Pengaruh Momentum Keberlanjutan dan Perhatian Publik terhadap Risiko Saham

Shela Hajjaria Putri, Jogiyanto Hartono M, Prof., Dr., MBA., Ak., CMA., CA.,

2026 | Tesis | S2 Manajemen

Meningkatnya kesadaran global terhadap isu lingkungan, sosial, dan tata kelola perusahaan (ESG) telah mengubah cara investor menilai risiko di pasar modal. Inkonsistensi temuan empiris mengenai hubungan ESG dengan risiko saham, yang sebagian besar bersumber dari keterbatasan pendekatan skor ESG statis, mendorong kebutuhan akan indikator yang lebih dinamis. Kondisi ini semakin relevan di pasar modal Indonesia, di mana pertumbuhan pelaporan keberlanjutan belum sepenuhnya diimbangi oleh keseragaman kualitas informasi, sementara perhatian publik digital telah berkembang menjadi mekanisme pengawasan eksternal yang nyata.

Penelitian ini bertujuan untuk menganalisis pengaruh momentum keberlanjutan dan perhatian publik terhadap risiko saham pada 48 perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) selama periode 2021 hingga 2024. Penelitian ini menggunakan pendekatan kuantitatif dengan desain eksplanatori. Berdasarkan struktur data gabungan yang digunakan, pengujian hipotesis dilakukan menggunakan analisis regresi linear berganda. Model diestimasi setelah seluruh uji asumsi klasik dipastikan terpenuhi.

Hasil penelitian menunjukkan bahwa momentum keberlanjutan berpengaruh negatif dan signifikan terhadap risiko saham. Hal ini mengindikasikan bahwa konsistensi perbaikan kinerja ESG mencerminkan responsivitas perusahaan terhadap tuntutan pemangku kepentingan, sehingga mampu mengurangi ketidakpastian investor terhadap prospek jangka panjang perusahaan. Sejalan dengan hal tersebut, perhatian publik juga terbukti secara empiris menekan risiko saham. Semakin tinggi sorotan publik terhadap isu keberlanjutan, semakin besar tekanan legitimasi yang mendorong perusahaan untuk bersikap transparan, yang pada akhirnya membuat risiko saham cenderung menurun. Model penelitian ini mampu menjelaskan 65,04% variasi pada risiko saham. Secara keseluruhan, temuan ini memperkuat dan memperluas validasi empiris dari konsep momentum keberlanjutan serta peran perhatian publik, khususnya dalam konteks pasar berkembang.

The increasing global consciousness regarding environmental, social, and governance (ESG) matters has fundamentally transformed the methodology by which investors evaluate risk in capital markets. Nonetheless, empirical evidence regarding the correlation between ESG performance and stock risk remains ambiguous, primarily due to the methodological limitations of static ESG scores, which reflect corporate sustainability at a singular moment and consequently fail to differentiate between firms that are actively improving and those that are stagnant. This limitation is particularly evident in Indonesia's capital market, where the swift expansion of sustainability reporting has not been matched by consistent information quality. Concurrently, digital public attention has surfaced as a concrete external monitoring tool that may impact investor perceptions and stock risk evaluations.

This research investigates the impact of sustainability momentum and public attention on stock risk among 48 companies listed on the Indonesia Stock Exchange (IDX) from 2021 to 2024. A quantitative, explanatory research design employs aggregated cross-sectional data. Multiple linear regression analysis is used to test hypotheses. Before that, a comprehensive set of classical assumption diagnostic tests is conducted to ensure the validity of the estimation.

The results show that sustainability momentum has a significant negative effect on stock risk. This means that steady improvements in ESG performance show that companies are more responsive to the needs of their stakeholders, which makes investors less unsure about the long-term prospects of the company. Likewise, public attention has a substantial negative impact on stock risk: increased public attention of sustainability matters amplifies legitimacy pressures on management, fostering enhanced informational transparency and, as a result, reduced stock risk. The model accounts for 65.04% of the variability in stock risk. These findings collectively enhance the empirical validation of sustainability momentum and the regulatory influence of public attention, particularly in the underexplored domain of emerging capital markets.

Kata Kunci : momentum keberlanjutan, perhatian publik, risiko saham, Bursa Efek Indonesia