When ESG Meets Foreign Capital: Market Valuation Evidence from Indonesia’s LQ45
DOI:
https://doi.org/10.21009/wahana.21.014Kata Kunci:
Risiko ESG, Nilai Perusahaan, Investor Asing, Pasar Berkembang, Bursa Efek Indonesia.Abstrak
Hubungan antara kinerja Environmental, Social, and Governance (ESG) dan nilai perusahaan masih diperdebatkan secara teoritis di pasar modal negara berkembang, di mana heterogenitas investor dan keterbatasan kesadaran terhadap keberlanjutan mempersulit mekanisme valuasi. Penelitian ini menguji apakah eksposur risiko Environmental, Social, and Governance, yang diukur menggunakan Sustainalytics Environmental, Social, and Governance Risk Score, di mana skor yang lebih rendah menunjukkan pengelolaan Environmental, Social, and Governance yang lebih baik, berhubungan secara signifikan dengan nilai perusahaan dan apakah partisipasi investor asing memoderasi hubungan tersebut secara kondisional pada perusahaan-perusahaan yang tergabung dalam indeks LQ45 di Bursa Efek Indonesia. Dengan menggunakan panel tidak seimbang dari 73 perusahaan LQ45 selama periode 2020 hingga 2026 dengan 527 hingga 540 observasi firm year, penelitian ini menerapkan regresi data panel fixed effect dengan heteroskedasticity robust standard errors. Model interaksi yang menggabungkan skor Environmental, Social, and Governance yang telah di mean centred dan arus investor asing bersih diestimasi, sementara transformasi logaritmik diterapkan untuk mengatasi skewness distribusi. Hasil penelitian menunjukkan bahwa Environmental, Social, and Governance Risk Score memiliki pengaruh positif dan signifikan secara statistik terhadap nilai perusahaan pada tingkat signifikansi 5 persen. Skor yang lebih tinggi, yang menunjukkan risiko Environmental, Social, and Governance yang belum terkelola dengan baik, mencerminkan dinamika valuasi yang kompleks pada komposisi LQ45 Indonesia yang intensif sumber daya. Interaksi antara Environmental, Social, and Governance Risk Score dan partisipasi investor asing juga positif dan sangat signifikan, yang mengonfirmasi bahwa investor asing memperkuat sensitivitas pasar terhadap informasi terkait Environmental, Social, and Governance. Temuan ini menunjukkan bahwa valuasi pasar berbasis Environmental, Social, and Governance di Indonesia bersifat kondisional, bukan universal.
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