Potensi Investasi Environmental, Social, and Governance (ESG) Sebagai Lindung Nilai Dalam Pandemi COVID-19

Abstract

This study examines the potential of ESG investment as a hedge and safe haven during the Covid-19 pandemic in the Indonesian capital market. The data used is the return of the SRI-KEHATI index, ESG Leader, Composite Stock Price Index (JCI) and LQ45 from March 11, 2017 to June 21, 2023. Using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) method and the Quantile Regression (QREG) method, the results show that ESG investments cannot act as a hedge or safe haven in the Indonesian capital market. This finding suggests that investors who wish to diversify their assets are advised to consider other asset classes, such as cryptocurrencies, foreign exchange, gold, commodities, and bonds to avoid systematic market risk.

Penelitian ini mengkaji potensi investasi ESG sebagai hedge dan safe haven selama pandemi Covid-19 di pasar modal Indonesia. Data yang digunakan adalah return indeks SRI-KEHATI, ESG Leader, Indeks Harga Saham Gabungan (IHSG) dan LQ45 selama 11 Maret 2017 hingga 21 Juni 2023. Menggunakan metode Generalized Autoregressive Conditional Heteroskedasticity (GARCH) dan metode Quantile Regression (QREG), hasilnya menunjukkan bahwa investasi ESG tidak dapat berperan sebagai hedge ataupun safe haven di pasar modal Indonesia. Temuan ini menunjukan bahwa investor yang ingin melakukan diversifikasi aset disarankan untuk mempertimbangkan kelas aset lain, seperti cryptocurrency, valuta asing, emas, komoditas, dan obligasi untuk menghindari risiko sistematis market.