The Dow Jones sustainability world index inclusion: Is this a good news for the listed companies in the Stock Exchange of Thailand?

Name: Nutnarong Chinkulkijniwat

keyword: Event study

; Index addition

; Corporate sustainability

; Thailand

; Dow Jones sustainability indices (DJSI)

; Emerging market

Abstract: We examine the impact of the Dow Jones Sustainability World and Emerging Market Index on the returns, liquidity, and risk of stocks of listed companies on The Stock Exchange of Thailand from 2012 to 2020. The downward sloping demand curve hypothesis, the price pressure hypothesis, the information cost hypothesis, the signaling hypothesis, the sustainability taste hypothesis, and the sustainability redundancy hypothesis are all tested using an event study technique. We discover that index addition stocks result in a significant increase in the Dow Jones Sustainability World Index's performance. On the other hand, we cannot detect anything statistically significant in the Dow Jones Sustainability Emerging Markets Index return. This demonstrates that sustainability is a concern for Thai investors when it comes to large capital stocks

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Wasin Siwasarit

Role: advisor

Created: 2021

Modified: 2023-05-02

Issued: 2023-05-02

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2021.725

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

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