Bhannawat Wanganusorn

Type of the article: Research Article

Abstract
Thailand’s green bond market is expanding but remains less developed than in advanced economies, raising questions about issuance patterns and whether return–risk conditions support broader market growth. This study aims to analyze issuance dynamics in Thailand’s green bond market, evaluate return and risk performance, assess the relationship between return, risk, and issuance volume, and classify green bonds based on their risk characteristics. The sample included 62 green bonds registered with the Thai Bond Market Association (ThaiBMA) during 2019–2025. Descriptive statistics are used to summarize issuance and performance indicators; return measures include current yield, yield to maturity, holding period return, and annual percentage rate; risk is assessed using seven variables capturing default, liquidity, interest rate, inflation, and reinvestment risks, and hierarchical clustering is applied to classify bonds by risk level. Results show that private-sector issuers dominate the market, accounting for 79% of outstanding green bond value (103.216 billion baht), followed by state-owned enterprises (12%) and foreign issuers (9%). Current yield ranges from 1.62% to 5.55% (mean 3.40%), while yield to maturity ranges from 1.75% to 8.86% (mean 3.20%). Credit spreads range from 0.41% to 3.49% (mean 1.46%), and duration ranges from 0.019 to 10.07 years (mean 3.35), indicating generally moderate risk conditions. SEM analysis further reveals a significant positive relationship between risk and return, while issuance volume is not significantly related to either factor. Cluster analysis identifies four distinct risk groups – low, medium, high, and highest – offering a practical risk classification for investors and policymakers to support sustainable finance development in Thailand.