This paper develops a research model based on the feedback of individual stock market investors in Bangladesh regarding Environmental, Social and Governance (ESG) issues. By applying Theory of Planned Behaviour (TPB) and the positivistic paradigm, this study contributes to the literature on ESG adapting the ESG dimensions from the United Nations Global Compact (UNGC) and Thomson Reuters Corporate Responsibility Index (TRCRI). Preliminary findings from Structural Equation Modelling (SEM) analysis indicates that ESG issues influence investment decisions, while governance issues provide the most remarkable influence on respondents' investment decisions, followed by social and environmental issues. The study has important theoretical contributions and vast practical implications for regulators, business organisations, and most importantly, for stock market investors from developing countries. This study indicates investors' preference for ESG and it may proceed towards the formulation of rules and regulations to improve ESG performance of companies, ESG reporting, and the ultimate introduction of ESG index in Bangladesh, which can ensure stable stock markets as well as overall sustainable growth of the country.