ESG Dimensions and Stock Return Volatility: Empirical Evidence from Shariacompliant Manufacturing Firms
ESGディメンションと株式リターンのボラティリティ：シャリア準拠製造企業からの実証的証拠 (AI 翻訳)
Ghaida Aulia Purwantika, Hendi Rohendi, Mochammad Edman Syarief
🤖 gxceed AI 要約
日本語
本研究は、インドネシアのシャリア準拠製造企業を対象に、ESG各次元が株価変動に与える影響を分析。環境次元は有意に変動を低減するが、社会・ガバナンス次元の効果は弱く、市場がESGを選択的に評価することを示す。
English
This paper examines the impact of ESG dimensions on stock return volatility for Sharia-compliant manufacturing firms in Indonesia (2018-2024). Using panel data regression, it finds that the Environmental dimension significantly reduces volatility, while Social and Governance dimensions have weaker or no effects, indicating selective market pricing of ESG factors.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
本論文は、イスラム金融の文脈におけるESGマテリアリティの実証的証拠を提供し、東南アジアに進出する日本企業にとって参考となる。環境次元がリスク評価で優位であることは、SSBJでも重視される気候関連リスクの重要性と整合的。
In the global GX context
This study contributes to the global debate on ESG materiality by showing that environmental factors dominate risk pricing in manufacturing, consistent with TCFD/ISSB emphasis on climate-related risks. It also highlights the integration of ESG in Islamic finance, an underexplored area.
👥 読者別の含意
🔬研究者:Useful for understanding ESG-risk relationship in emerging markets and Islamic finance context.
🏢実務担当者:Limited direct application, but underscores the importance of materiality assessment for ESG integration.
🏛政策担当者:Provides insights for developing ESG disclosure frameworks in Islamic finance jurisdictions.
📄 Abstract（原文）
This study aims to analyze the effect of Environmental, Social, and Governance (ESG) dimensions on the stock price volatility of Sharia-compliant companies listed in the Indonesian Sharia Stock Index (ISSI) within the manufacturing sector over the period 2018–2024. This study employs a quantitative approach using panel data regression. ESG is measured based on sustainability report disclosures referring to GRI Standards, while stock price volatility is calculated using the standard deviation of stock returns. The results indicate that the Environmental dimension has a significant negative effect on stock price volatility, whereas the social dimension is only significant at the 10% level and the Governance dimension shows no significant effect. These findings suggest that the market does not respond to ESG as a unified construct, but rather selectively based on the relevance of each dimension to firm-level risk. In the context of the manufacturing sector, the environmental aspect is more dominant due to its direct association with operational risk.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.52644/xv0vxz04first seen 2026-06-30 05:38:30
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