Does Environmental, Social, and Governance (ESG) Disclosure Affect Stock Returns?

Fathiyah Hasna; Syarif M. Helmi; Nella Yantiana

doi:10.55681/economina.v5i8.3679

Authors

Fathiyah Hasna Universitas Tanjungpura, Pontianak, Indonesia
Syarif M. Helmi Universitas Tanjungpura, Pontianak, Indonesia
Nella Yantiana Universitas Tanjungpura, Pontianak, Indonesia

DOI:

https://doi.org/10.55681/economina.v5i8.3679

Keywords:

Capital Intensity, ESG, Stock Returns

Abstract

This study aims to examines how environmental, social, and governance (ESG) disclosures affect stock returns in energy sector companies listed on the Indonesia Stock Exchange from 2022 to 2025, using capital intensity as a control variable. The quantitative methods employed in this study include panel data regression. A total of 74 observations were collected using purposive sampling. Data analysis was conducted using EViews 13 with the Common Effect Model (CEM) as the appropriate model. The results demonstrate that environmental, social, and governance disclosures have no effect on stock returns. Meanwhile, capital intensity positively and significantly influences stock returns. The findings suggest that investors in energy companies have not sufficiently considered ESG disclosures when making investment decisions.

Downloads

Download data is not yet available.

References

Aditama, F.W. (2022) “ANALISIS PENGARUH ENVIRONMENT, SOCIAL, GOVERNANCE (ESG) SCORE TERHADAP RETURN SAHAM YANG TERDAFTAR DI INDEX IDX30,” CONTEMPORARY STUDIES IN ECONOMIC, FINANCE AND BANKING, 1(4), pp. 592–602. Available at: https://doi.org/http://dx.doi.org/10.21776/csefb.2022.01.4.05.

Angela, N., Espa, V., & Yantiana, N. (2024) “PENGARUH PENERAPAN GREEN ACCOUNTING DAN CORPORATE SOCIAL RESPONSIBILITY TERHADAP PROFITABILITAS,” JAE: JURNAL AKUNTANSI DAN EKONOMI AKREDITASI, 9(2). Available at: https://doi.org/10.29407/jae.v9i2.22626.

Anggarista, M.M., Dewi, N.W.Y., & Savitri, N.L.A. (2024) “Pengaruh Pengungkapan Environmental , Social , Governance ( ESG ), dan Eco-efficiency Terhadap Nilai Perusahaan ( Studi Kasus Pada Perusahaan Sektor Energi yang Terdaftar di Bursa Efek Indonesia Tahun 2021-2024 ),” Journal of Educational Study (JoES), 4(2).

Brigham, E.F., & Ehrhardt, M.C. (2015) Financial Management Theory & Practice. 15th ed. Boston: Cengage Learning.

Castorius, M.A. and Alam, M.D. (2026) “Pengaruh Pengungkapan ESG terhadap Return Saham Pada Perusahaan yang Terdaftar di IDX ESG Leader Periode 2022-2024,” Inisiatif: Jurnal Ekonomi, Akuntansi dan Manajemen, 5(2), pp. 127–146. Available at: https://doi.org/https://doi.org/10.30640/inisiatif.v5i2.6148.

Creswell, J.W. (2014) Research Design: Qualitative, Quantitative, and Mixed Methods Approach. 4th ed. SAGE Publication.

Fajrin, G.N., Anggraini, R., Zairin, G. M. (2025) “Analisis Pengaruh Pengungkapan Lingkungan , Sosial dan Tata Kelola ( ESG ) Terhadap Return Saham dengan Kepemilikan Manajerial Sebagai Moderasi,” PENG: Jurnal Ekonomi dan Manajemen, 2(2b), pp. 4581–4598. Available at: https://doi.org/10.62710/a7wrab58.

Fardeliah, S.D., Susyanti, J., & Bastomi, M. (2026) “Sustainability Signals in Emerging Markets : The Effect of ESG Disclosure and Profitability on Stock Returns with Firm Size as a Moderator ( Evidence from LQ45 Index , 2020 – 2024 ),” Owner: Riset & Jurnal Akuntansi, 10(April), pp. 1348–1359. Available at: https://doi.org/https://doi.org/10.33395/owner.v10i2.3110.

