Penerapan Metode Regresi Data Panel dalam Menganalisis Dampak IHSG, Inflasi, Suku Bunga, dan Kurs terhadap Harga Saham IDXESGL Periode Januari 2021 – Januari 2026

Environmental, Social, and Governance (ESG)-based investing has grown significantly as investors increasingly consider sustainability aspects in their investment decisions. The IDX ESG Leaders Index (IDXESGL) consists of stocks with superior ESG performance listed on the Indonesia Stock Exchange; however, their stock price movements remain influenced by macroeconomic conditions. This study aims to analyze the effects of the Composite Stock Price Index (IHSG), inflation, interest rates, and exchange rates on the stock prices of companies included in the IDXESGL during the January 2021–January 2026 period. The study employs a panel data regression approach using data from 15 companies with a total of 915 observations. The model selection results indicate that the Random Effect Model (REM) is the most appropriate model. Partially, the IHSG and interest rates have a positive and significant effect on stock prices, while the exchange rate has a negative and significant effect and is identified as the most dominant variable. Meanwhile, inflation has no significant effect on stock prices. Simultaneously, all independent variables significantly affect stock prices. The Adjusted R-squared value of 6.31% indicates that the variation in stock prices explained by the IHSG, inflation, interest rates, and exchange rates is relatively limited, while the rho value of 94.32% suggests that most of the variation in stock prices is attributable to the unique characteristics of individual companies. These findings indicate that although macroeconomic factors play a role in the movement of ESG-based stocks, firm-specific internal factors remain the primary determinants.