Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets
Abstract
:1. Introduction
2. Literature Review
3. Data and Research Method
3.1. Data
3.2. Research Method
4. Results and Discussion
4.1. Dynamic Conditional Correlation Analysis
4.2. Hedge and Safe-Haven Analysis
4.3. Granger Causality Test
5. Conclusions and Future Directions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
Appendix A
Lags | Loglikelihood | LR | AIC | SIC | HQC |
---|---|---|---|---|---|
0 | 54,399.880 | NA | −90.794 | −90.735 * | −90.772 * |
1 | 54,645.070 | 484.251 | −90.877 * | −89.985 | −90.541 |
2 | 54,818.100 | 337.682 | −90.838 | −89.114 | −90.189 |
3 | 54,994.470 | 340.077 | −90.805 | −88.249 | −89.842 |
4 | 55,148.490 | 293.389 | −90.735 | −87.346 | −89.459 |
5 | 55,316.850 | 316.763 | −90.689 | −86.467 | −89.099 |
6 | 55,484.260 | 311.049 | −90.642 | −85.587 | −88.737 |
7 | 55,633.830 | 274.435 | −90.564 | −84.677 | −88.346 |
8 | 55,775.100 | 255.878 | −90.473 | −83.753 | −87.941 |
Variables | Mean Equation | Variance Equation | Diagnostic Test | |||
---|---|---|---|---|---|---|
Q2(5) | Q2(10) | |||||
THSI | −1.26 × 10−5 | 2.88 × 10−6 a | 0.109 a | 0.865 a | 8.499 [0.131] | 11.477 [0.386] |
AGRO | −3.01 × 10−5 | 2.61 × 10−6 a | 0.092 a | 0.884 a | 4.238 [0.516] | 7.962 [0.633] |
CONS | −7.93 × 10−4 a | 2.02 × 10−7 c | 0.053 a | 0.950 a | 9.548 [0.089] | 9.860 [0.453] |
FIN | −1.66 × 10−4 | 1.27 × 10−6 a | 0.085 a | 0.912 a | 4.213 [0.519] | 7.263 [0.700] |
IND | −5.10 × 10−4 | 2.64 × 10−6 a | 0.070 a | 0.917 a | 5.231 [0.388] | 14.207 [0.164] |
PRO | −1.65 × 10−4 | 1.61 × 10−6 a | 0.083 a | 0.901 a | 7.464 [0.188] | 9.247 [0.509] |
RES | −4.16 × 10−5 | 3.23 × 10−6 a | 0.102 a | 0.881 a | 2.840 [0.725] | 16.180 [0.104] |
SER | 4.32 × 10−5 | 2.57 × 10−6 a | 0.086 a | 0.888 a | 3.176 [0.673] | 4.822 [0.903] |
TECH | 4.25 × 10−4 | 1.30 × 10−5 a | 0.173 a | 0.783 a | 4.244 [0.515] | 10.668 [0.384] |
SPCE | 8.62 × 10−4 b | 2.90 × 10−6 a | 0.116 a | 0.883 a | 1.684 [0.891] | 5.513 [0.854] |
Gold | 2.01 × 10−4 | 5.31 × 10−6 a | 0.097 a | 0.844 a | 0.653 [0.985] | 10.709 [0.381] |
Oil | 1.24 × 10−3 b | 4.72 × 10−5 a | 0.254 a | 0.740 a | 1.506 [0.912] | 6.046 [0.811] |
BTC | 1.61 × 10−3 | 3.13 × 10−4 a | 0.144 a | 0.722 a | 9.100 [0.105] | 10.487 [0.399] |
THB | −2.41 × 10−6 | 9.87 × 10−8 b | 0.041 a | 0.953 a | 8.858 [0.115] | 11.262 [0.337] |
1 | Based on S&P Goldman Sachs commodity index (GSCI) returns at the end of 2021 compared to the end of 2022. |
2 | Based on S&P 500 ESG index returns at the end of 2021 compared to the end of 2022. |
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Variables | Symbol | Definition |
---|---|---|
Thailand sustainability investment | THSI | Thailand sustainability investment index |
