Article Sidebar

Download
Download Article

Main Article Content

Abstract

This study examines the extent to which ESG performance influences stock price crash risk (SPCR) among companies listed on the Indonesia Stock Exchange (IDX). Using ESG Score data from the Refinitiv database, this study analyzes 232 firm-year observations from 2018 to 2023. SPCR is measured using Negative Skewness (NSKEWNESS), an indicator capturing the asymmetry of return distributions that reflects the buildup of hidden bad news and Down-to-Up Volatility (DUVOL), which captures downside volatility relative to upside movements. Regression results show that the aggregate ESG Score significantly reduces SPCR when measured with NSKEWNESS, indicating that firms with stronger ESG engagement are less likely to experience extreme negative price declines. When decomposed, the Environmental and Social components significantly mitigate SPCR, while Governance exhibits a negative but insignificant effect. However, none of the ESG components significantly influence DUVOL, suggesting that ESG practices may be more effective in addressing long-term crash risk rather than short-term price volatility. These findings highlight the role of ESG in promoting market resilience and underscore the importance of transparent and comprehensive sustainability reporting for corporate managers, investors, and regulators.

Keywords

Environment ESG Governance Stock Price Crash Risk

Article Details

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

How to Cite
Agustin, I. N., Caesaria, J. A., & Haryanto, H. (2025). ESG Performance and Its Role in Mitigating Stock Price Crash Risk: Evidence from Indonesian Listed Companies. Golden Ratio of Auditing Research, 6(1), 411–424. https://doi.org/10.52970/grar.v6i1.1820
Download Citation
Endnote/Zotero/Mendeley (RIS)
BibTeX

