Do ESG Metrics Influence Stock Returns in Southeast Asia? Panel, Quantile, and HAC-Robust Evidence

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DOI: https://doi.org/10.28924/2291-8639-24-2026-365
Published: Oct 26, 2026
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Mark P. Doblas, Maria Cecilia P. Lagaras, Faith P. Regadio, Genevieve G. Panerio, Gbenga Ekundayo, Randolf Von Salindo, Do ESG Metrics Influence Stock Returns in Southeast Asia? Panel, Quantile, and HAC-Robust Evidence, Int. J. Anal. Appl., 24 (2026), 365.

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Mark P. Doblas, Maria Cecilia P. Lagaras, Faith P. Regadio, Genevieve G. Panerio, Gbenga Ekundayo, Randolf Von Salindo

Abstract

This paper aims to determine whether the process of stock return follows the performance of Environmental, Social, and Governance (ESG) practices of publicly listed companies in Southeast Asia. By using panel data on corporate ESG practices, the paper employed fixed-effects regression and quantile regression. In addition, standard errors were corrected using Newey–West heteroskedasticity and autocorrelation consistent (HAC) to derive robust estimates on the mean and distribution of stock returns. The results of the fixed-effects and quantile regression revealed that there was no significant relationship between the overall ESG score and stock return. In addition, the results of the adjusted model showed the absence of significance after correcting for serial correlation and heteroskedasticity, which means that the short-run return pricing does not consider the overall ESG score. Overall, the results of the paper revealed that the ESG practices are not embedded in the short-run stock market return of Southeast Asia. In terms of methodological significance, the paper showed the importance of using panel, quantile, and HAC-based analysis in the examination of finance-based ESG practices.

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