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All Journal EKONOMI, KEUANGAN, INVESTASI DAN SYARIAH (EKUITAS)
Munawaroh Munawaroh
Universitas Muhammadiyah Cirebon, Cirebon
Economics, Econometrics & Finance

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Pentingnya Tata Kelola: Dimensi ESG dan Volatilitas Harga Saham pada JII70 Sirri Oktaviani; Munawaroh Munawaroh; Yuli Dewi
Ekonomi, Keuangan, Investasi dan Syariah (EKUITAS) Vol 8 No 1 (2026): August 2026
Publisher : Forum Kerjasama Pendidikan Tinggi (FKPT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47065/ekuitas.v8i1.10842

Abstract

Stock price volatility reflects market uncertainty and investment risk, particularly in the Islamic capital market during the period of economic disruption and recovery from 2020 to 2024. This study aims to examine the effects of environmental performance, social performance, governance performance, and profitability on stock price volatility among companies listed on the Jakarta Islamic Index 70 (JII70). Using a quantitative approach, panel data regression with a random-effects model was applied to companies that were consistently included in the JII70 during the 2020–2024 period. Unlike previous studies, this study analyzes each ESG dimension separately and incorporates market return and the Bank Indonesia Rate (BI Rate) as control variables. The results show that governance performance has a negative and significant effect on stock price volatility, with a regression coefficient of −1.374906 and a significance level of 0.0323, while environmental performance, social performance, and profitability have no significant effects. The BI Rate also has a negative and significant effect on stock price volatility, whereas market return has only a marginal effect. These findings indicate that governance performance plays an important role in explaining stock price stability among companies listed on the JII70.
Co-Authors Sirri Oktaviani Yuli Dewi