Studi Empiris Pada Indeks LQ45 Dan SMINFRA18 : ESG Score Dan Market Capitalization Terhadap Return Saham

Achmad Yani; Rosita Noviana

doi:10.35968/mpu.v16i1.1840

Authors

Achmad Yani Institut Pertanian Bogor
Rosita Noviana BINUS Business School

DOI:

https://doi.org/10.35968/mpu.v16i1.1840

Keywords:

ESG Score, Return Saham, Market Capitalization, LQ45, SMinfra18, OLS, Robust Regression

Abstract

Perkembangan investasi berbasis Environmental, Social, and Governance (ESG) meningkat pesat dalam satu dekade terakhir, namun efektivitas ESG sebagai penentu return saham di pasar berkembang masih dipertanyakan. Penelitian ini bertujuan menganalisis pengaruh ESG Score dan Market Capitalization terhadap return saham perusahaan yang tergabung dalam indeks LQ45 dan SMinfra18 di Bursa Efek Indonesia periode 2019–2024. Data diperoleh dari Bloomberg Terminal dan dianalisis menggunakan regresi OLS, model OLS dengan dummy indeks, model interaksi ESG × MarketCap, dan robust regression untuk mengatasi outlier. Hasil menunjukkan bahwa ESG Score tidak berpengaruh signifikan terhadap return pada seluruh model. Sebaliknya, Market Capitalization berpengaruh positif signifikan pada model robust, meski hanya marginal pada OLS. Hal ini menunjukkan bahwa ESG belum menjadi priced factor di Indonesia, sementara ukuran perusahaan tetap menjadi determinan yang lebih kuat terhadap kinerja saham. Temuan ini memberikan kontribusi terhadap literatur ESG di pasar berkembang dan bermanfaat bagi investor serta regulator.

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