Freeman, R.E. (1984) Strategic management: A stakeholder approach. Boston: Pitman.

Giantari, T. (2024) “Terhadap Return Saham : Perusahaan Besar Lebih Unggul,” Jurnal Proaksi, 11(3), pp. 501–516. Available at: https://doi.org/10.32534/jpk.v11i3.5835.

Hanjani, E.E., & Yanti, H.B. (2024) “THE INFLUENCE OF ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) DISCLOSURES AND COMPANY SIZE ON STOCK RETURNS,” Journal of Social and Economics Research, 6(1), pp. 1748–1761. Available at: https://doi.org/https://doi.org/10.54783/jser.v6i1.539.

Helmi, S.M., & Kurniadi, A. (2024) “Pengaruh Leverage , Kualitas Audit , dan Intensitas Modal Terhadap Tax avoidance,” 11(1), pp. 1–6.

Jaya, I.K.B.A. & Martadinata, I.P.H. (2024) “Pengaruh Pengungkapan Environmental , Social , and Governance ( ESG ) Terhadap Profitabilitas,” Vokasi : Jurnal Riset Akuntansi, 13(2), pp. 59–71. Available at: https://doi.org/https://doi.org/10.23887/vjra.v13i2.78769.

Luo, D. (2022) “ESG, liquidity, and stock returns,” Journal of International Financial Markets, Institutions & Money, 78, p. 101526. Available at: https://doi.org/10.1016/j.intfin.2022.101526.

Maryam, Y.N. (2025) “SYSTEMATIC LITERATURE REVIEW : PENGARUH ENVIRONMENTAL , SOCIAL , GOVERNANCE ( ESG ) DISCLOSURE DAN PROFITABILITAS TERHADAP RETURN SAHAM,” Seminar Nasional Pariwisata dan Kewirausahaan (SNPK), 4(April), pp. 957–966.

Maryam, Y.N., & Sukiswo, W.H.D. (2025) “ANALISIS PENGUNGKAPAN ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) DAN PROFITABILITAS TERHADAP RETURN SAHAM,” Oikos: Jurnal Kajian Pendidikan Ekonomi dan Ilmu Ekonomi, 09(2), pp. 24–33. Available at: https://journal.unpas.ac.id/index.php/oikos/article/view/24946.

Mulyani, S., Mukhzarudfa., Kusumastuti, R., & Tiswiyanti, W. (2026) “Kualitas Pengungkapan Sustainability Report Berbasis GRI pada Perusahaan Sektor Energi di Bursa Efek Indonesia Periode 2020 – 2024,” JIBEMA: Jurnal Ilmu Bisnis, Ekonomi, Manajemen, dan Akuntansi Volume, 3(4), pp. 511–527. Available at: https://doi.org/10.62421/jibema.v3i4.236.

Nuranisa, S. (2023) “Analisis Environmental Disclosure , Social Disclosure , Governance Disclosure , dan Financial Performance pada Return Saham,” 3(13).

Pelealu, A.J.H., Rumokoy, L.J., & Tumiwa, J. (2023) “INTEGRASI PENGUNGKAPAN LINGKUNGAN, SOSIAL DAN TATA KELOLA DALAM STRATEGI INVESTASI: DAMPAKNYA TERHADAP RETURN SAHAM PADA PERUSAHAAN SEKTOR ENERGI DI BURSA EFEK INDONESIA TAHUN 2019-2023,” JURNAL ILMIAH MANAJEMEN BISNIS DAN INOVASI UNIVERSITAS SAM RATULANGI, 12(2), pp. 713–724. Available at: https://doi.org/https://doi.org/10.35794/jmbi.v12i2.62461.

Putri, R., Honesty, F.F., & Honesty, H.N. (2024) “Pengaruh Environmental , Social , Governance ( ESG ) Disclosure , dan Kinerja Keuangan Terhadap Return Saham,” 7(2). Available at: https://doi.org/10.32877/eb.v7i2.1990.

