Jurnal Finansial dan Perbankan
Vol 1, No 2: July 2022

Analisis Pengaruh Environmental and Sustainable Policies Terhadap Abnormal Return dan Volatilitas Return Saham Selama Pandemi Covid-19 [Analysis of the Effect of Environmental and Sustainable Policies on Abnormal Return and Stock Return Volatility During Covid-19 Pandemic]

Kevin Hutama (Universitas Pelita Harapan)
Valentino Budhidharma (Universitas Pelita Harapan)

Article Info

Publish Date
29 Jul 2022

Abstract

This study was conducted to determine the effect of environmental, social, and corporate governance on abnormal returns and stock return volatility in 25 companies listed on the ESG Leaders Index for 3 quarters, starting from the 4th quarter of 2020 to the 2nd quarter of 2021. The data analysis method used is chow test, hausman test, Langrage multiplier test, and diagnostic test. The results of the study indicate that environmental, social, and governance have no effect on abnormal return and return volatility.BAHASA INDONESIA ABSTRACTPenelitian ini dilakukan untuk mengetahui pengaruh lingkungan, sosial, dan tata kelola perusahaan terhadap abnormal return dan volatilitas return saham pada 25 perusahaan yang terdapat di Index ESG Leaders selama 3 kwartal, dimulai dari kwartal 4 2020 sampai kwartal 2 2021. Metode analisis data yang digunakan yaitu uji chow, uji hausman, uji Langrage Multiplier, serta uji diagnostik. Hasil penelitian menunjukkan bahwa lingkungan, sosial, dan tata kelola tidak memiliki pengaruh apa-apa terhadap abnormal return dan volatilitas return.

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Journal Info
Jurnal Finansial dan Perbankan
Website

Abbrev

JFP

Publisher

Universitas Pelita Harapan

Subject

Economics, Econometrics & Finance

Description

Jurnal Finansial dan Perbankan aims to foster leading scientific research on finance. It provides a central and independent forum for the critical evaluation and dissemination of research and to publish the highest quality research with evaluation, evidence and conclusions that are relevant to ...