ESG and Energy Price Volatility: Impact on Energy Sector Stock Returns on the IDX

Abstract

This study aims to analyze the influence of Environmental, Social, and Governance (ESG) disclosure and energy price volatility on the stock returns of energy sector companies listed on the Indonesia Stock Exchange (IDX) during the 2022–2024 period. A quantitative approach was applied, employing multiple linear regression as the analytical method. The sample consisted of 10 energy companies selected through purposive sampling, based on the availability of sustainability reports, stock price data, and the completeness of research information. The findings reveal that ESG disclosure has a positive and significant effect on stock returns, indicating that greater sustainability transparency enhances investor confidence. Energy price volatility also has a positive and significant impact on stock returns, reflecting the sector’s sensitivity to fluctuations in global energy prices. Jointly, both variables exert a significant influence on stock returns, although the relatively low coefficient of determination suggests the presence of other contributing factors. These results emphasize the importance for investors to consider both internal factors (ESG) and external factors (energy price volatility) when making investment decisions in the energy sector.