References

  1. Abdou, H. A., Elamer, A. A., Abedin, M. Z., & Ibrahim, B. A. (2024). The impact of oil and global markets on Saudi stock market predictability: A machine learning approach. Energy Economics, 132. https://doi.org/10.1016/j.eneco.2024.107416
  2. Adhi, R. E., & Cahynowati, N. (2023). Pengaruh Environmental, Social, and Governance Disclosure Terhadap Nilai Perusahaan dengan Ukuran Perusahaan Sebagai Variabel Moderasi (Studi Empiris Perusahaan Non-Keuangan di Bursa Efek Indonesia Tahun 2019-2021). DIPONEGORO JOURNAL OF ACCOUNTING. http://ejournal-s1.undip.ac.id/index.php/accounting
  3. Agustin, I. N., Safitri, D., Hesniati, H., Hesniati, H., & Robin, R. (2025). Navigating Market Volatility: ESG and Islamic Stock Performance amidst Covid-19 Stringency. ETIKONOMI, 24(1), 69–84. https://doi.org/10.15408/etk.v24i1.38475
  4. Agustin, I.N., Suhendri, N., Wang, A., Bisnis dan Manajemen, F., & Riset Akuntansi dan Keuangan, J. (2024). ESG Performance and Indonesia Stock Return. Jurnal Riset Akuntansi Dan Keuangan. https://doi.org/10.17509/xxxx.xxx
  5. Akhter, F., Hossain, M. R., Elrehail, H., Rehman, S. U., & Almansour, B. (2023). Environmental disclosures and corporate attributes, from the lens of legitimacy theory: a longitudinal analysis on a developing country. European Journal of Management and Business Economics, 32(3), 342–369. https://doi.org/10.1108/EJMBE-01-2021-0008
  6. Ameliana, Y., & Nanda, S. (2024). Exploring Sustainable Finance: A Qualitative Inquiry into Responsible Investment and ESG Risk Evaluation. Golden Ratio of Finance Management, 4(1), 01–13. https://doi.org/10.52970/grfm.v4i1.429
  7. Baier, F., & Kunter, M. (2020). Construction and validation of a test to assess (pre-service) teachers’ technological pedagogical knowledge (TPK). Studies in Educational Evaluation, 67, 100936. https://doi.org/https://doi.org/10.1016/j.stueduc.2020.100936
  8. Bongiovanni, A., & Fiandrino, S. (2024). Does firm environmental performance mitigate the market reaction to COVID-19 uncertainty? Research in International Business and Finance, 68. https://doi.org/10.1016/j.ribaf.2023.102193
  9. Chandra, J., & Sacipto, R. (2020). Analisis Peranan Pemerintah Terhadap Praktik Greenwashing Dalam Strategi Investasi Keuangan Berkelanjutan Berbasis ESG. Journal Panorama Hukum. https://doi.org/10.21067.JPH.2.7584
  10. Chen, H.-Y., & Yang, S. S. (2020). Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market. Pacific-Basin Finance Journal, 63, 101407. https://doi.org/https://doi.org/10.1016/j.pacfin.2020.101407
  11. Chen, W., & Srinivasan, S. (2024). Going digital: implications for firm value and performance. Review of Accounting Studies, 29(2), 1619–1665. https://doi.org/10.1007/s11142-023-09753-0
  12. CNBC Indonesia. (2024, December 30). Hancur Lebur! Kinerja IHSG 2024 Mencoreng Tradisi. CNBC Indonesia. Https://Www.Cnbcindonesia.Com/Research/20241230074930-128-599411/Hancur-Lebur-Kinerja-Ihsg-2024-Mencoreng-Tradisi.
  13. Daromes, F. E., Holly, A., & Loeferdy, M. (2023). Analisis Aspek Materialitas Dalam Pelaporan Keberlanjutan. WACANA EKONOMI (Jurnal Ekonomi, Bisnis Dan Akuntansi), 22(1), 1–17. https://doi.org/10.22225/we.22.1.2023.1-17
  14. Dung, N. T. P., Anh, N. T. M., Toan, P. H., Hieu, L. T., Linh, N. T., & Hang, H. T. (2024). THE IMPACT OF ENVIRONMENTAL, SOCIAL, AND GOVERNANCE INFORMATION ON INDIVIDUAL STOCK INVESTMENT DECISIONS. Risk Governance and Control: Financial Markets and Institutions, 14(2), 32–43. https://doi.org/10.22495/rgcv14i2p4
  15. Fiordelisi, F., Ricci, O., & Santilli, G. (2023). Environmental engagement and stock price crash risk: Evidence from the European banking industry. International Review of Financial Analysis, 88, 102689. https://doi.org/https://doi.org/10.1016/j.irfa.2023.102689
  16. Fiorillo, P., Meles, A., Pellegrino, L. R., & Verdoliva, V. (2024). Geopolitical risk and stock price crash risk: The mitigating role of ESG performance. International Review of Financial Analysis, 91. https://doi.org/10.1016/j.irfa.2023.102958
