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All Journal Jurnal Maneksi (Management Ekonomi Dan Akuntansi) Journal of Sustainable Economic and Business
Rizqullah, Isti'anah
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Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences

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The Effect of Inflation and Profitability on Stock Returns in LQ45 Firms Registered on the Indonesian Stock Market Rizqullah, Isti'anah; Rizki, Muhammad Irfan
Journal of Sustainable Economic and Business Vol. 2 No. 1 (2025): Journal of Sustainable Economic and Business (JOSEB)
Publisher : ARE Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.70550/joseb.v2i1.72

Abstract

Objectives: This research intends to investigate how inflation and profitability influence the stock returns of firms listed in the LQ45 index on the Indonesia Stock Exchange (IDX). Methodology: This research employs a regression technique based on panel data utilizing the Common Effect Model (CEM) method. The information analyzed consists of secondary data obtained from 25 LQ45 firms spanning the years 2017 to 2021. To confirm the integrity of the regression model, classical assumption evaluations, including tests for multicollinearity, autocorrelation, and heteroscedasticity, were performed. Findings: The results of the analysis show that neither inflation nor profitability have a significant effect on stock returns in LQ45 companies. Although inflation has a positive coefficient, this relationship is not statistically significant. Meanwhile, profitability shows a negative relationship to stock returns, but is also not significant. This suggests that other factors outside of inflation and profitability are likely to play a greater role in determining stock returns in the Indonesian capital market. Conclusion: This study indicates that investors cannot fully rely on inflation and profitability variables as determinants of stock returns in LQ45 companies. Other factors, such as macroeconomic conditions, industry performance, and market expectations, are likely to have a greater influence in determining stock returns on the IDX.
THE INFLUENCE OF ENVIRONMENTAL, SOCIAL, AND GOVERNANCE (ESG) PERFORMANCE AND EARNINGS VOLATILITY ON SHARIA-COMPLIANT STOCK PRICE VOLATILITY: THE MODERATING ROLE OF LEVERAGE Rizqullah, Isti'anah; Hertina, Dede
Jurnal Maneksi (Management Ekonomi Dan Akuntansi) Vol. 15 No. 2 (2026): Jurnal Maneksi (Management Ekonomi Dan Akuntansi)
Publisher : Politeknik Negeri Ambon

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31959/jm.v15i2.3761

Abstract

Introduction: This study aims to examine the effects of Environmental, Social, and Governance (ESG) performance and earnings volatility on Sharia-compliant stock price volatility, and to investigate the moderating role of leverage. The study employs a quantitative approach using secondary data from companies listed in the Indonesian Sharia Stock Index (ISSI) during the period 2021–2024. ESG data are derived from sustainability disclosures under the Global Reporting Initiative (GRI) Standards, while stock price volatility is measured using historical stock price data. Methods: The analysis is conducted using path analysis in SmartPLS. The results indicate that ESG performance has a negative and significant effect on Sharia-compliant stock price volatility, supporting the signaling and stakeholder perspectives that strong sustainability practices reduce perceived risk and market uncertainty (Albuquerque et al., 2020; Zhou & Zhou, 2022).                                              Results: In contrast, earnings volatility does not have a significant effect on stock price volatility, suggesting that investors in the Islamic capital market place greater emphasis on non-financial sustainability signals than short-term earnings fluctuations (Hasanah et al., 2024). Furthermore, leverage has a significant direct effect on Sharia-compliant stock price volatility, indicating that financial risk remains a key determinant of price fluctuations. However, leverage does not moderate the relationship between ESG performance, earnings volatility, and stock price volatility. These findings contribute to the literature on Islamic capital markets by highlighting the dominant role of ESG performance in mitigating stock price volatility, while confirming the limited moderating role of leverage in the context of Sharia-compliant firms. Keywords: Environmental, Social, and Governance (ESG) Performance, Earnings Volatility, Leverage (Debt to Equity Ratio / DER), Sharia-Compliant Stock Price Volatility
Co-Authors Dede Hertina Rizki, Muhammad Irfan