Impact of China and US Exposure and ESG Channels: When Thailand Stock Market Meets COVID-19
คำสำคัญ:
COVID-19, Event study, Thai stock market, ESG, International exposureบทคัดย่อ
This study investigates the factors that affected the Thai stock market during the COVID-19 outbreak. It explores the effects of ESG and China and US exposure to the returns of the Thailand’s stock market. This study employes the data of listed companies in the ESG100 by Thaipat as the sample. For China and US exposure, the sample includes data gathered by companies with offices, branches, and subsidiaries in China and the US. Through an event study, The data includes abnormal returns from May to December 2020. The study examines how cumulative abnormal returns related to ESG and China and US exposure using cross-sectional analysis. The result reveals that there is no relationship between ESG and cumulative abnormal returns during the COVID-19 pandemic period. The empirical result shows that a firm with China exposure in the first wave has positive abnormal returns when the COVID-19 situation is getting better in China. However, there is no relationship between US exposure and cumulative abnormal returns during the COVID-19 pandemic period.
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