THE INFLUENCE OF GEOPOLITICAL RISKS ON STOCK PRICE CRASH WITH ESG MODERATION IN INDONESIA
DOI:
https://doi.org/10.35794/jmbi.v11i3.57621Abstract
Stock prices can indicate a company's development activity and show the investment commitment made by investors. However, under certain conditions, there is often a significant decline in stock prices which is called a market crash, such as due to geopolitical risk. This study aims to examine how geopolitical risk affects market crashes and how ESG performance is able to suppress market crashes. This study was conducted quantitatively on 64 companies with 353 observations in the period 2013-2022. Testing was carried out using panel data regression. The results of the study showed that GPR did not have a significant effect on market crashes, so ESG performance was also unable to moderate the effect of GPR on market crash risk.
References
Akadiri, S. Saint, Eluwole, K. K., Akadiri, A. C., & Avci, T. (2020). Does causality between geopolitical risk, tourism and economic growth matter? Evidence from Turkey. Journal of Hospitality and Tourism Management, 43(April), 273–277. https://doi.org/10.1016/j.jhtm.2019.09.002
Barone, A. (2023). Indikator Ekonomi: Pengertian dan Cara Menafsirkannya. Https://Www.Investopedia.Com/. https://www.investopedia.com/terms/e/economic_indicator.asp
Bevilacqua, M., Maru, M., & Navigli, R. (2020). Generationary or: “How we went beyond word sense inventories and learned to gloss.” EMNLP 2020 - 2020 Conference on Empirical Methods in Natural Language Processing, Proceedings of the Conference, 7207–7221. https://doi.org/10.18653/v1/2020.emnlp-main.585
Bossman, A., Gubareva, M., & Teplova, T. (2023). Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors. In Eurasian Economic Review (Vol. 13, Issues 3–4). Springer International Publishing. https://doi.org/10.1007/s40822-023-00234-y
Caldara, D., & Iacoviell, M. (2022). Measuring Geopolitical Risk. In American Economic Review (Vol. 112, Issue 4). https://doi.org/10.1257/aer.20191823
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182–199. https://doi.org/10.1016/j.irfa.2018.09.003
de Villiers, C., Ma, D., & Marques, A. (2023). Corporate social responsibility disclosure, dividend payments and firm value – Relations and mediating effects. Accounting and Finance, 1–35. https://doi.org/10.1111/acfi.13140
Fiorillo, P., Meles, A., Pellegrino, L. R., & Verdoliva, V. (2024). Geopolitical risk and stock price crash risk: The mitigating role of ESG performance. International Review of Financial Analysis, 91(June 2023), 102958. https://doi.org/10.1016/j.irfa.2023.102958
Gregorius Jeandry, & Nurdin. (2023). the Moderating Role of Esg Disclosure on Firm Strategy and Stock Price Crash Risk. Jurnal Riset Akuntansi Dan Bisnis Airlangga, 8(2), 1578–1601. https://doi.org/10.20473/jraba.v8i2.45562
Hayati, R., & Rifaldi, A. (2023). Influence of Export and Import Activities on Economic Support in the Aceh Region. JIA (Jurnal Ilmiah Agribisnis) : Jurnal Agribisnis Dan Ilmu Sosial Ekonomi Pertanian, 8(3), 207–213. https://doi.org/10.37149/jia.v8i3.587
Jung, S., Lee, J., & Lee, S. (2021). Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics. IMF Working Papers, 2021(251), 1. https://doi.org/10.5089/9781557759672.001
Kaligis, C. G., Mangantar, M., & Rumokoy, L. J. (2023). the Influence of Geopolitic Risk, Company Size and Leverage on Cash Ownership in Airline Companies At Bei 2012-2021 Period. Jurnal EMBA, 11(3), 1062–1073. www.idx.co.id
Le, A. T., & Tran, T. P. (2021). Does geopolitical risk matter for corporate investment? Evidence from emerging countries in Asia. Journal of Multinational Financial Management, 62(xxxx), 100703. https://doi.org/10.1016/j.mulfin.2021.100703
Lee, C. C., & Lee, C. C. (2020). Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS. Economic Modelling, 92(December 2019), 207–215. https://doi.org/10.1016/j.econmod.2020.01.001
Liu, P. (2023). ESG Performance and Stock Price Collapse Risk of Listed Companies from the Perspective of Property Rights. Atlantis Press International BV. https://doi.org/10.2991/978-94-6463-030-5_70
Murata, R., & Hamori, S. (2021). ESG Disclosures and Stock Price Crash Risk. Journal of Risk and Financial Management, 14(2). https://doi.org/10.3390/jrfm14020070
Nisa, A. Z., Titisari, K. H., & Masitoh, E. (2023). Pengaruh Pengungkapan Environmental, Social, dan Governance terhadap Kinerja Perusahan. Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 5(5), 2400–2411. https://doi.org/10.47467/alkharaj.v5i5.3410
Noviyanti, S. (2022). Pentingnya Peran dan Kontribusi UMKM dalam Pemulihan Ekonomi Indonesia Halaman all - Kompas.com. Kompas.Com. https://money.kompas.com/read/2022/02/04/070800426/pentingnya-peran-dan-kontribusi-umkm-dalam-pemulihan-ekonomi-indonesia?page=all
Pereira da Silva, P. (2022). Crash risk and ESG disclosure. Borsa Istanbul Review, 22(4), 794–811. https://doi.org/10.1016/j.bir.2022.04.001
Segal, M. (2024). Over 70% of Companies Have Abandoned Acquisitions Over ESG Concerns: Deloitte Survey - ESG Today. Https://Www.Esgtoday.Com/. https://www.esgtoday.com/over-70-of-companies-have-abandoned-acquisitions-over-esg-concerns-deloitte-survey/
Sitorus, A. P., Mahlel, Majid, M. S. A., Marliyah, & Handayani, R. (2022). Krisis Keuangan Masa Depan dan Sistem Keuangan Baru. Jurnal EMT KITA, 6(1), 136–146. https://doi.org/10.35870/emt.v6i1.561
Sumarjo, C. M. ., & Mangantar, M. (2022). Pengaruh Risiko Geopolitik, Proftabilitas Dan Leverage Terhadap Return Saham Perusahaan Pertambangan Subsektor Migas Yang Terdaftar Di Bursa Efek Indonesia. Jurnal EMBA : Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 10(3), 1027. https://doi.org/10.35794/emba.v10i3.43665
Tan, O. F., Cavlak, H., Cebeci, Y., & Günes, N. (2022). The Impact of Geopolitical Risk on Corporate Investment: Evidence from Turkish Firms. The Indonesian Capital Market Review, 14(1), 16–32. https://doi.org/10.21002/icmr.v14i1.1138
Tangngisalu, J., & Jumady, E. (2020). Good Corporate Governance Sebagai Pemoderasi: Hubungan Asimetri Informasi Terhadap Manajemen Laba Pada Perusahaan LQ 45. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi)., 7(1)
Wang, S., & Wang, D. (2022). Exploring the Relationship Between ESG Performance and Green Bond Issuance. Frontiers in Public Health, 10(May), 1–13. https://doi.org/10.3389/fpubh.2022.897577
Wang, X., Wang, Y., & Meng, Q. (2023). Research on Relations Between ESG Performance and Stock Price Crash Risks (Vol. 2). Atlantis Press International BV. https://doi.org/10.2991/978-94-6463-030-5_77
