The Effect Environmental, Social, Governance Disclosure on the Stock Price Volatility of Manufacturing Companies
Keywords:
Environmental; Governance; Social; Stock Price VolatilityAbstract
This study aims to analyze the effect of Environmental, Social, and Governance (ESG) disclosure on stock price volatility in manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the period 2021-2023. The population in this study included 200 manufacturing companies, with purposive sampling techniques producing a sample of 58 companies or 174 data observations. Secondary data in the form of ESG index scores were obtained through the BGK Foundation. The analysis method used was multiple linear regression analysis with the help of descriptive statistics and classical assumption tests. The results show that the Environmental (X1), Social (X2), and Governance (X3) variables each have a positive and significant effect on stock price volatility (Y). These findings indicate that the transparency of environmental, social, governance disclosure in the Indonesian manufacturing sector actually triggers a heterogeneous market reaction and increases transaction intensity, thereby impacting higher stock price fluctuations. Contrary to the global literature consensus that views ESG as a risk mitigation mechanism, this study finds that ESG disclosure has a significant positive effect on stock price volatility. This finding indicates that in the Indonesian capital market, complex ESG information is not yet fully absorbed as a signal of fundamental quality, but rather tends to be perceived as noise that increases uncertainty and speculation among investors. Theoretically, these results support Signaling Theory, in which non-financial information is responded to by investors as signals that influence trading decisions in the capital market.
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