Pengaruh Kinerja Keberlanjutan dan Kinerja Keuangan terhadap Return Saham: Peran Moderasi Tata Kelola Perusahaan

Jihan Feodora Agryani Putri, Indarti Diah Palupi

Abstract


Penelitian ini bertujuan untuk menganalisis pengaruh kinerja keberlanjutan dan kinerja keuangan terhadap return saham serta menguji peran tata kelola perusahaan sebagai variabel moderasi pada perusahaan perbankan yang terdaftar di Bursa Efek Indonesia pada periode 2020–2024. Penelitian ini menggunakan pendekatan kuantitatif dengan regresi data panel dan Moderated Regression Analysis (MRA). Sampel dipilih menggunakan purposive sampling berdasarkan ketersediaan laporan tahunan, laporan keberlanjutan, dan data penelitian, dengan data sekunder yang diperoleh dari BEI serta situs resmi perusahaan. Kinerja keberlanjutan diproksikan dengan skor ESG, kinerja keuangan dengan ROA, sedangkan tata kelola perusahaan diproksikan dengan board independence. Analisis dilakukan menggunakan Stata dengan CEM sebagai model baseline serta FEM, FGLS, dan GMM sebagai robustness check. Hasil penelitian menunjukkan bahwa ESG dan ROA tidak berpengaruh signifikan terhadap return saham. GCG juga tidak terbukti memoderasi hubungan antara ESG dan ROA terhadap return saham. Temuan ini menunjukkan bahwa faktor keberlanjutan, kinerja keuangan, dan tata kelola perusahaan belum menjadi determinan utama return saham perbankan selama periode penelitian.

Keywords


ESG, Good Corporate Governance, Kinerja Keuangan, Kinerja Keberlanjutan, Return Saham.

Full Text:

PDF

References


Adaui, C. R. L. (2020). Corporate social responsibility and legitimacy: Evidence from emerging markets. Journal of Accounting in Emerging Economies, 10(3), 451–472.

Adhariani, D., & du Toit, E. (2020). Sustainability reporting in Indonesia: An analysis of the driving factors. Journal of Accounting in Emerging Economies, 10(3), 456–479.

Aditama, A. (2022). The impact of environmental, social, and governance (ESG) performance on stock returns in Indonesian companies. International Journal of Research in Social Science, 12(6), 45–54.

Akhmadi, M. H., & Prasetyo, A. (2018). Sustainability report dan kinerja keuangan. Jurnal Akuntansi Multiparadigma, 9(3), 510–528.

Amalia, R., & Kusuma, I. W. (2023). Pengaruh kinerja environmental, social, and governance terhadap return saham perusahaan di Indonesia. Jurnal Akuntansi dan Keuangan, 25(2), 145–158.

Amrulloh, D., & Amalia, D. (2020). Good corporate governance dan kinerja perusahaan. Jurnal Akuntansi dan Keuangan Indonesia, 17(1), 1–15.

Anwaar, M. (2016). Impact of firms’ performance on stock returns: Evidence from Pakistan. International Journal of Economics and Financial Issues, 6(3), 97–103.

Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277–297.

Aryaningsih, N. N., Sujana, E., & Yuniarta, G. A. (2018). Pengaruh return on asset, return on equity, dan earnings per share terhadap return saham. Jurnal Akuntansi Profesi, 9(2), 1–10.

Atan, R., Alam, M. M., Said, J., & Zamri, M. (2018). The impacts of environmental, social, and governance factors on firm performance. Management of Environmental Quality: An International Journal, 29(2), 182–194.

Badan Pusat Statistik. (2025). Tingkat Inflasi Indonesia Tahun 2025. Badan Pusat Statistik.

Baltagi, B. H. (2021). Econometric Analysis of Panel Data (6th ed.). Springer.

Bai, J., Choi, S. H., & Liao, Y. (2020). Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations. http://arxiv.org/abs/1910.09004

Baron, R. M., & Kenny, D. A. (1986). The moderator–mediator variable distinction in social psychological research: Conceptual, strategic, and statistical considerations. Journal of Personality and Social Psychology, 51(6), 1173–1182.