Qodary, H.F., & Tambun, S. (2021) “PENGARUH ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) DAN RETENTION RATIO TERHADAP RETURN SAHAM DENGAN NILAI PERUSAHAAN SEBAGAI VARIABEL MODERATING,” Juremi: Jurnal Riset Ekonomi, 1(2), pp. 159–172. Available at: https://doi.org/https://doi.org/10.53625/juremi.v1i2.266.

Rahmadani, E.P. and Devilishanti, T. (2026) “Pengaruh Pengungkapan ESG (Environmental, Social Dan Governance) Terhadap Return Saham (Studi Empiris pada Perusahaan Sektor Pertambangan yang Terdaftar di BEI Periode 2020 – 2024) Eva,” Ekopedia: Jurnal Ilmiah Ekonomi, 2(1), pp. 349–365. Available at: https://doi.org/doi.org/10.63822/3zczv061

Rustam, A., Hantono, & Judijanto, L. (2026) “ESG FACTORS IN INVESTMENT DECISIONS : EXAMINING THE IMPACT OF SUSTAINABILITY REPORTING , CORPORATE GOVERNANCE , AND FINANCIAL PERFORMANCE,” International Journal of Interdisciplinary Cultural Studies, 21(1), pp. 1172–1185. Available at: https://doi.org/https://cgscopus.com/index.php/journals/article/view/874.

Saif-alyousfi, A.Y.H., Alsadan, A., & Alalmaee, H. (2025) “Profitability and Capital Intensity : Moderating Role of Debt Financing,” economies, 13(11), p. 324. Available at: https://doi.org/Economies 2025, 13, 324 https://doi.org/10.3390/economies13110324.

Santamaria, R., Paolone, F., Cucari, N., & Dezi, L. (2021) “Non-financial strategy disclosure and environmental , social and governance score : Insight from a configurational approach,” (July 2021), pp. 1993–2007. Available at: https://doi.org/10.1002/bse.2728.

Sekaran, U., & Bougie, R. (2016) Research Methods for Business: A Skill-Building Approach. 7th ed. Chichester: John Wiley & Sons.

Shakil, M.H. (2022) “Environmental , social and governance performance and stock price volatility : A moderating role of firm size,” 22(3), p. e2574. Available at: https://doi.org/10.1002/pa.2574.

Spence, M. (1973) “Job Market Signaling,” The Quarterly Journal of Economics, 87(3), pp. 355–374. Available at: https://doi.org/https://doi.org/10.2307/1882010.

Sugiyono (2015) Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Bandiung: CV ALFABETA.

Suhendri, & Apriadi, D. (2025) “Pengaruh Environmental , Social , and Governance ( ESG ) Disclosure dan Volatilitas Harga Energi Terhadap Return Saham Pada Perusahaan Sektor Energi di BEI,” Jurnal Ekonomi, Bisnis dan Manajemen, 4(4), pp. 1–13. Available at: https://doi.org/https://doi.org/10.58192/ebismen.v4i4.3771.

Sumani, S., & Limawan, T.L. (2024) “The induce of environmental and social disclosure on stock returns,” Jurnal Manajemen Maranatha, 24(November), pp. 61–74. Available at: https://doi.org/https://doi.org/10.28932/jmm.v24i1.9811.

Wang, N., Pan, H., Feng, Y., & Du, S. (2022) “How do ESG practices create value for businesses ? Research review and prospects,” sustainability accounting, management and policy [Preprint]. Available at: https://doi.org/10.1108/SAMPJ-12-2021-0515.

Yin, X., Li, J., & Su, C. (2023) “Heliyon How does ESG performance affect stock returns ? Empirical evidence from listed companies in China,” Heliyon, 9(5), p. e16320. Available at: https://doi.org/10.1016/j.heliyon.2023.e16320.

Yucel, M., & Yucel, S. (2024) “Environmental , Social , and Governance ( ESG ) Dynamics in the Energy Sector : Strategic Approaches for Sustainable Development,” energies, 17, p. 6291. Available at: https://doi.org/https://doi.org/10.3390/en17246291.

Zanu’ddin, M., & Djaddang, S. (2025) “ESG, Stock Returns, and Sustainable Investment: A Systematic Literature Review,” JURNAL AR RO’IS MANDALIKA (ARMADA), 6(1), pp. 433–451. Available at: https://doi.org/https://doi.org/10.59613/armada.v6i1.5670.