Articles
PENGUNGKAPAN ENVIROMENTAL, SOCIAL, AND GOVERNANCE DISCLOSURE TERHADAP VOLATILITAS SAHAM DI JII DENGAN LIKUIDITAS SEBAGAI MODERASI
Published 2026-08-08
Keywords
- ESG Disclosure,
- Likuiditas,
- Volatilitas Saham
How to Cite
PENGUNGKAPAN ENVIROMENTAL, SOCIAL, AND GOVERNANCE DISCLOSURE TERHADAP VOLATILITAS SAHAM DI JII DENGAN LIKUIDITAS SEBAGAI MODERASI. (2026). Musytari : Jurnal Manajemen, Akuntansi, Dan Ekonomi, 25(9). https://doi.org/10.2238/m4kmfk24
Abstract
Penelitian ini bertujuan untuk menganalisis pengaruh pengungkapan Environmental, Social, and Governance (ESG) terhadap volatilitas saham, serta peran likuiditas saham sebagai variabel moderasi. Objek penelitian ini adalah perusahaan yang terdaftar dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia (BEI) periode 2021–2025. Dengan menggunakan teknik purposive sampling, diperoleh data panel seimbang (balanced panel) sebanyak 30 perusahaan selama 5 tahun observasi (150 observasi). Metode analisis yang digunakan adalah regresi data panel dengan pendekatan Random Effect Model (REM) serta Moderated Regression Analysis (MRA). Hasil penelitian menunjukkan bahwa pengungkapan Environmental tidak berpengaruh signifikan terhadap volatilitas saham, sedangkan pengungkapan Social dan Governance berpengaruh positif dan signifikan terhadap stabilitas/volatilitas saham. Hasil uji moderasi menunjukkan bahwa likuiditas memoderasi hubungan antara ESG Disclosure dan volatilitas saham. Temuan ini mengindikasikan bahwa likuiditas mempercepat respons pasar terhadap pengungkapan ESG dalam memengaruhi volatilitas saham syariah.References
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