Brigham, E. F., & Houston, J. F. (2019). Fundamentals of financial management (15th ed.). Cengage Learning.

Breusch, T. S., & Pagan, A. R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies, 47(1), 239–253.

Budialim, G. (2013). Pengaruh kinerja keuangan dan risiko terhadap return saham perusahaan sektor consumer goods di Bursa Efek Indonesia tahun 2007–2011. Jurnal Ilmiah Akuntansi, 8(1), 45–58.

Bun, M. J. G., & Kleibergen, F. (2021). Identification robust inference for moments- base analysis of linear dynamic panel data models. http://arxiv.org/abs/2105.08346

Christy, N., & Sofie. (2023). Pengaruh kinerja ESG terhadap keputusan investasi investor. Jurnal Akuntansi dan Manajemen, 20(1), 33–47.

Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2011). Signaling theory: A review and assessment. Journal of Management, 37(1), 39–67.

Dowling, J., & Pfeffer, J. (1975). Organizational legitimacy: Social values and organizational behavior. Pacific Sociological Review, 18(1), 122–136.

Duong, K. D., Doan Tran, T. N., Dang, H. G., & Nhan Le, A. N. (2024). How Political Connections and Financial Constraints Affect Total Asset Growth Anomaly Before and During the Covid-19 Pandemic? SAGE Open, 14(4). https://doi.org/10.1177/21582440241300893

Edmans, A. (2011). Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial Economics, 101(3), 621–640.

Ersyafdi, I. R., & Aslamiyah, Z. (2023). Pengaruh Rasio Keuangan dan Ukuran Perusahaan terhadap Return Saham Jakarta Islamic Index 70. IQTISHODUNA, 19(2)

Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, 60(11), 2835–2857.

Fama, E. F., & Jensen, M. C. (1983). Separation of ownership and control. Journal of Law and Economics, 26(2), 301–325.

Formentini, M., & Taticchi, P. (2020). Corporate sustainability approaches and governance mechanisms in sustainable business models. Journal of Cleaner Production, 254, 120060.

Freeman, R. E., Harrison, J. S., & Wicks, A. C. (2021). Managing for stakeholders: Survival, reputation, and success. Journal of Management Studies, 58(1), 1–25.

Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210–233.

Ghozali, I. (2018). Aplikasi analisis multivariate dengan program IBM SPSS 25 (9th ed.). Badan Penerbit Universitas Diponegoro.

Greene, W. H. (2018). Econometric Analysis (8th ed.). Pearson.

Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics (5th ed.). McGraw-Hill Education.

Gumanti, T. A. (2009). Teori sinyal dalam manajemen keuangan. Jurnal Manajemen dan Usahawan Indonesia, 38(4), 4–13.

Hartono, J. (2010). Teori portofolio dan analisis investasi. BPFE Yogyakarta.

Healy, P. M., & Palepu, K. G. (2001). Information Asymmetry, Corporate Disclosure, and the Capital Markets. Journal of Accounting and Economics, 31(1–3), 405–440.

Husada, C., & Handayani, S. (2021a). Pengaruh kinerja keuangan dan pengungkapan keberlanjutan terhadap nilai perusahaan. Jurnal Akuntansi dan Auditing Indonesia, 25(1), 1–14.

Husada, C., & Handayani, S. R. (2021b). Pengaruh kinerja keuangan dan nonkeuangan terhadap return saham. Jurnal Akuntansi Multiparadigma, 12(2), 250–267.

Ibrahim, M. (2023). Pengaruh kinerja keberlanjutan terhadap return saham perusahaan di Indonesia. Jurnal Manajemen dan Bisnis, 20(3), 201–215.

Ielasi, F., & Bellucci, A. (2023a). ESG performance and banking risk. Journal of Sustainable Finance & Investment, 13(1), 1–19.

