MARKET REACTION TO ECONOMIC PERFORMANCE, GOVERNANCE AND CORPORATE SOCIAL ENVIRONMENTAL RESPONSIBILITY (Study on SRI-Kehati Index Constituents)

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Market reactions, proxied by abnormal returns, are used as a measure of company value concerning economic, social, and environmental performance, in conjunction with corporate governance. Company performance that supports sustainability, coupled with quality governance and ethical principles, can enhance investor confidence in the stock market, as reflected by abnormal returns. This research aims to analyze the influence of social and environmental contributions per share value, economic contribution per share, governance, size, and sales growth on market reactions using abnormal return proxies, with governance acting as a moderator of the relationship between social and environmental contributions and market reactions. The sample for this research comprises companies that have consistently remained constituents of the SRI-KEHATI BEI index from 2015 to 2019. Sample selection utilized purposive sampling, resulting in 18 companies and a total of 90 observed research objects. The analysis technique employed is multiple linear regression on panel data, utilizing Eviews. Based on the analysis results, it is concluded that the value of social and environmental contributions per share does not significantly affect market reactions, while economic contributions do. Governance and company size do not significantly affect market reactions, whereas sales growth has a positive impact. Furthermore, governance does not moderate the relationship between the value of social and environmental contributions and market reactions, nor does economic contributions moderate this relationship. The moderation of economic contributions on governance and market reactions yields a negative effect. The managerial implication of this research underscores the importance for managers to innovatively communicate the value of the company's social and environmental contributions to the public in quantifiable financial terms. This approach enables the measurement of the company's social contribution and facilitates public acceptance and understanding, thereby emphasizing the values, goals, and benefits of the company's contributions.