An investigation into the environmental, social, and governance (ESG) factors toward stock market performance of selected countries in Asia Pacific, Americas, and Europe

Ten, Louise Poh Yeng and Nyu, Qiao Ann and Wong, Wun Kei and Wong, Ye Girl (2024) An investigation into the environmental, social, and governance (ESG) factors toward stock market performance of selected countries in Asia Pacific, Americas, and Europe. Final Year Project, UTAR.

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Abstract

In recent decades, ESG has become increasingly important in making investment decision. This research aims to investigate on how Environmental, Social, and Governance factors individually influence the SMP of selected countries in Asia Pacific, Americas, and Europe by implementing several panel statistical approaches such as unit root test (Levin-Lin-Chu, Im-Pesaran-Shin, and Augmented DickyFuller tests), cointegration test (Pedroni and Kao tests), long run estimates (FullyModified Ordinary Least Squares and Dynamic Ordinary Least Squares tests), and Dumitrescu-Hurlin Granger causality test. A balanced panel data is employed with yearly time series data from 2002 to 2020 across 26 selected countries. Our findings discover that Environmental and Governance have significant positive relationship with the SMP while Social has significant negative relationship with the SMP. Therefore, our results are believed to contribute a valuable insight to various parties such as investors, shareholders, firms, policymakers, and researchers.

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