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All Journal BELIA JURNAL AKUNTANSI SIGMA: Jurnal Pendidikan Matematika Jurnal Manajemen Pendidikan Jurnal Pendidikan Bahasa dan Sastra Indonesia Metalingua Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Enrichment : Journal of Management Journal On Teacher Education (Jote) Ners Muda SPEKTA (Jurnal Pengabdian Kepada Masyarakat : Teknologi dan Aplikasi) Jurnal Pendidikan, Sains, Geologi, dan Geofisika (GeoScienceEd Journal) Jurnal Akuntansi dan Keuangan Kontemporer (JAKK) LEARNING : Jurnal Inovasi Penelitian Pendidikan dan Pembelajaran International Journal of Social Service and Research Khatulistiwa: Jurnal Ilmu Pendidikan Bima Journal : Business, Management and Accounting Journal JOURNAL OF HUMANITIES, SOCIAL SCIENCES AND BUSINESS (JHSSB) Jurnal Asesmen Dan Intervensi Anak Berkebutuhan Khusus Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi) Ar-Raihanah: Jurnal Pendidikan Islam Anak Usia Dini Jurnal Al-Kifayah: Ilmu Tarbiyah dan Keguruan Eastasouth Journal of Effective Community Services Jurnal Fairness Jurnal Pengabdian Inovasi Masyarakat Indonesia Kelimutu Journal of Community Service Jurna Beta Kimia Al-Umm: Jurnal Pengabdian dan Pengembangan Masyarakat
Nikmah Nikmah
IKIP Veteran Semarang
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Stock Risk as a Moderator in the ESG-Return Relationship: Evidence from the Indonesian Capital Market ZULI, WAHFI; Usman, Berto; Nikmah, Nikmah
BIMA Journal (Business, Management, & Accounting Journal) Vol. 6 No. 2 (2025)
Publisher : Perkumpulan Dosen Muda (PDM) Bengkulu

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37638/bima.6.2.1439-1448

Abstract

Purpose: This study analyses the influence of Environmental, Social, and Governance (ESG) performance on stock returns, with stock risk—measured by volatility—introduced as a moderating factor. Methodology: Using a sample of 33 companies listed in the IDX ESG Leaders and SRI-KEHATI indices between 2021 and 2023, ESG data were derived from the CESGS Universitas Airlangga dataset, returns were calculated through capital gains, and volatility was estimated from standard deviations of monthly returns. Panel regression with a Fixed Effect Model was employed. Results: Findings demonstrate that ESG performance negatively affects stock returns, and this negative impact intensifies in conditions of higher volatility. Findings: These results suggest that investors in Indonesia prioritise short-term financial risk over sustainability credentials, which weakens the signalling role of ESG. Novelty: This research introduces volatility as a moderator in the ESG–return nexus and provides evidence from ESG-specific indices in Indonesia (IDX ESG Leaders and SRI-KEHATI). Originality: The research highlights the Indonesian market context, showing that ESG has not yet emerged as a positive driver of stock returns. Conclusion: The study highlights that ESG in emerging markets requires stronger regulatory support and enhanced disclosure to translate sustainability practices into financial value.. Type of Paper: Research article.
Co-Authors Abdul Latif Abdul Majid Alpi Zaidah, Alpi Amirullah -, Amirullah Andam S. Ardan Andani, Winda Annajihah, Isra’ Apriyanti, Hera Arifianto, Sigit Arjoen, Muhammad Robby Ayu Purnamasari Berto Usman, Berto Dessy, Dessy Dewi, Hefi Rusnita Dhani, Arini DHANI, ARINI RAHMA Dhoti, Shofi Ma’rifaturriya Elfita Elfita Fadhilatul Hikmah, Wahyu Fitri Handayani Fitriani, Yessi Guswanti, Nelia Hidayatulloh, Alpiana Hijroini, Hijroini Husaini Husaini Ilyas, Fitrawati Imakulata, Mbing Imakulata, Mbing Maria Inmaryanto, Inmaryanto Kamaludin Kamaludin Khasanah, Niswatul Lika, Angela G. Litania, Litania M. Yogi Riyantama Isjoni Maspuri, Maspuri Mega Fatimah Rosana Mohd. Fauzi, Irfan Moses Kopong Tokan Muetiawati, Dessy Muhammad Amin Munif, Nabil Nikmatul Khayati Nuriksan, Sidiq Pakpahan, Silvia Ratily Panggabean, Berliana Febrianti Purnamasari S, Ayu Putri, Sabrina Rahmadani, Nia Rayahu, Evi Santrum, Mario Justinianus Saputra, Waldi Sari, Winda Puspa Simbolon, Parlindungan Sitohang, Pardamean Sulestari, Dinna Dwi Suliyani, Iis Taek, Paulus Tryana , Nofita Tryana, Nofita Utami, Puspa Indah Wahyuni, Marina Fitri Wijayanti, Indah Oktari Woki Bilyaro Yusnaeni Yusnaeni, Yusnaeni Yusnaini Yusnaini Zuli, Wahfi