Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic
This study scrutinizes the potential of Environmental, Social and Governance (ESG) investment as hedge and safe haven instruments during the COVID-19 pandemic in the Indonesia Stock Exchange (IDX). This research was conducted using the daily return data of ESG indices and conventional indices collec...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Social Sciences |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23311886.2024.2447909 |
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| author | Robiyanto Robiyanto Frieska Dwi Agustina Intiyas Utami Budi Frensidy Andrian Dolfriandra Huruta |
| author_facet | Robiyanto Robiyanto Frieska Dwi Agustina Intiyas Utami Budi Frensidy Andrian Dolfriandra Huruta |
| author_sort | Robiyanto Robiyanto |
| collection | DOAJ |
| description | This study scrutinizes the potential of Environmental, Social and Governance (ESG) investment as hedge and safe haven instruments during the COVID-19 pandemic in the Indonesia Stock Exchange (IDX). This research was conducted using the daily return data of ESG indices and conventional indices collected for three years before the Covid-19 pandemic (11 March 2017–28 February 2020) and between the first reporting of Covid-19 in Indonesia (March 02, 2020) and the revocation of COVID-19 pandemic status in Indonesia (21 June 2023). The ESG indices used were the ESG Leader index and the SRI-KEHATI index, and the conventional indices used were the Composite Stock Price Index (JCI), which were compared against overall market return and the LQ45 index containing 45 stocks actively traded in Indonesia. Using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Quantile Regression (QREG) techniques, the study found that ESG investments cannot act as hedge or safe haven in IDX. Investors in IDX who wish to diversify their assets should consider other asset classes, such as precious metals, cryptocurrencies, currencies, commodities, and fixed income instruments, such as sovereign or corporate bonds. |
| format | Article |
| id | doaj-art-466d195c247642f3ac19c92e14e0269d |
| institution | Kabale University |
| issn | 2331-1886 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Social Sciences |
| spelling | doaj-art-466d195c247642f3ac19c92e14e0269d2025-01-21T18:47:00ZengTaylor & Francis GroupCogent Social Sciences2331-18862025-12-0111110.1080/23311886.2024.2447909Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemicRobiyanto Robiyanto0Frieska Dwi Agustina1Intiyas Utami2Budi Frensidy3Andrian Dolfriandra Huruta4Department of Management, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Central Java, IndonesiaDepartment of Management, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Central Java, IndonesiaDepartment of Accounting, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Central Java, IndonesiaDepartment of Accounting, Faculty of Economics and Business, Universitas Indonesia, Kampus Universitas Indonesia, Depok, West Java, IndonesiaDepartment of Economics, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Central Java, IndonesiaThis study scrutinizes the potential of Environmental, Social and Governance (ESG) investment as hedge and safe haven instruments during the COVID-19 pandemic in the Indonesia Stock Exchange (IDX). This research was conducted using the daily return data of ESG indices and conventional indices collected for three years before the Covid-19 pandemic (11 March 2017–28 February 2020) and between the first reporting of Covid-19 in Indonesia (March 02, 2020) and the revocation of COVID-19 pandemic status in Indonesia (21 June 2023). The ESG indices used were the ESG Leader index and the SRI-KEHATI index, and the conventional indices used were the Composite Stock Price Index (JCI), which were compared against overall market return and the LQ45 index containing 45 stocks actively traded in Indonesia. Using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Quantile Regression (QREG) techniques, the study found that ESG investments cannot act as hedge or safe haven in IDX. Investors in IDX who wish to diversify their assets should consider other asset classes, such as precious metals, cryptocurrencies, currencies, commodities, and fixed income instruments, such as sovereign or corporate bonds.https://www.tandfonline.com/doi/10.1080/23311886.2024.2447909Jakarta composite indexsafe havenIndonesia stock exchangecovid-19hedgeG11 |
| spellingShingle | Robiyanto Robiyanto Frieska Dwi Agustina Intiyas Utami Budi Frensidy Andrian Dolfriandra Huruta Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic Cogent Social Sciences Jakarta composite index safe haven Indonesia stock exchange covid-19 hedge G11 |
| title | Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic |
| title_full | Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic |
| title_fullStr | Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic |
| title_full_unstemmed | Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic |
| title_short | Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic |
| title_sort | potential of environmental social and governance investment as a hedge in indonesia during covid 19 pandemic |
| topic | Jakarta composite index safe haven Indonesia stock exchange covid-19 hedge G11 |
| url | https://www.tandfonline.com/doi/10.1080/23311886.2024.2447909 |
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