Esg Performance Impacting on Systematic Risk of the Listed Companies on the Stock Exchange of Thailand

Abstract

Purpose – The research aims to examine the effect of the performance of environmental, social, and corporate governance (ESG) on the systematic risk of the listed companies on the Stock Exchange of Thailand (SET).Methodology – The sample data included 158 listed companies on the SET in 2022. Collected annual data were retrieved from financial statements and the stock exchange database system (SETSMART). The statistics used for analysis were descriptive statistics and inference statistics. Descriptive statistics included mean, standard deviation, maximum, and minimum, while inference statistics included correlation analysis and multiple regression analysis. Results – The research results found that the mean of ESG performance in terms of ESG book and Refinitiv were quite equal at 54.25 and 53.49, respectively. The ESG performance in terms of the ESG book provided a negative relationship with systematic risks at the statistically significant.05 level, while the ESG performance in terms of Refinitiv showed no significant relationship with systematic risks. Interestingly, only the listed companies in the technology sector showed a positive relationship with systematic risks at a.01 statistically significant level.Implications – The critical role of corporate ESG information is to assess a company’s long-term performance for sustainable growth. Therefore, the stock exchange of Thailand must provide knowledge about ESG indices to listed companies and investors to achieve sustainability for both business organizations and investors.Originality/Value – This empirical study contributes as a specification model to explain how ESG performance impacts systematic risk. Additionally, the different ESG indices provide different results. This implies that a deep understanding of the ESG indices is necessary for listed companies and investors.