Ielasi, F., & Bellucci, A. (2023b). ESG performance and risk in the banking sector. Journal of Sustainable Finance & Investment, 13(2), 345–363.

Ikatan Akuntan Indonesia. (2020). Standar akuntansi keuangan. Jakarta: IAI.

Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs, and ownership structure. Journal of Financial Economics, 3(4), 305–360.

Kasmir. (2022). Analisis Laporan Keuangan (Edisi Revisi). PT RajaGrafindo Persada.

Khoiriyah, M., et al. (2024). Corporate governance dan kinerja perusahaan. Jurnal Akuntansi dan Auditing Indonesia, 28(1), 45–60.

Khunkaew, S., et al. (2023). Stakeholder engagement and sustainability performance. Sustainability, 15(4), 1–17.

Kurniawan, P., & Wahyuni, E. (2018). Pengaruh pengungkapan CSR terhadap legitimasi perusahaan. Jurnal Akuntansi dan Auditing, 15(2), 89–104.

Laksono, A., & Kusumaningtias, R. (2021). Mekanisme corporate governance dan nilai perusahaan. Jurnal Keuangan dan Perbankan, 25(2), 234–247.

Laksono, B., & Kusumaningtias, R. (2021). Good corporate governance dan nilai perusahaan. Jurnal Riset Akuntansi dan Keuangan, 9(1), 1–14.

Li, Y., Gong, M., Zhang, X. Y., & Koh, L. (2018). The impact of environmental, social, and governance disclosure on firm value. Business Strategy and the Environment, 27(7), 1076–1090.

Lee, J., & Koh, K. (2024). ESG performance and firm risk in the U.S. financial firms. Review of Financial Economics, 42(3), 328–344. https://doi.org/10.1002/rfe.1208

Machdar, N. M. (2017). Pengaruh kinerja keuangan terhadap return saham. Jurnal Akuntansi, 21(2), 227–240.

Mankiw, N. G. (2021). Principles of Economics (9th ed.). Cengage Learning.

Meidiana Mulya Ningsih, D., Yulianingrum, D., & Relyza, R. N. (2025). Peranan moderasi corporate governance atas hubungan ESG dan kinerja perusahaan. Jurnal Akuntansi, Keuangan dan Perpajakan, 8(2).

Michelon, G., Pilonato, S., & Ricceri, F. (2015). CSR reporting practices and the quality of disclosure. Accounting, Auditing & Accountability Journal, 28(3), 432–466.

Mohanty, S., et al. (2023). Stakeholder theory and firm performance. Journal of Business Research, 155, 113–125

Mujianti, E., & Novitasari, D. (2025). Pengaruh kinerja ESG dan price-to-earnings ratio terhadap return saham pada bank ESG leaders di Bursa Efek Indonesia. Jurnal Akuntansi dan Keuangan, 27(1), 55–68.

Mujianti, R., & Novitasari. (2025). Pengaruh kinerja ESG dan nilai perusahaan terhadap return saham perbankan di Indeks ESG Leaders. Account: Jurnal Akuntansi, Keuangan dan Perbankan, 12(1), 1–15.

Mumtazah, F., & Purwanto, A. (2020). Pengungkapan corporate governance dan nilai perusahaan. Diponegoro Journal of Accounting, 9(3), 1–12.

Naratama, A., & Majidah. (2011). Legitimacy theory in corporate reporting. Jurnal Akuntansi, 3(2), 101–112.

Nurfadila, & Sukmayanti, R. (2020). Peran GCG dalam memoderasi pengaruh kinerja keuangan terhadap return saham. Jurnal Akuntansi dan Investasi, 21(2), 180–195.

