Pengaruh Indeks ESG, Firm Size, Transparansi Laporan Keberlanjutan dan Program CSR terhadap Return Saham Sub Sektor yang terdaftar di BEI Tahun 2020-2024

Rassel, Rassel (2025) Pengaruh Indeks ESG, Firm Size, Transparansi Laporan Keberlanjutan dan Program CSR terhadap Return Saham Sub Sektor yang terdaftar di BEI Tahun 2020-2024. Sarjana (S1) thesis, STIE Tri Bhakti.

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Abstract

Purpose: This study aims to examine the effect of Environmental, Social, and Governance (ESG) Index, Firm Size, Sustainability Report Transparency, and Corporate Social Responsibility (CSR) Programs on Stock Return. Design/methodology/approach: This research uses a quantitative approach with secondary data obtained from annual reports and sustainability disclosures. The sample consists of 15 banking companies listed on the Indonesia Stock Exchange, selected using purposive sampling. Data analysis was conducted using panel data regression with the Common Effect Model approach, assisted by EViews 9 software. During the analysis, a high correlation was found between the ESG Index, Sustainability Report Transparency, and CSR variables. Due to this multicollinearity issue, these three variables were combined into a single composite variable representing overall sustainability transparency. Meanwhile, the Firm Size variable was analyzed separately, as it did not exhibit multicollinearity. In addition, to address heteroskedasticity issues particularly those involving Firm Size—the Covariance White cross-section method was applied to produce more robust coefficient estimates. Findings: The results of the study indicate that the sustainability report transparency variable (the result of combining the ESG, transparency, and CSR indices) has a coefficient of 0.264, indicating that sustainability transparency has no effect on stock returns. Meanwhile, firm size shows no effect on stock returns with a coefficient of -0.069 or -6.9%. Although both variables show a direction of influence in accordance with the research hypothesis, statistically neither has an effect on stock returns (p-value > 0.05). The overall research model has limited predictive ability with an R-squared of 4.33%, indicating that 95.67% of the variation in stock returns is explained by factors other than this research model. Originality/value: This study contributes to the development of literature on the impact of sustainability practices and firm characteristics on capital market performance, specifically within the banking industry. Its added value lies in the methodological approach used to address multicollinearity through variable consolidation, as well as the use of robust estimation techniques to handle classical assumption violations in panel data regression.

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