The Effect of ESG Practices on Portfolio Efficiency in Thailand’s Transportation and Logistics Sector
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This research investigates the relationship between Thailand’s stock market performance and the transportation sector’s adherence to environmental, social, and governance (ESG) conditions. In this study, the optimum portfolios were compared from 2020–2024 using historical data and the Capital Asset Pricing Model (CAPM) theory. The results suggest that ESG stocks play an important role in financial performance. On average, ESG stock prices are higher than those of non-ESG stocks. In addition, based on standard deviation, ESG stocks appear to be less volatile than non-ESG stocks. The findings also indicate that, due to the COVID-19 pandemic, stock values declined across all groups during 2020-2021. In the CAPM analysis, the beta coefficients of ESG stocks range revealed that risk was associated with the ranking of 0.7–1.1. Most of these were stocks exhibiting returns close to the market benchmark with less volatility. However, non-ESG stocks had a ranking of beta 0.3–1.3, confirming that they were riskier compared to the market benchmark.
Furthermore, the findings suggest that investing in ESG stocks may improve a portfolio’s risk-return profile compared to non-ESG stocks. Therefore, ESG stocks may have the potential to outperform non-ESG stocks in the context of sustainable investment. In terms of policy implications, investors seeking stable long-term returns in the transportation sector may consider ESG stocks as part of their portfolio strategy. Additionally, companies aiming to enhance credibility with investors should align with SET ESG standards, which link ESG ratings to long-term performance through integration into capital markets.
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