การตอบสนองด้านราคาและปริมาณการซื้อขายของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทยที่ได้รับการประกาศเป็นบริษัทยั่งยืน

Abstract

The environment and investment changes have made Thailand's stock exchange focus on promoting sustainable development in the capital market sector. This is to encourage companies listed to manage their business appropriately in terms of environment, social and governance also known as "ESG". And as a guideline to invest in sustainable companies using the ESG principles. The study examined the reaction of Thai stock exchange companies to prices and trading volumes. The inclusion in and exclusion of four announcement sources are based on the ESG. (The Thailand Sustainable Investment (THSI), The Thaipat ESG100, the Dow Jones Sustainable Index of the DJSI World and the DJSI Emerging Markets) used the method of event study for the period 2015-2019. The result shows that the price and trading volume of the stocks there have been a response to the announcement of the event as a sustainable company. It significantly affected the cumulative average abnormal return during the price in the Pre-AD and AD. The trading volume, there were significant average volume return in Pre-AD, AD and Post-AD. Additionally, a separate study was carried out on each announcement source. The results showed that the announcement source from THIS and Thaipat ESG100 impact on price and trading volumes. This has a significant impact on the Pre-AD and AD periods.