Did ESG immunise stocks during COVID-19 pandemic? Evidence from listed companies in Indonesia

This paper investigates whether ESG influenced stock performance during the early COVID-19 crisis in Indonesia. Using 80 listed firms with ESG scores as of February 2020, event study and regression analyses were applied to cumulative abnormal returns (CAR), stock returns and volatility. Results show that stronger ESG firms experienced smaller price declines, confirming a positive and significant effect on CAR. ESG stocks also showed asymmetric behaviour, consistent with the ‘insurance function’ of ESG. However, environmental scores were linked to short-term fluctuations, though the effect was not robust. Overall, ESG appears to provide return insurance rather than volatility reduction.