Pengaruh Pengungkapan ESG dan Kebijakan Dividen terhadap Volatilitas Saham Syariah pada Perusahaan JII70
DOI:
https://doi.org/10.29040/jiei.v12i3.19761Keywords:
Dividend Policy, ESG, Islamic Capital Market, Jakarta Islamic Index 70, Stock VolatilityAbstract
This study aims to analyze the influence of ESG and dividend policy on the volatility of Islamic stocks in companies listed on the Jakarta Islamic Index 70 (JII70) for the 2022–2024 period. The background of this study is based on the increasing market capitalization of Islamic stocks accompanied by high stock price fluctuations, thus raising concerns about the dynamics of risk and stability of the Indonesian capital market post-pandemic. This study uses a quantitative approach with secondary data obtained from annual reports, company intention reports, and stock price data from Yahoo Finance. The sampling technique was purposive sampling, resulting in 31 companies with a total of 93 observations. The analytical method used is panel data regression with the Common Effect Model (CEM). The dependent variable in this study is stock volatility, while the independent variables include ESG and Dividend Yield, with Return on Assets (ROA), Debt to Equity Ratio (DER), and Firm Size as control variables. The results show that Dividend Yield has a positive and significant effect on stock volatility, indicating the dominance of short-term trading behavior such as Dividend Capture. Meanwhile, ESG coverage and the control variables ROA, DER, and company size showed no significant impact. This finding confirms that the volatility of sharia-compliant stocks on the JII70 index is more influenced by short-term market dynamics than fundamental factors and corporate intentions.
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This work is licensed under a Creative Commons Attribution 4.0 International License.
