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

Pitipat Nittayakamolphun, Wiwatwong Bunnun, Nathaporn Phong-a-ran, Raweepan Uttarin and Panjamapon Pholkerd ()
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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

IJFS, 2025, vol. 13, issue 2, 1-15

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.

Keywords: safe-haven; DCC-GARCH; sustainable stocks; financial assets; hedging (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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