การตอบสนองของราคาหุ้นต่อการประกาศออกตราสารหนี้ด้านความยั่งยืนในช่วงเริ่มต้น ของตลาด ESG Bond ในประเทศไทย

Abstract

The objective of this research is to examine the stock price response to the announcement and issuance of Environmental, Social, and Governance Bond (ESG Bonds) by companies listed on the Stock Exchange of Thailand (SET) during the period from Q1/2018 to Q2/2024. The study utilizes a sample of 34 cases and applies the Event Study methodology to analyze cumulative average abnormal returns (CAAR) around the announcement and issuance dates. Additionally, the research investigates the impact of fundamental bond characteristics and company structural factors on the stock price response to ESG Bond announcements and issuances, using Multiple Regression analysis. The findings indicate that stock prices exhibit a significantly positive reaction, particularly within the [0, +7] day window following the ESG Bond announcement, with a CAAR of 1.33%. However, specific bond features—such as type, value, maturity, and interest rate—do not have a statistically significant effect on the stock price response. In contrast, company structural factors play a more prominent role: leverage ratio and interest coverage ratio (IC) have significant positive effects, while non-debt tax shields (NDTS) and firm size exert significant negative effects on the stock price response. The findings indicate that in an emerging market’s early ESG bond phase, positive stock market reactions to ESG bond announcements are driven more by issuer financial fundamentals than by ESG bond characteristics.