Investor Behavioral Reactions to Green Finance News Sentiment in the Indonesian Capital Market

Abstract

This study examines the impact of environmental, social, and governance (ESG) news intensity and sentiment on stock abnormal returns in the Indonesian capital market. It examines whether non-financial ESG-related information is relevant to short-term stock price formation from a behavioral finance perspective.

The study employs a quantitative research design using daily panel data of publicly listed firms in Indonesia. ESG news intensity and sentiment scores are analyzed alongside trading volume to assess their influence on abnormal stock returns. The estimation is conducted using panel least squares with firm fixed effects and White cross-section robust standard errors. The study is grounded in the behavioral finance and market efficiency literature.

The empirical results indicate that neither ESG news intensity nor ESG news sentiment has a statistically significant effect on stock abnormal returns in the short term..

The empirical results indicate that neither ESG news intensity nor ESG news sentiment has a statistically significant effect on stock abnormal returns in the short term.

The results provide insights for investors, firms, and regulators regarding the current role of ESG information in investment decision-making in Indonesia.

This study contributes to the literature by integrating ESG news sentiment and behavioral finance using daily panel data in an emerging market context.