Pengaruh global economic policy uncertainty dan leverage perusahaan terhadap stock price crash risk dengan ESG sebagai variabel moderasi

INDONESIA:

Peningkatan ketidakpastian kebijakan ekonomi global akibat pandemi COVID-19, ketegangan geopolitik, dan pengetatan moneter telah memicu kekhawatiran terhadap kestabilan pasar modal di negara berkembang seperti Indonesia, khususnya risiko jatuhnya harga saham yang dapat merugikan investor. Namun, dampak tersebut berbeda-beda per perusahaan tergantung faktor internal seperti leverage dan komitmen keberlanjutan (ESG). Penelitian ini mengkaji pengaruh Global Economic Policy Uncertainty (GEPU) dan Leverage terhadap Stock Price Crash Risk (SPCR) pada perusahaan sektor energi, manufaktur, dan real estate di Bursa Efek Indonesia, serta mengevaluasi peran ESG sebagai variabel moderasi.
Penelitian menggunakan pendekatan kuantitatif dengan sampel 65 perusahaan selama periode 2019–2023, menghasilkan 242 observasi data panel tidak seimbang. Data dianalisis menggunakan regresi data panel dan Moderated Regression Analysis dengan EViews 12. Stock Price Crash Risk diukur dengan Negative Conditional Skewness (NCSKEW), Leverage dari rasio total liabilitas terhadap total aset, GEPU dari indeks Baker et al. (2016), dan ESG dari Bloomberg ESG Disclosure Score.
Hasil menunjukkan GEPU berpengaruh positif signifikan terhadap SPCR, sedangkan Leverage tidak signifikan. ESG terbukti memperlemah pengaruh GEPU terhadap SPCR secara signifikan, namun tidak memperlemah pengaruh Leverage. Temuan ini mengindikasikan bahwa ESG efektif sebagai mekanisme mitigasi terhadap risiko ketidakpastian eksternal, tetapi terbatas pada guncangan eksternal dan belum mengimbangi tekanan finansial dari leverage dalam pasar modal Indonesia.

ENGLISH:

The escalating global economic policy uncertainty triggered by the COVID-19 pandemic, geopolitical tensions, and monetary tightening has raised concerns about capital market stability in developing economies such as Indonesia, particularly regarding stock price crash risk that can harm investors. However,these impacts vary across firms depending on internal factors such as leverage and sustainability commitment (ESG). This study investigates the influence of Global Economic Policy Uncertainty (GEPU) and Leverage on Stock Price Crash Risk (SPCR) among firms in the energy, manufacturing, and real estate sectors listed on the Indonesian Stock Exchange, while evaluating ESG's role as a oderating
variable.
The study employs a quantitative approach with a sample of 65 firms over the 2019–2023 period, yielding 242 unbalanced panel observations. Data are analyzed using panel regression and Moderated Regression Analysis with EViews 12. Stock Price Crash Risk is measured using Negative Conditional Skewness (NCSKEW), Leverage as the ratio of total liabilities to total assets, GEPU from the Baker et al.(2016) index, and ESG from the Bloomberg ESG Disclosure Score. Results demonstrate that GEPU has a significant positive effect on SPCR, while Leverage shows no significant impact. ESG significantly mitigates the GEPU- SPCR relationship but fails to mitigate the Leverage-SPCR relationship. These findings indicate that ESG serves as an effective mitigation mechanism against external uncertainty risks, yet its effectiveness is limited to external shocks and cannot offset the financial pressure from leverage in Indonesia's capital market context