Macroeconomic Determinants and Green Assets in Explaining Stock Return Dynamics: Evidence from Indonesia

Authors

  • Nurdina Nurdina Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia; & Department of Accounting, Faculty of Economics and Business, Universitas PGRI Adi Buana Surabaya, Indonesia
  • Nurkholis Nurkholis Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia
  • Noval Adib Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia
  • Sari Atmini Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia

DOI:

https://doi.org/10.32479/ijeep.22269

Keywords:

Green Assets, Interest Rate, Inflation, Exchange Rate, Emerging Markets, Sustainable Finance

Abstract

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.

Author Biographies

Nurdina Nurdina, Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia; & Department of Accounting, Faculty of Economics and Business, Universitas PGRI Adi Buana Surabaya, Indonesia

Nurdina Nurdina is a Lecturer and PhD Candidate at the Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia. She is also a permanent lecturer at Universitas PGRI Adi Buana Surabaya. Her research interests include asset pricing, macroeconomic risk factors, corporate governance, and sustainable finance.

Nurkholis Nurkholis, Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia

Nurkholis is a Professor of Accounting at the Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia. His research focuses on corporate governance, sustainability accounting, and financial performance.

Noval Adib, Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia

Noval Adib is an Associate Professor at the Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia. His research interests include corporate finance, financial markets, and macroeconomic policy.

Sari Atmini, Department of Accounting, Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia

Sari Atmini is an Associate Professor at the Faculty of Economics and Business, Universitas Brawijaya, Malang, Indonesia. Her areas of interest include financial reporting, accounting standards, and firm performance.

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Published

2026-02-08

How to Cite

Nurdina, N., Nurkholis, N., Adib, N., & Atmini, S. (2026). Macroeconomic Determinants and Green Assets in Explaining Stock Return Dynamics: Evidence from Indonesia. International Journal of Energy Economics and Policy, 16(2), 474–484. https://doi.org/10.32479/ijeep.22269

Issue

Vol. 16 No. 2 (2026)

Section

Articles

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