The Role of ESG Performance, Audit Quality, Litigation Risk, Audit Committee, Board Independence, and Trading Volume Activity in Influencing Stock Returns

Luciana Spica Almilia

Abstract


This study examines an unresolved anomaly among Indonesian public companies rated by the BGK Foundation: despite a consistent rise in average ESG scores from 25.67% in 2020 to 45% in 2023, stock returns remain volatile. This phenomenon raises questions about the extent to which ESG performance, audit quality, litigation risk, audit committee presence, board independence, and trading volume activity influence stock returns. Using a quantitative panel data regression approach, the study analyzes 435 firm-year observations from 2020 to 2023. Stock return serves as the dependent variable, while the six aforementioned factors constitute the independent variables. Simultaneous, partial, and coefficient of determination tests were conducted. Results show that all independent variables jointly affect stock returns. Individually, trading volume activity significantly influences returns, while ESG performance and audit quality exhibit effects at certain significance levels. In contrast, litigation risk, audit committee, and board independence show no significant impact. These findings suggest that investors respond more strongly to trading activity than to sustainability and corporate governance indicators, highlighting a potential gap between ESG improvements and market valuation in Indonesia’s emerging capital market.

Keywords


Audit quality, ESG performance, stock return, trading volume activity

References


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DOI: https://doi.org/10.21107/infestasi.v%25vi%25i.36066

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