Negara, N. G. P., Ishak, G., & Priambodo, R. E. A. (2024). Impact of ESG Disclosure Score on Firm Value: Empirical Evidence From ESG Listed Company in Indonesia Stock Exchange. European Journal of Business and Management Research, 9(2), 114–118. https://doi.org/10.24018/ejbmr.2024.9.2.2064

Noor, A., Hassan, R., Fortea, C., & Antohi, V. M. (2025). A Greener Paradigm Shift: The Moderating Role of Board Independence in Sustainability Reporting. Sustainability (Switzerland), 17(11). https://doi.org/10.3390/su17114776

OECD. (2020). OECD Economic Outlook, Volume 2020 Issue 1. Organisation for Economic Co-operation and Development.

Otoritas Jasa Keuangan. (2017). Peraturan Otoritas Jasa Keuangan Nomor 51/POJK.03/2017 tentang Penerapan Keuangan Berkelanjutan bagi Lembaga Jasa Keuangan, Emiten, dan Perusahaan Publik. Jakarta: OJK.

Oware, K. M., & Worae, T. A. (2023). Sustainability disclosure and stakeholder trust. Journal of Sustainable Finance & Investment, 13(1), 65–82.

Patmawati, M., & Adi, S. W. (2025). Pengaruh Good Corporate Governance, Corporate Social Responsibility, Profitabilitas, dan Leverage Terhadap Nilai Perusahaan Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2022–2024. Indonesian Journal of Digital Business, 5(4).

Perdana, R. S., & Adriana, D. (2019). Pengaruh kinerja keuangan terhadap return saham perusahaan perbankan. Jurnal Manajemen dan Bisnis, 6(2), 112–121.

Puspitaningtyas, Z. (2019). Reaksi pasar modal terhadap informasi perusahaan. Jurnal Keuangan dan Perbankan, 23(2), 215–228.

Putri, R. A., & Nugroho, S. B. (2023). Pengaruh kinerja ESG terhadap return saham perbankan konvensional di Indonesia. Jurnal Pelita Manajemen, 8(3), 187–198.

Priadi, F. R., & Wahyudi, H. D. (2025). Pengaruh Environmental, Social, and Governance (ESG) Score Terhadap Return On Assets (ROA) Dengan Moderasi Ukuran Perusahaan: Studi Pada Perusahaan Indeks LQ45 Periode 2019–2024. Indonesian Journal of Digital Business, 5(4).

Qurniasih, N., et al. (2025). Corporate governance, ESG disclosure, and stock returns. Sustainability, 17(2), 1–15.

Rafiuddin. (2025). Corporate governance, financial performance, and stock return in the Indonesian banking sector. International Journal of Financial Studies, 13(1), 1–15.

Rakhman, A., Nugraha, N., & Prasetyo, E. (2019). Pengaruh pengungkapan sustainability report terhadap return saham perusahaan pertambangan di Bursa Efek Indonesia. Jurnal Akuntansi Multiparadigma, 10(3), 456–470.

Rhamdani, R., & Margasari, N. (2025). Pengaruh environmental, social, dan governance terhadap return saham pada perusahaan LQ45. Eduvest: Journal of Universal Studies, 5(1), 112–125.

Ross, S. A. (1977). The determination of financial structure: The incentive-signalling approach. The Bell Journal of Economics, 8(1), 23–40.

Ross, S. A., Westerfield, R. W., Jordan, B. D., Lim, J., & Tan, R. (2022). Fundamentals of Corporate Finance (13th ed.). McGraw-Hill Education.

Prihandini, W. (2025). ESG Disclosure in the Sustainability Reports of Indonesian Banks 2022. International Journal of Economics, Business and Accounting Research (IJEBAR), 8(4). https://doi.org/10.29040/ijebar.v8i4.16854

Salman Sabian, B., & Mangifera, L. (2026). Hubungan Kinerja ESG dengan Harga Saham melalui Firm Value dan Ukuran Perusahaan: Bukti Empiris pada Perusahaan Sektor Energi dan Basic Materials di Indonesia. https://ejournal.upi.edu/index.php/IJDB

Santara, D. (2013). Pengaruh kinerja keuangan terhadap return saham. Jurnal Keuangan dan Perbankan, 17(2), 215–227.

