Impact of China and US exposure and ESG channels: when Thailand’s stock market meets COVID-19

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. To look into ESG factors, this study uses the data of companies listed in the ESG100 by Thaipat as 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, we examine abnormal returns from May to December 2020. We also examine how cumulative abnormal returns related to ESG and China and US exposure using cross-sectional analysis.We find that 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. By contrast, no relationship exists between US exposure and cumulative abnormal returns during the COVID-19 pandemic period.