Environmental Performance and Stock Liquidity Effects on Mining Firms' Stock Returns

Abstract

Purpose: This study examines the effect of environmental performance and stock liquidity on stock returns of mining companies listed on the Indonesia Stock Exchange (IDX) over the 2020–2024 period, a sector in which ecological exposure and commodity-driven volatility jointly shape investor perception.

Methodology: A quantitative explanatory design was applied using secondary panel data from 16 purposively selected mining firms that consistently participated in the PROPER environmental rating program between 2020 and 2024, yielding 64 firm-year observations. Environmental performance was measured through PROPER scores, stock liquidity through Trading Volume Activity (TVA), and stock return through annual price changes. Data were analyzed using classical assumption tests and multiple linear regression.

Results: Environmental performance exerted a positive and significant effect on stock returns, whereas stock liquidity exerted a negative and significant effect. Both variables simultaneously explained 99.8 percent of the variance in stock returns.

Conclusions: Investors in the mining sector reward ecological responsibility while penalizing excessive trading intensity that signals speculative rather than fundamental value.

Limitations: The sample is restricted to PROPER-participating mining issuers, limiting generalizability, and omits macroeconomic and commodity-price controls.

Contributions: The study extends signaling and stakeholder theory into a resource-extraction context and offers practical guidance for sustainable investment screening in emerging capital markets.