Pengaruh ESG Disclosure terhadap Stock Price Crash Risk: Studi pada Perusahaan Sektor Energi di Indonesia Tahun 2021–2024

The Effect of ESG Disclosure on Stock Price Crash Risk: Evidence from Energy Companies in Indonesia (2021–2024)

Stock price crash risk merepresentasikan kemungkinan terjadinya penurunan harga saham perusahaan secara tiba-tiba dan signifikan yang disebabkan oleh akumulasi informasi negatif yang tidak diungkapkan. ESG disclosure diharapkan dapat mengurangi asimetri informasi dan memitigasi risiko tersebut melalui peningkatan transparansi perusahaan. Penelitian ini bertujuan untuk menguji pengaruh ESG disclosure terhadap stock price crash risk pada perusahaan energi di Bursa Efek Indonesia tahun 2021–2024 sebanyak 88 observasi. ESG disclosure diukur berdasarkan GRI Standards, sedangkan stock price crash risk menggunakan Negative Conditional Skewness (NCSKEW) dan Down-to-Up Volatility (DUVOL). Regresi panel menunjukkan bahwa ESG disclosure tidak berpengaruh terhadap stock price crash risk berdasarkan kedua pengukuran tersebut. Temuan ini mengindikasikan bahwa ESG disclosure belum berfungsi efektif sebagai mekanisme untuk mengurangi stock price crash risk pada perusahaan energi di Indonesia. Penelitian selanjutnya disarankan untuk memperluas sampel penelitian dan fokus pada perusahaan dengan tingkat eksposur stock price crash risk yang lebih tinggi.

Keywords: ESG Disclosure, Stock Price Crash Risk, Sektor Energi, NCSKEW, DUVOL.

Stock price crash risk represents the possibility of a sudden and significant decline in a company’s stock price caused by the accumulation of undisclosed negative information. ESG disclosure is expected to reduce information asymmetry and mitigate such risk through greater corporate transparency. This study aims to examine the effect of ESG disclosure on stock price crash risk in energy sector companies listed on the Indonesia Stock Exchange during 2021–2024 using 88 firm-year observations. ESG disclosure was measured based on the GRI Standards, while stock price crash risk was proxied by Negative Conditional Skewness (NCSKEW) and Down-to-Up Volatility (DUVOL). Using panel data regression, results show that ESG disclosure does not have a significant effect on stock price crash risk under either measurement. These findings indicate that ESG disclosure has not yet functioned effectively as a mechanism for reducing stock price crash risk in Indonesian energy companies. Future studies are recommended to expand the sample and focus on firms with higher exposure to stock price crash risk.

Keywords: ESG Disclosure, Stock Price Crash Risk, Energy Sector, NCSKEW, DUVOL.