The The influence of esg performance on stock price volatility in Indonesia
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Abstract
This study investigates the influence of Environmental, Social, and Governance (ESG) performance on stock price volatility in the Indonesian stock market. The research focuses on four main points. First, the stock market provides potential capital growth through dividends and capital gains, with capital gains offering higher returns but also carrying the risk of losses if stock prices decline. Second, stock price volatility can be high during economic crises, such as the COVID-19 pandemic, which has the potential to trigger significant downturns (market crashes). Third, internal factors of companies such as size, profitability, and strategy influence the stability of stock price volatility, especially during crises. Fourth, ESG disclosure is increasingly important for investors seeking sustainable practices and effective risk management. Companies with high ESG scores tend to send positive signals to investors, reducing uncertainty and increasing confidence. The study's findings suggest that ESG performance has the potential to reduce stock price volatility, especially in non-crisis conditions. This research provides valuable insights for regulators, investors, and companies to understand how ESG affect the dynamics of the Indonesian stock market
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How to Cite
Sidharta, K., & Kim, S. S. (2024). The The influence of esg performance on stock price volatility in Indonesia. Enrichment : Journal of Management, 14(3), 448-454. https://doi.org/10.35335/enrichment.v14i3.1973
References
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Boshnak, H. A. (2021). The impact of board composition and ownership structure on dividend payout policy: evidence from Saudi Arabia. International Journal of Emerging Markets, October. https://doi.org/10.1108/IJOEM-05-2021-0791
de Villiers, C., Ma, D., & Marques, A. (2023). Corporate social responsibility disclosure, dividend payments and firm value – Relations and mediating effects. Accounting and Finance, 1–35. https://doi.org/10.1111/acfi.13140
Gavrilakis, N., & Floros, C. (2024). Volatility and Herding Bias on ESG Leaders ’ Portfolios Performance.
Kurniawan, M., & Husodo, Z. A. (2023). The effect of ESG performance on stock price volatility: A study of emerging markets in Asia. Asia. BISMA (Bisnis Dan Manajemen), 16(1), 29–46. https://doi.org/10.26740/bisma.v16n1.p29-46
Kyere, M., & Ausloos, M. (2021). Corporate governance and firms financial performance in the United Kingdom. International Journal of Finance & Economics, 26(2), 1871–1885. https://doi.org/https://doi.org/10.1002/ijfe.1883
Lee, J. H., & Cho, J. H. (2021). Firm-value effects of carbon emissions and carbon disclosures—evidence from korea. International Journal of Environmental Research and Public Health, 18(22). https://doi.org/10.3390/ijerph182212166
Lisa Kustina, Otika Safitri, & Samsul Anwar. (2019). Kebijakan Deviden Dan Capital Gain: Pengaruhnya Terhadap Harga Saham. Jurnal Investasi, 5(1), 24–37. https://doi.org/10.31943/investasi.v5i1.16
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Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38(July 2020), 101690. https://doi.org/10.1016/j.frl.2020.101690
Meher, B. K., Hawaldar, I. T., Mohapatra, L., Spulbar, C., & Birau, R. (2020). The effects of environment, society and governance scores on investment returns and stock market volatility. International Journal of Energy Economics and Policy, 10(4), 234–239. https://doi.org/10.32479/ijeep.9311
Mudzakir, F. U., & Pangestuti, I. R. D. (2023). Pengaruh Environmental, Social and Governance Disclosure Terhadap Nilai Perusahaan dengan ROA dan DER sebagai Variabel Kontrol. Diponegoro Journal of Management, 12(2), 1–13. http://ejournal-s1.undip.ac.id/index.php/dbr
Nichols, D. C., Wahlen, J. M., & Wieland, M. M. (2017). Pricing and Mispricing of Accounting Fundamentals in the Time-Series and in the Cross Section. Contemporary Accounting Research, 34(3), 1378–1417. https://doi.org/10.1111/1911-3846.12317
Ningwati, G., Septiyanti, R., & Desriani, N. (2022). Pengaruh Environment, Social and Governance Disclosure terhadap Kinerja Perusahaan. Goodwood Akuntansi Dan Auditing Reviu, 1(1), 67–78. https://doi.org/10.35912/gaar.v1i1.1500
Nugroho, A. D., & Robiyanto, R. (2021). Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic. Jurnal Keuangan Dan Perbankan, 25(1), 1–20. https://doi.org/10.26905/jkdp.v25i1.4980
Palomino, A. H., Gala-Velasquez, B. D. la, & Ccorisapra-Quintana, J. (2022). The interactive effect of innovation capability and potential absorptive capacity on innovation performance. Journal of Innovation & Knowledge, 7, 1–10.
