Dapatkah Kinerja Environmental, Social, and Governance (ESG) Menjadi Penstabil Harga Saham?
CINDRA KARUNIA PUTRI, Prof. Dr. Eduardus Tandelilin, MBA.
2024 | Skripsi | MANAJEMEN
Topik
yang diangkat dalam penelitian ini adalah pengaruh kinerja Environmental,
Soccial, and Governance (ESG) terhadap risiko jatuhnya harga saham di pasar
modal Indonesia. Analisis dilakukan menggunakan data yang tersedia pada tahun
2017-2019 pada perusahaan yang terdaftar di Bursa Efek Indonesia. Dalam
penelitian ini, skor ESG berperan sebagai variabel independen dan risiko
jatuhnya harga saham berperan sebagai variabel dependen. Risiko jatuhnya harga
saham diukur menggunakan NCSKEW, yakni negative skewed return coefficient. Penelitian ini juga menguji variabel 10
variabel kontrol, yang meliputi Dturn, Return, Sig, Size, Leverage, ROA,
Cash, Age, Top, dan Shrs.
Terdapat
43 perusahaan yang digunakan sebagai sampel observasi yang dipilih berdasarkan
kelengkapan data skor ESG selama periode penelitian. Jenis data yang digunakan
adalah panel data karena observasi yang dilakukan mencakup cross sectional dan
time series. Analisis data dilakukan dengan menggunakan perangkat lunak
Stata edisi ke-17.
Hasil analisis menunjukkan bahwa
kinerja ESG yang diukur dengan skor ESG memiliki dampak negatif signifikan
dalam mempengaruhi risiko jatuhnya harga saham. Artinya, kenaikan skor ESG akan
menurunkan risiko jatuhnya harga saham sehingga saham lebih stabil. Maka dari
itu, implementasi kinerja ESG memiliki dampak positif bagi perusahaan karena
mampu meningkatkan stabilitas harga saham perusahaan.
The
topic of this research is the impact of Environmental, Social, and Governance
(ESG) performance on the risk of stock price crashes in the Indonesian capital
market. The analysis was conducted using data available from 2017-2019 on
companies listed on the Indonesia Stock Exchange. In this study, the ESG score
serves as the independent variable and the risk of stock price crashes serves
as the dependent variable. The risk of stock price crashes is measured using
NCSKEW, which is the negative skewed return coefficient. This study also
examines 10 control variables, including Dturn, Return, Sig, Size, Leverage,
ROA, Cash, Age, Top, and Shrs.
A
sample of 43 companies was used for the observations, selected based on the
completeness of ESG score data during the study period. The type of data used
is panel data because the observations cover both cross-sectional and time
series. Data analysis was conducted using Stata software, version 17.
The
analysis results show that ESG performance, measured by the ESG score, has a
significant negative impact on the risk of stock price crashes. This means that
an increase in the ESG score will reduce the risk of stock price crashes,
making the stocks more stable. Therefore, the implementation of ESG performance
has a positive impact on companies as it can enhance the stability of the
company’s stock prices.
Kata Kunci : ESG, harga saham, volatilitas saham, tata kelola perusahaan, ESG, stock prices, stock volatility, corporate governance
