The Influence of Corporate Social Responsibility (CSR) on Stock Returns in Response to The Covid-19 Pandemic (An Empirical Study in Companies Listed on The Indonesia Stock Exchange from 2018 to 2021)

FARAH AYU LESTARI, Choirunnisa Arifa, S.E., M.Sc., Ph.D., Ak., CA.

2022 | Skripsi | S1 AKUNTANSI

Penelitian ini ditujukan untuk mengumpulkan bukti empiris tentang dampak keterlibatan tanggung jawab sosial perusahaan terhadap return saham, khususnya saat krisis pandemi COVID-19. Sampel penelitian ini adalah seluruh perusahaan yang terdaftar di Bursa Efek Indonesia (BEI), kecuali persuahaan dalam sektor keuangan, yang mengungkapkan skor kinerja lingkungan, sosial, dan tata kelola (LST) tahun 2018-2021. Penelitian ini mengimplementasikan analisis regresi multilinier dan analisis regresi moderat. Hasil penelitian ini menunjukkan bahwa hanya skor pilar lingkungan dan tata kelola yang berpengaruh signifikan dan positif terhadap return saham. Sebaliknya skor pilar sosial berpengaruh tidak signifikan dan terhadap return saham. Terakhir, penelitian ini menemukan bahwa skor ESG tidak dapat melindungi bisnis dari penurunan return saham akibat pandemi.

The purpose of this research is to gather empirical evidence on the impact of corporate social responsibility (CSR) engagement on stock returns, particularly in the COVID-19 pandemic crisis. The sample this study on using is all companies listed in Indonesia Stock Exchange (IDX), excluding financial firms, which disclose environmental, social, and governance performance (ESG) scores in 2018-2021. Multilinear regression analysis and moderated regression analysis (MRA) are implemented in this study. The results show that only environment and governance pillar scores impact the stock return positively and significantly. In contrast, social pillar scores influence stock return negatively and insignificantly. Lastly, it is found that ESG scores cannot shield businesses from pandemic-induced stock return decline.

Kata Kunci : Corporate Social Responsibility, ESG Score, COVID-19 Pandemic, Stock Return.