  17. Ge, Y., Chen, Q., Qiu, S., & Kong, X. (2023). Environmental information disclosure and stock price crash risk: Evidence from China. Frontiers in Environmental Science, 11. https://doi.org/10.3389/fenvs.2023.1108508
  18. Giantari, T. (2024). Menavigasi Dunia Investasi Hijau: Memilih Saham dengan ESG dan Ukuran Perusahaan. Jurnal Proaksi, 11(3), 501–516. https://doi.org/10.32534/jpk.v11i3.5835
  19. GoodStats. (2024, December 28). Akhir 2024: IHSG Anjlok, Rupiah Melemah dan Inflasi di Ambang Target. Https://Goodstats.Id/Article/Akhir-2024-Ihsg-Anjlok-Rupiah-Melemah-Dan-Inflasi-Di-Ambang-Target-SflUu.
  20. Hmouda, A. M. O., Orzes, G., Sauer, P. C., & Molinaro, M. (2024). Determinants of environmental, social, and governance scores: Evidence from the electric power supply chains. Journal of Cleaner Production, 471. https://doi.org/10.1016/j.jclepro.2024.143372
  21. Huang, H., Wang, C., Wang, L., & Yarovaya, L. (2023). Corporate digital transformation and idiosyncratic risk: Based on a corporate governance perspective. Emerging Markets Review, 56. https://doi.org/10.1016/j.ememar.2023.101045
  22. Itan, I., Ahmad, Z., Setiana, J., & Karjantoro, H. (2024). Corporate governance, tax avoidance, and earnings management: family CEO vs non-family CEO managed companies in Indonesia. Cogent Business and Management, 11(1). https://doi.org/10.1080/23311975.2024.2312972
  23. Junaedi, J. (2024). Understanding the Role of Finance in Sustainable Development: A Qualitative Study on Environmental, Social, and Governance (ESG) Practices. Golden Ratio of Finance Management, 4(2), 113–130. https://doi.org/10.52970/grfm.v4i2.422
  24. Kim, S., & Li, Z. (2021). Understanding the impact of ESG practices in corporate finance. Sustainability (Switzerland), 13(7). https://doi.org/10.3390/su13073746
  25. Kompas. (2024, October 28). IHSG Anjlok 1 Persen Terbebani Penarikan Dana Asing. Https://Www.Kompas.Id/Baca/Ekonomi/2024/10/28/Ihsg-Anjlok-1-Persen-Terbebani-Penarikan-Dana-Asing.
  26. Kusnandar, V. B. (2022). Saham Bukalapak Anjlok Hampir 70% dari Harga IPO. Https://Databoks.Katadata.Co.Id/Pasar/Statistik/9e08c472894316f/Saham-Bukalapak-Anjlok-Hampir-70-Dari-Harga-Ipo.
  27. Lee, J. H., Cho, J. H., & Kim, B. J. (2022). ESG Performance of Multinational Companies and Stock Price Crash: Evidence from Korea. Journal of Economic Integration, 37(3), 523–539. https://doi.org/10.11130/jei.2022.37.3.523
  28. Li, C., Huo, P., Wang, Z., Zhang, W., Liang, F., & Mardani, A. (2023). Digitalization generates equality? Enterprises’ digital transformation, financing constraints, and labor share in China. Journal of Business Research, 163, 113924. https://doi.org/https://doi.org/10.1016/j.jbusres.2023.113924
  29. Li, S., Yin, P., & Liu, S. (2022). Evaluation of ESG Ratings for Chinese Listed Companies From the Perspective of Stock Price Crash Risk. Frontiers in Environmental Science, 10. https://doi.org/10.3389/fenvs.2022.933639
  30. Li, Y. (2024). The Impact of ESG Performance on Stock Price Crash Risk: A Study Based on the Perspective of Auditor Opinion Influence. In Business, Economics, and Management CMAM (Vol. 2024). https://doi.org/10.54097/ssbvkz18
  31. Liputan6. (2024, October 5). IHSG Merosot 2,6% pada 30 September - 4 Oktober 2024, Ini Penyebabnya. Https://Www.Liputan6.Com/Saham/Read/5731282/Ihsg-Merosot-26-Pada-30-September-4-Oktober-2024-Ini-Penyebabnya.
  32. Liu, J., Zhou, K., Zhang, Y., & Tang, F. (2023). The Effect of Financial Digital Transformation on Financial Performance: The Intermediary Effect of Information Symmetry and Operating Costs. Sustainability (Switzerland), 15(6). https://doi.org/10.3390/su15065059
  33. Liu, P. H., Wang, Y., Xue, D. R., Linnenluecke, P. M., & Cai, D. C. W. (2022). Green Commitment and Stock Price Crash Risk. Finance Research Letters, 47, 102646. https://doi.org/https://doi.org/10.1016/j.frl.2021.102646
