The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia
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. Furthermor...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2022-07-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/13212 |
| _version_ | 1797908591186804736 |
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| author | Yanuar Trisnowati Noer A. Achsani Roy Sembel Trias Andati |
| author_facet | Yanuar Trisnowati Noer A. Achsani Roy Sembel Trias Andati |
| author_sort | Yanuar Trisnowati |
| collection | DOAJ |
| description |
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.
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| first_indexed | 2024-04-10T10:55:03Z |
| format | Article |
| id | doaj.art-286f774fcce2418a8f97c1442a6c8c24 |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-04-10T10:55:03Z |
| publishDate | 2022-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-286f774fcce2418a8f97c1442a6c8c242023-02-15T16:19:59ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532022-07-0112410.32479/ijeep.13212The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in IndonesiaYanuar Trisnowati0Noer A. Achsani1Roy Sembel2Trias Andati3IPB University, Bogor, Indonesia,School of Business, IPB University, Bogor, Indonesia,3IPMI Business School, Jakarta, IndonesiaSchool of Business, IPB University, Bogor, Indonesia, 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. https://econjournals.com/index.php/ijeep/article/view/13212ESG ScoreFinancial PerformanceIndonesiaMacroeconomicsPandemics |
| spellingShingle | Yanuar Trisnowati Noer A. Achsani Roy Sembel Trias Andati 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 ESG Score Financial Performance Indonesia Macroeconomics Pandemics |
| title | The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia |
| title_full | The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia |
| title_fullStr | The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia |
| title_full_unstemmed | The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia |
| title_short | The Effect of ESG Score, Financial Performance, and Macroeconomics on Stock Returns during the Pandemic Era in Indonesia |
| title_sort | effect of esg score financial performance and macroeconomics on stock returns during the pandemic era in indonesia |
| topic | ESG Score Financial Performance Indonesia Macroeconomics Pandemics |
| url | https://econjournals.com/index.php/ijeep/article/view/13212 |
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