Analysis of The Influence of Country Sustainability Performance on Stock Returns in The Top 5 Asian and European Countries

<p>This paper aims to investigate the influence of a country's sustainability performance on yearly stock returns in the top 5 Asian and European countries from 2019 to 2022. Sustainability performance is proxied by four variables: ESG score, green bonds, air quality index (AQI), and energy consumption. Stock returns are measured using stock prices from the stock exchange of the respective country. The study employs quantitative research methods, using multiple regression analysis with STATA software to test the hypotheses concerning the relationship between dependent and independent variables, with a total of 40 observations. The results reveal a significant positive relationship between ESG score and AQI with yearly stock returns, whereas energy consumption shows an insignificant positive relationship. In contrast, Green bonds have an insignificant negative relationship with yearly stock returns. These findings are useful for international investors and governments in making informed overseas stock investment decisions and understanding the importance of sustainability performance in improving the stock market condition.</p>