The Impact of the COVID-19 Pandemic on Green Stocks Returns: Evidence from Stocks Within the Green Index in Indonesia

Abstract

Green stocks are shares from a company that has a positive environmental impact. In Indonesia, they are found within the green index. Even though the index has shown better performance than other major indices in Indonesia, it is still not yet entirely known how the green index holds up to an unprecedented crisis such as the COVID-19 pandemic. Using available data of 41 green constituents from 2015 to 2021 in Indonesia, this research uses panel data regression to determine how the COVID-19 pandemic affects the prices of green stocks and what factors significantly affect these stocks. The author found a significant and negative relationship between the presence of COVID-19 (COVID19) and also Net Profit Margin (NPM) toward stock prices within the green index (PRICE). There is also a significant and positive relationship between Earnings Per Share (EPS) towards stock prices within the green index (PRICE). Meanwhile, the variables that do not significantly affect the stock prices within the green index (PRICE) are Return On Equity (ROE), Debt to Equity Ratio (DER), and Firm Size (SIZE).

Keywords: green stocks, green index, COVID-19 pandemic