Prayoga, E. R., Ryansyah, M., & Jannah, N. (2022). Dampak Covid-19 terhadap Pertumbuhan Ekonomi pada Sektor Ekspor dan Impor Indonesia. El-Mal: Jurnal Kajian Ekonomi & Bisnis Islam, 3(3), 457–465. https://doi.org/10.47467/elmal.v3i3.924
Rauf, R., & Rashid, A. (2021). Impact of Volatility on Firm Sales Growth Some Insights from Pakistan. Business & Economic Review, 13(4), 47–76. https://doi.org/10.22547/ber/13.4.3
Sabbaghi, O. (2020). The impact of news on the volatility of ESG firms Omid. Global Finance Journal, 100570. https://doi.org/10.1016/j.gfj.2020.100570
Wahdan Arum Inawati, & Rahmawati, R. (2023). Dampak Environmental, Social, Dan Governance (ESG) Terhadap Kinerja Keuangan. Jurnal Akademi Akuntansi, 6(2), 225–241. https://doi.org/10.22219/jaa.v6i2.26674
Xu, X. (2023). Has ESG Performance Reduced Stock Price Volatility. Journal of Innovation and Development, 3(1), 59–66. https://doi.org/10.54097/jid.v3i1.8421
Zanatto, C. (2023). The impact of ESG news on the volatility of the Portuguese stock market — Does it change during recessions ? September 2022, 5821–5832. https://doi.org/10.1002/bse.3450
Almeyda, R., & Darmansya, A. (2019). The Influence of Environmental, Social, and Governance (ESG) Disclosure on Firm Financial Performance. IPTEK Journal of Proceedings Series, 0(5), 278. https://doi.org/10.12962/j23546026.y2019i5.6340
Amrillah, M. F. (2016). Pengaruh Nilai Tukar Rupiah (Kurs), Inflasi dan Pertumbuhan Ekonomi Terhadap Return Saham Pada Perusahaan Perbankan yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2008-2014. Jurnal Valuta, 2(2), 232–250. www.yahoo.finance.com,
Boshnak, H. A. (2021). The impact of board composition and ownership structure on dividend payout policy: evidence from Saudi Arabia. International Journal of Emerging Markets, October. https://doi.org/10.1108/IJOEM-05-2021-0791
de Villiers, C., Ma, D., & Marques, A. (2023). Corporate social responsibility disclosure, dividend payments and firm value – Relations and mediating effects. Accounting and Finance, 1–35. https://doi.org/10.1111/acfi.13140
Gavrilakis, N., & Floros, C. (2024). Volatility and Herding Bias on ESG Leaders ’ Portfolios Performance.