Santika, D., et al. (2023). Sustainability reporting and legitimacy. Asian Journal of Accounting Research, 8(2), 145–160.

Santika, I. G. N., et al. (2023). Corporate legitimacy and sustainability reporting. Jurnal Akuntansi dan Keuangan, 25(1), 55–68.

Situmeang, C., & Hutabarat, F. (2017). Pengaruh risiko terhadap return saham. Jurnal Manajemen dan Bisnis, 13(1), 45–58.

Spence, M. (1973). Job market signaling. Quarterly Journal of Economics, 87(3), 355–374.

Sugiyono. (2010). Metode penelitian bisnis. Alfabeta.

Suhadak et al. (2020). Financial performance and stock returns. International Journal of Economics and Financial Issues, 10(3), 21–28.

Sunardi, N., & Edastami, M. (2024). Corporate governance as a moderating variable in sustainability disclosure. Jurnal Akuntansi dan Keuangan Indonesia, 21(1), 33–50.

Tamarisa, A. (2021). Peran tata kelola perusahaan dalam memoderasi pengaruh kinerja keuangan terhadap return saham. Jurnal Akuntansi dan Keuangan Indonesia, 18(2), 101–115.

Trihatmoko, H., et al. (2020). Environmental disclosure and corporate legitimacy. Sustainability Accounting, Management and Policy Journal, 11(5), 947–968.

Trisnowati, Y., Wahyuni, S., & Putri, A. R. (2022). The effect of ESG score on stock returns: Evidence from Sri-Kehati and IDX ESG Leaders Index. International Journal of Energy Economics and Policy, 12(4), 221–228.

Utami, W., & Yusniar, M. W. (2020). Teori keagenan dan tata kelola perusahaan. Jurnal Akuntansi, 14(1), 55–68.

Wardhani, R. (2023). ESG disclosure and stock returns in Indonesia. Jurnal Keuangan dan Perbankan, 27(2), 210–225.

Widayanti, R., Handayani, S. R., & Darminto. (2017). Pengaruh pengungkapan CSR terhadap return saham. Jurnal Administrasi Bisnis, 48(1), 80–88.

Widayanti, R., Handayani, S. R., & Hidayat, R. R. (2017). Pengaruh sustainability reporting terhadap kinerja keuangan dan return saham. Jurnal Administrasi Bisnis, 50(3), 1–9.

Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning.

Wooldridge, J. M. (2010). Econometric analysis of cross-section and panel data (2nd ed.). MIT Press.

World Bank. (2021). Global Economic Prospects. World Bank.

Yastami, N. L. P. M., & Dewi, K. P. E. D. M. (2022). Pengaruh pengungkapan sustainability report terhadap return saham perusahaan pertambangan di Bursa Efek Indonesia. E-Jurnal Akuntansi, 32(6), 1721–1735.

Yushita, A. N. (2010). Earnings management dalam hubungan keagenan. Jurnal Pendidikan Akuntansi Indonesia, 8(1), 53–62.

Ye, K., et al. (2022). ESG performance and stock returns. Journal of Cleaner Production, 345, 131–142.

Zarefar, A., et al. (2022a). Stakeholder theory and firm sustainability. Journal of Business Ethics, 179(3), 621–640.

Zarefar, A., Hidayat, M., & Rahmawati. (2022b). Stakeholder theory and firm value. Journal of Accounting and Investment, 23(1), 45–60.

Zettira, A. (2022). Pengaruh kinerja keuangan terhadap return saham. Jurnal Akuntansi dan Keuangan, 24(2), 101–115.




DOI: https://doi.org/10.17509/ijdb.v6i1.105642

Refbacks

  • There are currently no refbacks.


Copyright (c) 2026 Universitas Pendidikan Indonesia (UPI)

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Indonesian Journal of Digital Business is published by Universitas Pendidikan Indonesia (UPI)
and managed by Department of Digital Business
Jl. Dr. Setiabudi No.229, Kota Bandung, Indonesia - 40154
View My Stats