Stock Volatility and Liquidity During Covid-19 Pandemic: Comparison of ESG Leader and Non ESG Leader Companies in Indonesia

  • Stefanus Marcello Aditya
  • Yunieta Anny Nainggolan


The objectives of this paper are to find whether there are any differences between stock volatility and stock liquidity between ESG leader companies listed in IDXESGL index in Indonesia Stock Market and to find out whether stock volatility affects stock liquidity negatively during this Covid-19 pandemic times. Indonesia Stock Market recorded record in terms of increased number of investors. With the increased number of investors and unprecedented challenges caused by the pandemic, investment risks in the form of volatility and liquidity arose from that occasion. Moreover, the appliance of sustainable investment through investing into companies with good track of ESG records have proven to make companies become valued at premium and experienced a reduce in stock price volatility while also maintaining a greater excess return. With previous studies findings found volatility has a negative correlation with stock liquidity, and with reduced volatility exists within ESG companies, this could indicate that liquidities for companies with less volatility will increase. Thus, this paper will try to examine the samples which include ESG leader companies and Non ESG companies, totaling a sum of 60 samples within Indonesia Stock Market. Methods of research that have been utilized are descriptive statistics analysis and multiple linear regression. Moreover, the regression analysis method showcased that there is a positive relationship between stock volatility and stock liquidity. The relation of stock volatility and liquidity is categorized as high correlation with strong relationship. The findings of this research are hoped to be useful for investors, especially in the stock market. Applying a sustainable investment through investment of ESG companies could become investors’ consideration in order to avoid future potential risks. With a reduced volatility and higher liquidity for ESG companies, investors could benefit from their investment acitivty in the long – run.


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How to Cite
MARCELLO ADITYA, Stefanus; ANNY NAINGGOLAN, Yunieta. Stock Volatility and Liquidity During Covid-19 Pandemic: Comparison of ESG Leader and Non ESG Leader Companies in Indonesia. Asian Journal of Accounting and Finance, [S.l.], v. 4, n. 3, p. 1-14, sep. 2022. ISSN 2710-5857. Available at: <>. Date accessed: 03 dec. 2022.