Peran ESG, Faktor Keuangan dan Makro Ekonomi Terhadap Harga Saham Syariah

Abstract

The growth in the number of investors and the increasing trend toward Environmental, Social, and Governance (ESG) concepts are currently factors influencing the dynamics of the Islamic capital market in Indonesia. This study aims to analyze the effect of the number of investors, ESG, trading volume, profitability ratio proxied by Return on Equity (ROE), and inflation on the prices of Islamic stocks indexed by ISSI for the period 2021–2023. This study uses a quantitative approach with a Fixed Effect Model (FEM) panel data regression method on 35 Islamic issuers selected through purposive sampling. The results show that the number of investors has a significant negative effect on Islamic stock prices, while ESG and ROE have a significant positive effect. Trading volume and inflation, however, have no significant effect. Simultaneously, all independent variables have a significant effect on sharia stock prices with an R-squared value of 0.94. These results confirm the importance of internal company factors and information quality as signals for investors that play an important role in the movement of sharia stock prices in the Indonesian capital market.