Thailand’s stock market | AGRO | Agro and food industry stocks: Agro and food industry group index |
CONS | Consumer products stocks: Consumer products group index | |
FIN | Financials stocks: Financials group index | |
IND | Industrials stocks: Industrials group index | |
PRO | Property and construction stocks: Property and construction group index | |
RES | Resources stocks: Resources group index | |
SER | Services stocks: Services group index | |
TECH | Technology stocks: Technology group index | |
Financial assets | SPCE | Clean energy: S&P Global clean energy index |
Gold | Gold: Gold price (USD per ounce) | |
Oil | Crude oil: West Texas intermediate crude oil price (USD per barrel) | |
BTC | Bitcoin: Bitcoin price (USD) | |
THB | Thai baht: Exchange rate (1 Thai baht to US dollars) |
Variables | Average (%) | S.D. (%) | Max (%) | Min (%) | Skewness | Kurtosis | J-B | ADF | PP | ARCH (5) | Corr-THSI |
---|---|---|---|---|---|---|---|---|---|---|---|
THSI | −0.003 | 1.194 | 8.479 | −12.322 | −1.733 | 26.688 | 28,800 a | −8.647 a | −37.070 a | 176.441 a | 1.000 |
AGRO | 0.000 | 1.088 | 5.744 | −12.248 | −2.055 | 23.649 | 22,274 a | −37.125 a | −37.039 a | 132.408 a | 0.825 a |
CONS | −0.062 | 1.166 | 7.404 | −14.344 | −1.432 | 25.943 | 26,863 a | −33.115 a | −33.098 a | 22.594 a | 0.297 a |
FIN | −0.017 | 1.352 | 8.489 | −12.156 | −1.191 | 18.309 | 12,062 a | −12.450 a | −35.469 a | 124.197 a | 0.852 a |
IND | −0.035 | 1.453 | 8.571 | −14.817 | −1.465 | 18.999 | 13,293 a | −12.881 a | −35.830 a | 178.127 a | 0.809 a |
PRO | −0.020 | 1.032 | 6.430 | −11.910 | −2.179 | 30.588 | 39,199 a | −34.760 a | −35.087 a | 126.927 a | 0.887 a |
RES | −0.010 | 1.435 | 11.782 | −17.470 | −1.843 | 34.273 | 49,826 a | −13.479 a | −36.324 a | 157.477 a | 0.894 a |
SER | −0.005 | 1.092 | 8.037 | −10.818 | −0.856 | 22.650 | 19,549 a | −37.567 a | −37.463 a | 109.332 a | 0.882 a |
TECH | 0.045 | 1.593 | 10.244 | −8.858 | 0.138 | 9.829 | 2347.0 a | −35.276 a | −35.384 a | 185.610 a | 0.587 a |
SPCE | 0.061 | 1.858 | 11.033 | −12.497 | −0.356 | 9.683 | 2270.0 a | −31.456 a | −31.646 a | 249.771 a | 0.365 a |
Gold | 0.036 | 0.940 | 4.297 | −5.898 | −0.333 | 6.287 | 565.101 a | −34.077 a | −34.134 a | 59.249 a | 0.022 |
Oil | −0.004 | 3.559 | 40.352 | −41.765 | −1.766 | 48.214 | 103,353 a | −30.003 a | −30.321 a | 161.406 a | 0.092 a |
BTC | 0.127 | 4.555 | 20.079 | −49.728 | −1.205 | 17.253 | 10,500 a | −35.952 a | −35.940 a | 17.211 a | 0.155 a |
THB | −0.005 | 0.402 | 1.835 | −1.726 | 0.042 | 4.637 | 134.945 a | −33.592 a | −34.233 a | 77.651 a | 0.184 a |
Variables | AGRO | CONS | FIN | IND | PRO | RES | SER | TECH | SPCE | Gold | Oil | BTC | THB |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Average DCC | 0.754 | 0.370 | 0.799 | 0.737 | 0.833 | 0.840 | 0.829 | 0.588 | 0.275 | 0.003 | 0.127 | 0.093 | 0.203 |
