Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)


Year (A.D.)


Document Type

Independent Study

First Advisor

Narapong Srivisal


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





The concept of sustainability index has been accepted widely in the global investment context. However, sustainable investments are relatively underexplored in an emerging market as in Thailand. This study analyzes the relationship between corporate sustainability performance (proxy by announcement events of the Stock Exchange of Thailand Sustainability Index SETTHSI) and institutional investors’ awareness toward sustainability investment. An event studies on index announcement are applied to analyze the short-term effect from investors in stock market. The results indicate that there is only weak evidence that inclusion into the sustainability index has a positive impact to cumulative abnormal returns during release-related period, but there is no evidence to support the negative impact for exclusion from the index. Then, we conduct the detailed holding-based analysis of investment decisions made by equity mutual fund managers to investigate ESG recognition and longer-term decisions. The result shows that equity fund managers increase their position in the next two quarters following the announcement of inclusion into the index. Lastly, Tax-incentive feature of Thai mutual fund industry is investigated whether it has an influence toward fund managers investment decisions in sustainability investment. Yet, the outcome implies that tax-incentive feature does not have any influence toward equity fund manager’s allocation decisions.



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