Macroeconomic Determinants and Green Assets in Explaining Stock Return Dynamics: Evidence from Indonesia
インドネシアの株式リターンの動態を説明するマクロ経済要因とグリーン資産 (AI 翻訳)
Nurdina Nurdina, Nurkholis Nurkholis, Noval Adib, S. Atmini
🤖 gxceed AI 要約
日本語
インドネシアのESG指数（IDX KEHATI）に上場する企業のデータを用い、金利・インフレ・為替変動がグリーン株リターンに与える影響を分析。グリーン資産がインフレ時のヘッジとして機能することを実証し、持続可能性志向型投資の重要性を提示。
English
This study examines how macroeconomic variables (interest rates, inflation, exchange rates) affect green stock returns in Indonesia using data from 111 firms listed in the ESG Quality 45 Index. It finds that green assets serve as an effective hedge against inflation, supporting the Green Premium Hypothesis and emphasizing the role of green finance in market stability.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
インドネシアを対象とするが、日本のグリーンファイナンスやESG投資の文脈でも、マクロ経済ショックに対するグリーン資産のヘッジ効果は示唆に富む。日本でもESG投資が拡大する中、インフレ環境下でのグリーン株のパフォーマンス理解に貢献。
In the global GX context
While focused on Indonesia, this paper provides empirical evidence on green assets as a hedge against inflation, which is relevant for global green finance literature. It highlights the importance of sustainability-linked investments in portfolio resilience, applicable to markets worldwide including those implementing TCFD/ISSB frameworks.
👥 読者別の含意
🔬研究者:Offers empirical evidence on the inflation-hedging properties of green assets, extending APT with sustainability factors.
🏢実務担当者:Green assets can be strategically used to mitigate inflation risk in equity portfolios.
🏛政策担当者:Support green finance initiatives as they enhance market stability during inflationary periods.
📄 Abstract（原文）
This study examines the effects of macroeconomic variables—interest rates, inflation, and exchange rate fluctuations—on green stock returns in Indonesia, highlighting the moderating role of green assets. Using firm-level data from 111 companies listed in the ESG Quality 45 Index (IDX KEHATI) during 2021–2023, the analysis integrates macroeconomic fundamentals with sustainability-linked financial indicators to capture market sensitivity to economic shocks. The results reveal that interest rates and inflation exert negative and statistically significant effects on green stock returns, while exchange rate fluctuations are insignificant. Green assets, however, enhance market performance and resilience, particularly under inflationary conditions. The positive interaction between inflation and green assets indicates that sustainability-oriented investments serve as an effective hedge against inflation. The model explains approximately 42% of the variation in returns and remains robust across lagged estimations. These findings extend the Arbitrage Pricing Theory by incorporating sustainability-based risk factors grounded in the Fisher Effect and Green Premium Hypothesis, emphasizing the strategic importance of green finance in strengthening market stability and supporting the transition toward a low-carbon economy.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.32479/ijeep.22269first seen 2026-07-01 06:02:32
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