0.025 a | 0.039 a | 0.032 c | 0.028 a | 0.099 a | 0.048 a | 0.018 a | 0.044 b | 0.004 | 0.009 c | 0.003 | 0.023 | 0.018 b | |
0.955 a | 0.946 a | 0.906 a | 0.941 a | 0.589 a | 0.832 a | 0.959 a | 0.927 a | 0.971 a | 0.941 a | 0.916 a | 0.793 a | 0.963 a |
Variables | Safe-Haven | |||
---|---|---|---|---|
AGRO | 0.753 a | 0.005 | 0.010 | 0.046 a |
CONS | 0.373 a | 0.002 | −0.044 | −0.073 |
FIN | 0.798 a | 0.003 | 0.015 a | 0.052 a |
IND | 0.734 a | 0.009 | 0.025 a | 0.067 a |
PRO | 0.833 a | 0.003 | 0.005 | 0.029 a |
RES | 0.839 a | −0.005 | 0.003 | 0.017 c |
SER | 0.828 a | 0.001 | 0.009 b | 0.025 a |
TECH | 0.589 a | −0.005 | −0.008 | 0.047 c |
SPCE | 0.274 a | 0.001 | −0.001 | 0.022 a |
Gold | 0.002 b | −0.000 | 0.006 | 0.015 c |
Oil | 0.127 a | −0.001 | 0.001 | 0.016 a |
BTC | 0.092 a | 0.000 | 0.006 | 0.013 |
THB | 0.201 a | 0.015 | 0.017 | 0.013 |
Variables | COVID-19 | Russia–Ukraine War | ||
---|---|---|---|---|
AGRO | 0.757 a | −0.008 a | 0.748 a | 0.020 a |
CONS | 0.444 a | −0.181 a | 0.332 a | 0.140 a |
FIN | 0.792 a | 0.017 a | 0.802 a | −0.011 a |
IND | 0.744 a | −0.018 a | 0.739 a | −0.010 a |
PRO | 0.834 a | −0.001 | 0.832 a | 0.004 c |
RES | 0.838 a | 0.003 | 0.842 a | −0.010 a |
SER | 0.824 a | 0.011 a | 0.829 a | 0.002 |
TECH | 0.586 a | 0.007 | 0.606 a | −0.065 a |
SPCE | 0.269 a | 0.013 a | 0.278 a | −0.013 a |
Gold | 0.000 | 0.007 a | 0.000 | 0.010 a |
Oil | 0.124 a | 0.006 a | 0.128 a | −0.005 a |
BTC | 0.091 a | 0.004 | 0.091 a | 0.007 b |
THB | 0.183 a | 0.047 a | 0.195 a | 0.029 a |
Variables | AGRO | CONS | FIN | IND | PRO | RES | SER | TECH | SPCE | Gold | Oil | BTC | THB |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
b | a | b | |||||||||||
b | c | b | a | a | b |
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Nittayakamolphun, P.; Bunnun, W.; Phong-a-ran, N.; Uttarin, R.; Pholkerd, P. Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets. Int. J. Financial Stud. 2025, 13, 71. https://doi.org/10.3390/ijfs13020071
Nittayakamolphun P, Bunnun W, Phong-a-ran N, Uttarin R, Pholkerd P. Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets. International Journal of Financial Studies. 2025; 13(2):71. https://doi.org/10.3390/ijfs13020071
Chicago/Turabian StyleNittayakamolphun, Pitipat, Wiwatwong Bunnun, Nathaporn Phong-a-ran, Raweepan Uttarin, and Panjamapon Pholkerd. 2025. "Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets" International Journal of Financial Studies 13, no. 2: 71. https://doi.org/10.3390/ijfs13020071
APA StyleNittayakamolphun, P., Bunnun, W., Phong-a-ran, N., Uttarin, R., & Pholkerd, P. (2025). Thailand Sustainability Investment Performance on Thailand’s Stock Market and Financial Assets. International Journal of Financial Studies, 13(2), 71. https://doi.org/10.3390/ijfs13020071