<![CDATA[Purpose – This study aims to evaluate the impact of climate change risk on stock market volatility, with ESG risk serving as a moderating variable.Methods – The sample is selected using purposive sampling and consists of firms listed in the IDX ESG Leaders index during the period 2019–2024. The analysis employs a dynamic panel regression approach using the System Generalized Method of Moments.Findings – The results indicate that climate change risk has a negative effect on stock market volatility. ESG risk has a positive and significant effect on stock market volatility. Furthermore, the moderating analysis shows that ESG risk significantly moderates the relationship between climate change risk and stock market volatility.Implication – Theoretically, this study highlights the importance of adopting a dynamic approach and clearly distinguishing between ESG performance and ESG risk in analyzing stock market volatility. In practice, the findings suggest that ESG risk is a source of market uncertainty; therefore, investors, firms, and regulators should integrate ESG risk management and enhance the quality of climate risk disclosure to reduce stock market volatility.Originality – This study uses Natural Language Processing to measure climate change risk and the application of a dynamic panel data approach to analyze the effect of climate change risk on stock market volatility with ESG risk as a moderating variable. AbstrakTujuan – Penelitian ini bertujuan untuk mengevaluasi dampak risiko perubahan iklim terhadap volatilitas pasar saham: peran moderasi risiko ESG. Metode – Sampel pada penelitian ini diambil dengan metode purposive sampling. Penelitian ini menggunakan regresi data panel dinamis Sys GMM yang terdiri dari perusahaan yang terdaftar di IDX ESG Leaders selama periode 2019-2024. Temuan – Hasil penelitian menunjukkan bahwa risiko perubahan iklim berpengaruh negatif terhadap volatilitas pasar saham. ESG risk berpengaruh positif dan signifikan terhadap volatilitas pasar saham. Variabel moderasi menunjukkan bahwa ESG risk secara signifikan memoderasi hubungan antara risiko perubahan iklim dan volatilitas pasar saham. Implikasi – Secara teoretis, penelitian ini menegaskan pentingnya pendekatan dinamis dan pembedaan yang jelas antara kinerja kinerja ESG dan risiko ESG dalam analisis volatilitas pasar saham. Secara praktis, temuan ini menunjukkan bahwa ESG Risk merupakan sumber ketidakpastian, sehingga investor, perusahaan, dan regulator perlu mengintegrasikan pengelolaan risiko ESG dan peningkatan kualitas pengungkapan risiko perubahan iklim untuk menekan volatilitas pasar. Orisinalitas – Penelitian ini menggunakan Natural Language Processing untuk mengukur climate change risk serta penerapan data panel dinamis dalam menganalisis pengaruh climate change risk terhadap volatilitas pasar saham dengan ESG risk sebagai variabel moderasi.]]>
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