  34. Luo, J. (2023). How ESG Disclosure Affects the Stock Price Crash Risk. Advances in Economics, Management and Political Sciences, 38(1), 208–214. https://doi.org/10.54254/2754-1169/38/20231914
  35. Luo, Y., Tian, N., Wang, D., & Han, W. (2024). Does Digital Transformation Enhance a Firm’s ESG Performance? Evidence from an Emerging Market. Emerging Markets Finance and Trade, 60(4), 825–854. https://doi.org/10.1080/1540496X.2023.2253975
  36. Ma, J. (2024). Corporate Shared Prosperity and the Risk of Stock Price Crash. In Transactions on Social Science, Education and Humanities Research (Vol. 4). https://doi.org/10.62051/rws3ny48
  37. Murata, R., & Hamori, S. (2021). ESG Disclosures and Stock Price Crash Risk. Journal of Risk and Financial Management, 14(2). https://doi.org/10.3390/jrfm14020070
  38. Pereira da Silva, P. (2022). Crash risk and ESG disclosure. Borsa Istanbul Review, 22(4), 794–811. https://doi.org/10.1016/j.bir.2022.04.001
  39. PintarSaham.Id. (2021). Mengapa Saham IPTV Anjlok Terus. Https://Old.Pintarsaham.Id/Skydrugz-Corner-Mengapa-Saham-Iptv-Anjlok-Terus/.
  40. Purnomo, H., & Eriandani, R. (2023). The Effect of Environmental Uncertainty and Tax Avoidance: The Role of Managerial Ability. Riset Akuntansi Dan Keuangan Indonesia, 8, 1–11. https://doi.org/10.23917/reaksi.v8i1.21349
  41. Ratna, V., Oktoviani, S., Pratiwi, A., Putri, A., & Hanifah, U. (2023). Eksistensi Environmental, Social, and Governance (ESG) dalam Portofolio Investor sebagai Manifestasi Investasi Berkelanjutan.
  42. Sadiq, M., Singh, J., Raza, M., & Mohamad, S. (2020). The impact of environmental, social, and governance index on firm value: Evidence from Malaysia. International Journal of Energy Economics and Policy, 10(5), 555–562. https://doi.org/10.32479/ijeep.10217
  43. Sang, Y., Loganathan, K., & Lin, L. (2024). Digital Transformation and Firm ESG Performance: The Mediating Role of Corporate Risk-Taking and the Moderating Role of Top Management Team. Sustainability (Switzerland), 16(14). https://doi.org/10.3390/su16145907
  44. SynTao Green Finance. (2020). An Evolving Process: Analysis of China A-share ESG Ratings.
  45. Tambunan, S. T. (2022). THE IMPACT OF CORPORATE GOVERNANCE ON THE INTEGRATED REPORTING QUALITY OF INDONESIAN LISTED FIRMS: MODERATING ROLE OF CSR DISCLOSURE AND CORPORATE SUSTAINABILITY. INTERNATIONAL JOURNAL OF ECONOMICS AND FINANCE STUDIES. https://doi.org/10.34109/ijefs
  46. Trotta, A., Rania, F., & Strano, E. (2024). Exploring the linkages between FinTech and ESG: A bibliometric perspective. Research in International Business and Finance, 69. https://doi.org/10.1016/j.ribaf.2023.102200
  47. Xu, N., Liu, J., & Dou, H. (2022). Environmental, social, and governance information disclosure and stock price crash risk: Evidence from Chinese listed companies. Frontiers in Psychology, 13. https://doi.org/10.3389/fpsyg.2022.977369
  48. Zareie, M., Attig, N., El Ghoul, S., & Fooladi, I. (2024). Firm digital transformation and corporate performance: The moderating effect of organizational capital. Finance Research Letters, 61. https://doi.org/10.1016/j.frl.2024.105032
  49. Zhang, W., & Zhao, J. (2023). Digital transformation, environmental disclosure, and environmental performance: An examination based on listed companies in heavy-pollution industries in China. International Review of Economics and Finance, 87, 505–518. https://doi.org/10.1016/j.iref.2023.06.001
  50. Zhang, Z., & Ding, Y. (2023). The impact of green financial development on stock price crash risk from the perspective of information asymmetry in Chinese listed companies. Environmental Science and Pollution Research, 30(37), 87199–87214. https://doi.org/10.1007/s11356-023-27771-y
  51. Zhou, D., & Zhou, R. (2022). ESG performance and stock price volatility in public health crisis: Evidence from the COVID-19 pandemic. International Journal of Environmental Research and Public Health, 19(1). https://doi.org/10.3390/ijerph19010202