อิทธิพลของดัชนีความยั่งยืนดาวโจนส์ ดัชนี MSCI ดัชนีความผันผวน มูลค่าการซื้อขายสุทธิของนักลงทุนต่างประเทศ และปัจจัยเศรษฐกิจมหภาค ที่มีต่อดัชนีหุ้นยั่งยืน SET ESG ของตลาดหลักทรัพย์แห่งประเทศไทย และดัชนี FTSE4Good Bursa Malaysia ของตลาดหลักทรัพย์มาเลเซีย

Natrada Sakulsuraekkapong; Pornwan Nunthaphad

Authors

Natrada Sakulsuraekkapong Department of Finance, Faculty of Business Administration, Kasetsart University
Pornwan Nunthaphad Department of Finance, Faculty of Business Administration, Kasetsart University

Keywords:

Dow Jones Sustainability Index, MSCI Index, Volatility Index (VIX), Sustainable Stock Indices of Thailand (SET ESG), Sustainable Stock Indices of Malaysia (FTSE4Good Bursa Malaysia)

Abstract

This study aims to examine the influence of the Dow Jones Sustainability Index, MSCI Index, Volatility Index, net foreign investor trading value, and macroeconomic factors on the SET ESG Index of the Stock Exchange of Thailand and the FTSE4Good Bursa Malaysia Index of Bursa Malaysia. The independent variables include the Dow Jones Sustainability Index, MSCI Index, Volatility Index, net foreign investor trading value, and macroeconomic factors, including exchange rates and crude oil prices. The study uses secondary data collected daily over a five-years period, from January 1, 2020, to December 31, 2024 and use the multiple linear regression for analysis.

The study found that the Dow Jones Sustainability Index is positively correlated with the FTSE4Good Bursa Malaysia Index of Bursa Malaysia. The MSCI Index is positively correlated with both the SET ESG Index of the Stock Exchange of Thailand and the FTSE4Good Bursa Malaysia Index of Bursa Malaysia. The Volatility Index and crude oil prices are positively correlated with the SET ESG Index of the Stock Exchange of Thailand. Net foreign investor trading value is positively correlated with the FTSE4Good Bursa Malaysia Index of Bursa Malaysia. The exchange rate is negatively correlated with the SET ESG Index of the Stock Exchange of Thailand, while it is positively correlated with the FTSE4Good Bursa Malaysia Index of Bursa Malaysia. However, the Dow Jones Sustainability Index and net foreign investor trading value have no significant correlation with the SET ESG Index of the Stock Exchange of Thailand. Similarly, the Volatility Index and crude oil prices show no significant correlation with the FTSE4Good Bursa Malaysia Index of Bursa Malaysia.

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