IDEAS home Printed from https://ideas.repec.org/a/gam/jijfss/v13y2025i2p71-d1647451.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7072/13/2/71/pdf
    Download Restriction: no

    File URL: https://www.mdpi.com/2227-7072/13/2/71/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    2. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    3. Singh, Amanjot, 2020. "COVID-19 and safer investment bets," Finance Research Letters, Elsevier, vol. 36(C).
    4. Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
    5. Wiwatwong Bunnun & Nongnit Chancharat, 2023. "The mediating role of dividend policy in the relationship between ownership structure and firm performance of Thai listed companies," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 17(3/4), pages 340-347.
    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).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    2. Pedini, Luca & Severini, Sabrina, 2022. "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper 112339, University Library of Munich, Germany.
    3. Hampl, Filip & Vágnerová Linnertová, Dagmar & Horváth, Matúš, 2024. "Crypto havens during war times? Evidence from the Russian invasion of Ukraine," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    4. P. S. Niveditha, 2025. "Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 313-335, January.
    5. Al-Nassar, Nassar S. & Boubaker, Sabri & Chaibi, Anis & Makram, Beljid, 2023. "In search of hedges and safe havens during the COVID─19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 318-332.
    6. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
    7. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
    8. Bo, Congcong & Shen, Dehua, 2023. "The road less travelled: GameFi as a hedge or a safe haven for international indices," Finance Research Letters, Elsevier, vol. 57(C).
    9. Yousaf, Imran & Suleman, Muhammad Tahir & Demirer, Riza, 2022. "Green investments: A luxury good or a financial necessity?," Energy Economics, Elsevier, vol. 105(C).
    10. Munir Khamis & Dalal Aassouli, 2023. "The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review," Sustainability, MDPI, vol. 15(8), pages 1-27, April.
    11. Peng, Xiaofan, 2020. "Do precious metals act as hedges or safe havens for China's financial markets?," Finance Research Letters, Elsevier, vol. 37(C).
    12. Chopra, Monika & Mehta, Chhavi, 2023. "Going green: Do green bonds act as a hedge and safe haven for stock sector risk?," Finance Research Letters, Elsevier, vol. 51(C).
    13. Singh, Amanjot, 2021. "Investigating the dynamic relationship between litigation funding, gold, bitcoin and the stock market: The case of Australia," Economic Modelling, Elsevier, vol. 97(C), pages 45-57.
    14. Xiyong Dong & Seong‐Min Yoon, 2018. "Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China," The World Economy, Wiley Blackwell, vol. 41(10), pages 2783-2803, October.
    15. Saman Adhami & Dominique Guegan, 2020. "Crypto assets: the role of ICO tokens within a well-diversified portfolio," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(2), pages 219-241, June.
    16. Joo, Young C. & Park, Sung Y., 2024. "Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    17. Ali, Fahad & Khurram, Muhammad Usman & Sensoy, Ahmet & Vo, Xuan Vinh, 2024. "Green cryptocurrencies and portfolio diversification in the era of greener paths," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    18. Ren, Boru & Lucey, Brian, 2022. "A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 109(C).
    19. Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022. "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers 202227, University of Pretoria, Department of Economics.
    20. Ali, Fahad & Sensoy, Ahmet & Goodell, John W., 2023. "Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 744-792.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jijfss:v:13:y:2025:i:2:p:71-:d:1647451. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.