Carbon Emissions, Cryptocurrency Volatility, and Macroeconomic Factors: Dynamic Panel Evidence on Stock Valuation and Volatility in Indonesia

This study aims to analyze the impact of carbon emissions, cryptocurrency volatility, and macroeconomic factors on stock prices, stock valuations, and stock volatility in Indonesia. Employing a dynamic panel data approach and the two-step system Generalized Method of Moments (GMM), the research estimates four primary models: (1) stock price, (2) price-to-earnings ratio, (3) stock return volatility, and (4) a moderation model evaluating the interaction between carbon emissions and macroeconomic variables. The analysis draws on panel data from companies listed on the Indonesia Stock Exchange over the period 2020–2024. The findings indicate that carbon emissions exert a significantly negative effect on stock valuations but do not directly influence stock prices or return volatility. The interaction between carbon emissions and macroeconomic variables is shown to be significant in explaining stock price dynamics, suggesting that economic conditions can amplify or mitigate market perceptions of environmental risks. The volatility of Bitcoin and Ethereum positively affects stock valuations, although it does not have a significant impact on stock prices or volatility. Macroeconomic factors such as exchange rates and global oil prices also exhibit significant effects on the stock market. Furthermore, the dividend payout ratio has a positive influence on stock prices and valuations, while dividend yield contributes to increased volatility. These findings have important implications for regulators, investors, companies, and capital market authorities in fostering a more resilient and sustainable financial system. This study also contributes to the literature on sustainable finance and digital finance in emerging markets.