Stock Market Reactions to CSR and Green Policies: A Macro Perspective with Firm-Level Controls
Mohammad Yunies Edward(a*), Eko Nur Fuad (a), Anna Widiastuti (a), Mustain (a), Rizka Nur Maulidia(a)

a) Fakultas Ekonomi dan Bisnis Universitas Islam Nahdlatul Ulama Jepara.
edward[at]unisnu.ac.id

Abstract

In an era of growing focus on sustainability and corporate responsibility, stock markets serve as critical indicators of the impact of environmental policies and corporate social responsibility (CSR). This study aims to analyze stock market reactions to the implementation of CSR and green policies within the context of macroeconomic factors, incorporating firm-level controls such as company size and liquidity. The research addresses the pressing need to understand how these elements influence stock performance, offering valuable insights for investors, regulators, and corporate stakeholders. The study population included publicly traded companies listed on the stock market in Indonesia during the period 2011-2022, with a focus on the manufacturing sector. The sample obtained from 78 companies was selected through the purposive sampling technique. The analysis employed panel data regression models with fixed and random effects approaches to evaluate the relationships between independent variables (CSR and green policies), control variables (company size and liquidity), and the dependent variable (stock returns). This study concludes that commitments to sustainability and green policies not only yield environmental benefits but also enhance corporate market value. These results provide crucial implications for sustainable investment strategies and corporate decision-making.

Keywords: CSR, green policies, macroeconomics, stock returns, company size, liquidity.

Topic: Economics