract

Extreme weather events are the primary driver of environmental, social, and governance (ESG) responsible investment or sustainable stocks, which are gaining popularity worldwide, including in Thailand. Nevertheless, the function of sustainable stocks remains an academic dispute and without satisfactory conclusion for decision-making of Thai investors. Thus, we adopt a dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to examine the influence of Thailand sustainability investment on Thailand’s stock market and financial assets. The result indicates that Thailand sustainability investment lacks hedging functions and is classified as a weak safe-haven for consumer product stocks, bitcoin, and Thai baht. Consequently, Thailand sustainability investment provides a better alternative asset for risk diversification, although volatility is low compared to other financial assets and decreases during crises. Investors are advised to diversify their investment risks by adding Thailand sustainability investment to their portfolios during a bearish market.

Suggested Citation

  • Pitipat Nittayakamolphun & Wiwatwong Bunnun & Nathaporn Phong-a-ran & Raweepan Uttarin & Panjamapon Pholkerd, 2025. "Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets," IJFS, MDPI, vol. 13(2), pages 1-15, May.
    • Handle: RePEc:gam:jijfss:v:13:y:2025:i:2:p:71-:d:1647451
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    References listed on IDEAS

    as
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    6. Ahad, Muhammad & Imran, Zulfiqar Ali & Shahzad, Khurram, 2024. "Safe haven between European ESG and energy sector under Russian-Ukraine war: Role of sustainable investments for portfolio diversification," Energy Economics, Elsevier, vol. 138(C).
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