PENGARUH ENVIRONMENTAL SOCIAL GOVERNANCE, EARNINGS PER SHARE, DAN DIVIDEND PAYOUT RATIO, TERHADAP RETURN SAHAM INDEKS ESG QUALITY 45 KEHATI YANG DIMODERASI OLEH LIKUIDITAS SAHAM

HADIANTO, HILMAN (2026) PENGARUH ENVIRONMENTAL SOCIAL GOVERNANCE, EARNINGS PER SHARE, DAN DIVIDEND PAYOUT RATIO, TERHADAP RETURN SAHAM INDEKS ESG QUALITY 45 KEHATI YANG DIMODERASI OLEH LIKUIDITAS SAHAM. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to determine the effect of environmental social and governance (ESG) in aggregate, as well as the environmental (E), social (S), and governance (G) pillars, earnings per share (EPS), and dividend payout ratio (DPR) on stock returns with stock liquidity as a moderating variable. The population in this study of 45 stocks of companies listed on the ESG Quality 45 Kehati Index for the period 2021-2024. The sampling technique used in this study is purposive sampling. The sample in this study consisted of 22 company stocks that were consistently listed in the ESG Quality 45 Kehati Index for the 2021-2024 period. The data analysis methods used were panel data regression analysis and moderated regression analysis (MRA). The results of the study indicate that ESG, both in aggregate and as pillars and DPR, has a significant positive effect on stock returns, while EPS has no effect on stock returns. The results of this study also show that stock liquidity moderates the effect of ESG in aggregate and as pillars on stock returns but cannot moderate the effect of EPS and DPR on stock returns. Thus, the impact of ESG on stock returns tends to be stronger on more liquid stocks. Keywords: ESG, Earnings Per Share, Dividend Payout Ratio, Stock Liquidity, Stock Return Penelitian ini bertujuan untuk mengetahui pengaruh environmental social dan governance (ESG) secara aggregate, maupun sebagai pilar environmental (E), pilar social (S), pilar governance (G), earnings per share (EPS), dan dividend payout ratio (DPR), terhadap return saham dengan likuiditas saham sebagai variabel moderator. Populasi dalam penelitian ini adalah 45 saham perusahaan Indeks ESG Quality 45 Kehati periode 2021-2024. Teknik pengambilan sampel yang digunakan dalam penelitian ini adalah purposive sampling. Sampel dalam penelitian adalah 22 saham perusahaan yang konsisten terdaftar dalam Indeks ESG Quality 45 Kehati pada periode tahun 2021-2024. Metode analisis data yang digunakan adalah analisis regresi data panel dan analisis regresi moderasi (MRA). Hasil penelitian menunjukkan bahwa ESG secara aggregate maupun sebagai pilar dan DPR berpengaruh signifikan positif terhadap return saham, sedangkan EPS tidak berpengaruh terhadap return saham. Hasil penelitian ini juga menunjukkan bahwa likuiditas saham terbukti memoderasi pengaruh ESG secara aggregate maupun sebagai pilar terhadap return saham namun belum dapat memoderasi pengaruh EPS dan DPR terhadap return saham. Dengan demikian dampak ESG terhadap return saham cenderung lebih kuat pada saham yang lebih likuid. Kata kunci : ESG, Earnings Per Share, Dividend Payout Ratio, Likuiditas Saham, Return Saham.

Item Type: Thesis (S2)
NIM/NIDN Creators: 55123110084
Uncontrolled Keywords: ESG, Earnings Per Share, Dividend Payout Ratio, Likuiditas Saham, Return Saham.
Subjects: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.1 Administration and Library Management/Administrasi dan Manajemen Perpustakaan > 025.11 Finance/Keuangan
100 Philosophy and Psychology/Filsafat dan Psikologi > 170 Ethics, Moral Philosophy/Etika, Filsafat Moral > 174 Occupational Ethics/Etika Jabatan, Etika Profesi > 174.4 Business Ethics/Etika Bisnis
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.6 Investment/Investasi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.01-657.09 Standard Subdivisions/Sub Divisi Standar > 657.04 Levels of Accounting/Tingkat Akuntansi
Divisions: Pascasarjana > Magister Manajemen
Depositing User: khalimah
Date Deposited: 05 Mar 2026 08:10
Last Modified: 05 Mar 2026 08:10
URI: http://repository.mercubuana.ac.id/id/eprint/101400

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