Kurniawan, M., & Husodo, Z. A. (2023). The effect of ESG performance on stock price volatility: A study of emerging markets in Asia. Asia. BISMA (Bisnis Dan Manajemen), 16(1), 29–46. https://doi.org/10.26740/bisma.v16n1.p29-46
Kyere, M., & Ausloos, M. (2021). Corporate governance and firms financial performance in the United Kingdom. International Journal of Finance & Economics, 26(2), 1871–1885. https://doi.org/https://doi.org/10.1002/ijfe.1883
Lee, J. H., & Cho, J. H. (2021). Firm-value effects of carbon emissions and carbon disclosures—evidence from korea. International Journal of Environmental Research and Public Health, 18(22). https://doi.org/10.3390/ijerph182212166
Lisa Kustina, Otika Safitri, & Samsul Anwar. (2019). Kebijakan Deviden Dan Capital Gain: Pengaruhnya Terhadap Harga Saham. Jurnal Investasi, 5(1), 24–37. https://doi.org/10.31943/investasi.v5i1.16
Listiadi, A. (2023). The Effect of Financial Performance on The Tobin’s Q Value of Company Investment. International Journal of Scientific Research and Management (IJSRM), 11(12), 5566–5574. https://doi.org/10.18535/ijsrm/v11i12.em07
Liu, G., Qian, H., Shi, Y., Zhang, Y., & Wu, F. (2024). Does ESG report greenwashing increase stock price crash risk? China Journal of Accounting Studies, 00(00), 1–25. https://doi.org/10.1080/21697213.2024.2303070
Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38(July 2020), 101690. https://doi.org/10.1016/j.frl.2020.101690
Meher, B. K., Hawaldar, I. T., Mohapatra, L., Spulbar, C., & Birau, R. (2020). The effects of environment, society and governance scores on investment returns and stock market volatility. International Journal of Energy Economics and Policy, 10(4), 234–239. https://doi.org/10.32479/ijeep.9311
Mudzakir, F. U., & Pangestuti, I. R. D. (2023). Pengaruh Environmental, Social and Governance Disclosure Terhadap Nilai Perusahaan dengan ROA dan DER sebagai Variabel Kontrol. Diponegoro Journal of Management, 12(2), 1–13. http://ejournal-s1.undip.ac.id/index.php/dbr
Nichols, D. C., Wahlen, J. M., & Wieland, M. M. (2017). Pricing and Mispricing of Accounting Fundamentals in the Time-Series and in the Cross Section. Contemporary Accounting Research, 34(3), 1378–1417. https://doi.org/10.1111/1911-3846.12317
Ningwati, G., Septiyanti, R., & Desriani, N. (2022). Pengaruh Environment, Social and Governance Disclosure terhadap Kinerja Perusahaan. Goodwood Akuntansi Dan Auditing Reviu, 1(1), 67–78. https://doi.org/10.35912/gaar.v1i1.1500
Nugroho, A. D., & Robiyanto, R. (2021). Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic. Jurnal Keuangan Dan Perbankan, 25(1), 1–20. https://doi.org/10.26905/jkdp.v25i1.4980
Palomino, A. H., Gala-Velasquez, B. D. la, & Ccorisapra-Quintana, J. (2022). The interactive effect of innovation capability and potential absorptive capacity on innovation performance. Journal of Innovation & Knowledge, 7, 1–10.
Prayoga, E. R., Ryansyah, M., & Jannah, N. (2022). Dampak Covid-19 terhadap Pertumbuhan Ekonomi pada Sektor Ekspor dan Impor Indonesia. El-Mal: Jurnal Kajian Ekonomi & Bisnis Islam, 3(3), 457–465. https://doi.org/10.47467/elmal.v3i3.924
Rauf, R., & Rashid, A. (2021). Impact of Volatility on Firm Sales Growth Some Insights from Pakistan. Business & Economic Review, 13(4), 47–76. https://doi.org/10.22547/ber/13.4.3
Sabbaghi, O. (2020). The impact of news on the volatility of ESG firms Omid. Global Finance Journal, 100570. https://doi.org/10.1016/j.gfj.2020.100570
Wahdan Arum Inawati, & Rahmawati, R. (2023). Dampak Environmental, Social, Dan Governance (ESG) Terhadap Kinerja Keuangan. Jurnal Akademi Akuntansi, 6(2), 225–241. https://doi.org/10.22219/jaa.v6i2.26674
Xu, X. (2023). Has ESG Performance Reduced Stock Price Volatility. Journal of Innovation and Development, 3(1), 59–66. https://doi.org/10.54097/jid.v3i1.8421
Zanatto, C. (2023). The impact of ESG news on the volatility of the Portuguese stock market — Does it change during recessions ? September 2022, 5821–5832. https://doi.org/10.1002/bse.3450