ESG and Macroeconomic Impact on Stock Returns in Emerging APAC Markets (2004–2023)

2004 to 2023 panel data for seven major emerging markets in the Asia Pacific region, examining the joint impact of ESG scores and macroeconomic indicators on stock market returns. The dataset was created by Sasikala Madushani and employs Fixed Effects panel regression and Granger causality tests. It includes variables such as GDP growth, inflation, interest rates, exchange rate volatility, and aggregate ESG scores sourced from the World Bank and MSCI.

Use Cases

• Modeling stock market returns based on ESG performance and macroeconomic fundamentals described in the study.
• Conducting Granger causality analysis on the directional relationships between variables like GDP growth and market returns.
• Extending classical asset pricing frameworks by integrating ESG dimensions alongside macroeconomic indicators.
• Analyzing the impact of financial market development as a control variable on returns in emerging economies.

Strengths

• Covers a 20-year time range from 2004 to 2023.
• Includes data for seven major emerging APAC markets: China, India, Indonesia, South Korea, Malaysia, the Philippines, and Thailand.
• Methodology employs Driscoll Kraay robust standard errors to handle heteroskedasticity, serial autocorrelation, and cross-sectional dependence.
• Data is sourced from publicly available databases including World Bank World Development Indicators and MSCI ESG ratings.

Limitations

• Row count is unknown, which may limit suitability assessment.
• Column-level documentation is absent; field semantics must be inferred after download.
• The dataset is small at 153.8 KB, indicating limited scope.

Provenance

Source

World Bank World Development Indicators database and MSCI ESG ratings.

Collection Method

Publicly available secondary data compiled for academic study; no primary data collection.

Time Range

2004 to 2023

Freshness

Last updated 2026-05-03 15:07:11; freshness should be verified.

Geography

Seven emerging Asia Pacific markets: China, India, Indonesia, South Korea, Malaysia, the Philippines, and Thailand.