IDEAS home Printed from https://ideas.repec.org/a/eco/journ2/2022-04-21.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijeep/article/download/13212/6832
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijeep/article/view/13212
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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).
    2. Hanan Ahmad Al-Qudah, 2020. "The Impact of Financial Performance of Stock Prices of Jordanian Islamic Banks (During Period from 2010 to 2018)," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 228-234.
    3. Dominique Diouf & Tessa Hebb & El Hadji Touré, 2016. "Exploring Factors that Influence Social Retail Investors’ Decisions: Evidence from Desjardins Fund," Journal of Business Ethics, Springer, vol. 134(1), pages 45-67, March.
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. 14(8), pages 166-180, June.
    2. repec:fst:rfsisf:v:8:y:2023:i:special-june_2023:p:166-180 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Endri Endri & M. Iqbal Rasyid Supeni & Yanti Budiasih & Matdio Siahaan & A. Razak & Sudjono Sudjono, 2021. "Oil Price and Leverage for Mining Sector Companies in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 24-30.
    2. Imangulu Muradzada & Nurkhodza Akbulev, 2023. "Empirical Analysis of the Relationship between Basic Energy Sources and the Tourism Sector Index," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 513-521, July.
    3. Jayson Beckman & Getachew Nigatu, 2021. "Do Political Factors Influence U.S. Crude Oil Imports?," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 288-297.
    4. Tim Friedhoff & Cam-Duc Au & Philippe Krahnhof, 2023. "Analysis of the Impact of Orthogonalized Brent Oil Price Shocks on the Returns of Dependent Industries in Times of the Russian War," MUNI ECON Working Papers 2023-04, Masaryk University.
    5. Ciciretti, Rocco & Dalò, Ambrogio & Dam, Lammertjan, 2023. "The contributions of betas versus characteristics to the ESG premium," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 104-124.
    6. Anthony Piscitelli, 2023. "Classifying responsible investors: Identifying clusters of Ontario investors," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 94(4), pages 1133-1144, December.
    7. Xiaojia Zhang & Li Ma & Miao Zhang, 2024. "Investor Perception of ESG Performance: Examining Investment Intentions in the Chinese Stock Market with Social Self-Efficacy Moderation," JRFM, MDPI, vol. 17(4), pages 1-26, April.
    8. Marobhe, Mutaju Isaack & Kansheba, Jonathan Mukiza, 2024. "Airlines and climate policy uncertainty: Are the sector's stocks soaring or stalling?," Journal of Air Transport Management, Elsevier, vol. 115(C).
    9. Neeraj Singhal & Pinku Paul & Sunil Giri & Shallini Taneja, 2024. "Corporate Social Responsibility: Impact on Firm Performance for an Emerging Economy," JRFM, MDPI, vol. 17(4), pages 1-17, April.
    10. Seifert, Marcel & Spitzer, Florian & Haeckl, Simone & Gaudeul, Alexia & Kirchler, Erich & Palan, Stefan & Gangl, Katharina, 2024. "Can information provision and preference elicitation promote ESG investments? Evidence from a large, incentivized online experiment," Journal of Banking & Finance, Elsevier, vol. 161(C).
    11. Rodrigo Zeidan, 2022. "Why don't asset managers accelerate ESG investing? A sentiment analysis based on 13,000 messages from finance professionals," Business Strategy and the Environment, Wiley Blackwell, vol. 31(7), pages 3028-3039, November.
    12. Dan Daugaard, 2020. "Emerging new themes in environmental, social and governance investing: a systematic literature review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1501-1530, June.
    13. Yaghoub Abdi & Xiaoni Li & Xavier Càmara-Turull, 2023. "Firm value in the airline industry: perspectives on the impact of sustainability and Covid-19," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-24, December.
    14. Cantarella, Simona & Hillenbrand, Carola & Brooks, Chris, 2023. "Do you follow your head or your heart? The simultaneous impact of framing effects and incidental emotions on investment decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 107(C).
    15. Luluk Widyawati, 2020. "A systematic literature review of socially responsible investment and environmental social governance metrics," Business Strategy and the Environment, Wiley Blackwell, vol. 29(2), pages 619-637, February.
    16. Wang, Xiaoran & Ibrahim, Haslindar, 2024. "Unveiling the effects of mineral markets, fintech and governance on business performance: Evidence from China," Resources Policy, Elsevier, vol. 91(C).
    17. Kristin Heinemann & Bernhard Zwergel & Stefan Gold & Stefan Seuring & Christian Klein, 2018. "Exploring the Supply-Demand-Discrepancy of Sustainable Financial Products in Germany from a Financial Advisor’s Point of View," Sustainability, MDPI, vol. 10(4), pages 1-20, March.
    18. Ma, Xuejiao & Che, Tianqi & Sun, Xiaohua, 2024. "A carbon information disclosure perspective on carbon premium: Evidence from China," Journal of Business Research, Elsevier, vol. 173(C).
    19. Liang, Ruibin & Cheng, Sheng & Cao, Yan & Li, Xinran, 2024. "Multi-scale impacts of oil shocks on travel and leisure stocks: A MODWT-Bayesian TVP model with shrinkage approach," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    20. Sayema Sultana & Norhayah Zulkifli & Dalilawati Zainal, 2018. "Environmental, Social and Governance (ESG) and Investment Decision in Bangladesh," Sustainability, MDPI, vol. 10(6), pages 1-19, June.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ2:2022-04-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.