Volatility Clustering dan Leverage Effect pada Indeks ESG Leaders: Studi Kasus PGAS & PGEO di Pasar Modal Indonesia
(1) UNIVERSITAS MUHAMMADIYAH SEMARANG
(2) Program Studi Keuangan Perbankan Universitas STIKUBANK Semarang
(3) Universitas Muhammadiyah Semarang
(4) Universitas Muhammadiyah Semarang
(*) Corresponding Author
Abstract
Studi ini bertujuan menganalisis fenomena volatility clustering dan leverage effect pada Indeks ESG Leaders di pasar modal Indonesia, dengan fokus pada pengaruh return PT Perusahaan Gas Negara Tbk (PGAS) dan PT Pertamina Geothermal Energy Tbk (PGEO). Data mingguan periode 7 Januari 2024 hingga 27 Juli 2025 dianalisis menggunakan model Exponential GARCH (EGARCH) untuk menguji persistensi volatilitas serta respons asimetris terhadap return positif dan negatif.
Hasil estimasi menunjukkan bahwa baik return PGAS maupun PGEO tidak berpengaruh signifikan terhadap return indeks, mengindikasikan keterbatasan kontribusi jangka pendek dari kedua emiten terhadap kinerja indeks. Pada persamaan varians, temuan mengonfirmasi adanya volatility clustering, di mana volatilitas tinggi cenderung berlanjut pada periode berikutnya. Selain itu, leverage effect signifikan pada tingkat 10% menunjukkan bahwa return negatif meningkatkan volatilitas secara lebih besar dibanding return positif, selaras dengan literatur yang menekankan sensitivitas investor terhadap berita buruk, khususnya dalam konteks ESG. Temuan ini memberikan implikasi penting bagi manajemen risiko portofolio berbasis ESG di pasar negara berkembang.
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DOI: https://doi.org/10.26714/vameb.v21i2.18845
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