SKRIPSI AKS
PENGARUH ENVIRONMENT SOCIAL GOVERNANCE (ESG), PROFITABILITAS, DAN MAKROEKONOMI TERHADAP RETURN SAHAM
ABSTRACT
This research aims to analyze the influence of ESG, profitability and
macroeconomics on stock returns in companies listed on the LQ45 index from
2018-2021 and the BGK ESG index from 2018-2021. The data used is secondary
data with data collection techniques in the form of documentation.
The method used in this research is a quantitative method with a purposive
sampling technique. The sample in this study consisted of 18 companies listed on
the LQ45 index, the BGK ESG index from 2018-2021 with a total of 72
observations. The data analysis used in this research is panel data regression
analysis using the Eviews 10 application.
Based on data analysis carried out using panel data regression analysis, it
shows that environmental social governance (ESG), ROA, exchange rates have no
effect on stock returns. Meanwhile, the interest rate variable has a significant effect
in a negative direction on stock returns.
Keywords: Environment Social Governance (ESG), ROA, Exchange Rate,
Interest Rate, Stock Return
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