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All Journal Proceeding of International Conference on Humanity Education and Society
Siti Shoimatul Azizah
Salafiyah Islamic College, Bangil-Pasuruan, Indonesia
Humanities Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Social Sciences Other

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SHARIA-COMPLIANT ESG AND STOCK CRASH RISK MITIGATION: THE CONTRIBUTIONS TO SUSTAINABLE ISLAMIC ECONOMICS AT IDX Siti Shoimatul Azizah; Siti Habibatur Rahma
International Conference on Humanity Education and Society (ICHES) Vol. 5 No. 1 (2026): The 5th International Conference on Humanity Education and Society (ICHES)
Publisher : FORPIM PTKIS ZONA TAPAL KUDA

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Abstract

The stability of Islamic stock prices amid market volatility is a crucial issue for JII/ISSI investors. This study examines the effect of Sharia-compliant ESG scores on stock crash risk, its effectiveness across time periods, and contribution to a sustainable Islamic economy. The study's objectives are: (1) to examine the negative relationship between Sharia ESG and crash risk, (2) to compare effectiveness pre-pandemic (2017-2019), pandemic (2020-2021), and post-pandemic (2022-2025), and (3) to evaluate its contribution to an Islamic economic model. This study uses a fixed effects panel regression on 37 JII/ISSI issuers (326 observations, 2017-2025), with NCSKEW as a proxy for crash risk, Sharia ESG from IDX ESG Leaders, controlled for SIZE and ROA. The analysis was conducted using EViews 12 after Excel data processing. The results show that Sharia ESG has a significant negative effect (β=-0.0043, p=0.001), reducing crash risk by 4.3% per 10 score points. Its effectiveness was strongest during the pandemic (β=-0.0076, p=0.000), weakening pre-pandemic. The model explains 44.1% of the variation in crash risk (R²=44.1%, F=29.12), supporting a sustainable Islamic economy through the stability of the Islamic capital market.
Co-Authors Siti Habibatur Rahma