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The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia

Author

Listed:
  • Yanuar Trisnowati

    (IPB University, Bogor, Indonesia,)

  • Noer A. Achsani

    (School of Business, IPB University, Bogor, Indonesia,)

  • Roy Sembel

    (3IPMI Business School, Jakarta, Indonesia)

  • Trias Andati

    (School of Business, IPB University, Bogor, Indonesia,)

Abstract

This study analyzed the effect of ESG Score, financial performance, and macroeconomic variables on stock returns by using the Covid-19 pandemic period in Indonesia as a dummy variable. The sample was 26 companies listed on the Sri-Kehati and IDX ESG Leaders indexes between 2015 and 2020. Furthermore, the stepwise regression method was used, and the secondary data used were sourced from financial reports and Indonesian macroeconomic data. The first step results showed Debt to Equity Ratio has a positive and significant effect on stock returns, while the ESG Score, Return on Assets, and Firm Size do not have an effect. The results of the second step showed the model is simultaneously not feasible and the macroeconomic variables need to be removed. Therefore, it was concluded that a good model is one with ESG Score and financial performance variables that affect stock return, while macroeconomic variables need to be excluded from the model.

Suggested Citation

  • Yanuar Trisnowati & Noer A. Achsani & Roy Sembel & Trias Andati, 2022. "The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 166-172, July.
    • Handle: RePEc:eco:journ2:2022-04-21
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    References listed on IDEAS

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    3. Mollick, André Varella & Amin, Md Ruhul, 2021. "Occupancy, oil prices, and stock returns: Evidence from the U.S. airline industry," Journal of Air Transport Management, Elsevier, vol. 91(C).
    4. Endri Endri & Muhamad Rinaldi & Dini Arifian & Bungaran Saing & Aminudin Aminudin, 2021. "Oil Price and Stock Return: Evidence of Mining Companies in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 110-114.
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    Cited by:

    1. Ștefan Rusu & Marcel Ioan Boloș & Marius Leordeanu, 2023. "K-means and agglomerative hierarchical clustering analysis of esg scores, yearly variations, and stock returns: insights from the energy sector in Europe and the United States," Journal of Financial Studies, Institute of Financial Studies, vol. 8(Special-J), pages 166-180, June.

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    More about this item

    Keywords

    ESG Score; Financial Performance; Indonesia; Macroeconomics; Pandemics;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • G3 - Financial Economics - - Corporate Finance and Governance
    • Q51 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Valuation of Environmental Effects

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