The study investigates the complex interplay between macro-economic variables, climate change indicators, and stock market returns in emerging Asian economies. Utilizing a comprehensive dataset spanning the period from 2014 to 2023, the analysis applies advanced econometric techniques, including R-squared (R2), F-statistics, and coefficient estimations, to evaluate the impact of key economic, and environmental factors on stock market performance. The study considers inflation, imports, exports, and climate change as independent variables, while stock market returns serve as the dependent variable. The empirical findings reveal that gross domestic product (GDP) has a statistically significant negative effect on stock market returns (β = −0.611), suggesting that a 1% increase in GDP growth may lead to a 61% decline in stock market performance. Conversely, other macroeconomic indicators, including inflation, exports, and climate change measures (CLMC), do not exhibit a statistically significant influence on stock market returns during the observed period. These results suggest that external shocks, structural economic conditions, or unobserved market dynamics may have a more substantial impact on stock market fluctuations than the selected macroeconomic and climate-related factors. This study contributes to the existing literature by highlighting the potential disconnect between economic growth and stock market performance in emerging markets, emphasizing the need for further exploration of underlying determinants.