Market Reactions to Economic, Social, and Environmental Contributions Post-COVID-19 a Study on ESG-Based Index Constituents

A company's value in relation to its economic, social, and environmental performance is measured by market reactions, which are represented by anomalous returns. As evidenced by abnormal returns, corporate performance that promotes sustainability can boost investor confidence in the stock market. Using abnormal returns as a stand-in, this study attempts to examine how market reactions are affected by economic and social contributions per share as well as economic contributions per share. The research sample consists of companies that have consistently been constituents of the SEG index, which includes SRI-Kehati, ESG Sector Leaders IDX KEHATI, and ESG Quality 45 IDX KEHATI, as well as companies in other indices such as LQ45, IDX80, and Kompas1000, from 2021 to 2023. Purposive sampling was used in the sample selection process, and 119 businesses were chosen to serve as the study subjects. Using Eviews, multiple linear regression is the analytical method employed. The analysis concludes that economic contributions have an impact on market reactions, but social and environmental contributions per share do not significantly affect them. The study's managerial implications highlight how crucial it is for managers to creatively convey to the public the company's environmental and social accomplishments in quantifiable financial terms. The value, purpose, and advantages of the company's donations are highlighted by this method, which also makes it easier for the public to accept and comprehend corporate social contributions.