ANALISIS ISU-ISU ENVIRONMENT, SOCIAL, GOVERNANCE (ESG) SERTA PENGARUHNYA TERHADAP RETURN SAHAM DENGAN RETURN ON ASSET (ROE) SEBAGAI VARIABEL INTERVENING PERUSAHAAN PERTAMBANGAN MINERAL DAN BATUBARA DI INDONESIA TESIS Karya tulis sebagai salah satu syarat untuk memperoleh gelar Magister dari Institut Teknologi Bandung Oleh ANISA RAHMI NIM: 2212205 (Program Studi Magister Rekayasa Pertambangan) INSTITUT TEKNOLOGI BANDUNG Tahun 2025 ABSTRAK ANALISIS ISU-ISU ENVIRONMENT, SOCIAL, GOVERNANCE (ESG) SERTA PENGARUHNYA TERHADAP RETURN SAHAM DENGAN RETURN ON ASSET (ROE) SEBAGAI VARIABEL INTERVENING PERUSAHAAN PERTAMBANGAN MINERAL DAN BATUBARA DI INDONESIA Oleh: Anisa Rahmi Nim: 22122005 (Program Studi Magister Rekayasa Pertambangan) Meningkatnya kesadaran akan pentingnya keberlanjutan dalam dunia bisnis, selain aspek keuangan seperti profitabilitas saat ini aspek non keuangan seperti Environmental, Social, and Governance (ESG) menjadi perhatian utama pemangku kepentingan dalam beberapa tahun terakhir. Perbedaan karakteristik antara pertambangan mineral dan batubara menghasilkan dampak atas isu-isu ESG yang berbeda-beda, sehingga perusahaan harus dapat menentukan isu ESG yang menjadi prioritas dan paling signifikan terhadap penilaian ESG. Penelitian ini bertujuan untuk menentukan prioritas isu-isu ESG yang memiliki kontribusi terbesar hingga terkecil dalam penilaian skor ESGdi perusahaan pertambangan mineral dan batubara, serta melihat bagaimana hubungan isu-isu ESG tersebut dengan return saham melalui mediasi(Intervening) nilai Return On Equity (ROE). Penelitian ini menggunakan tiga metode, pertama menggunakan machine learning metode Artificial Neural Network (ANN) untuk menentukan prioritas isu-isu ESG di pertambangan mineral dan batubara, kedua menggunakan regresi linier berganda metode Ordinary Last Square (OLS), ketiga analisis jalur (path analysis) untuk menentukan hubungan antara isu ESG terhadap return saham dengan mempertimbangkan ROE perusahaan. Hasil dari penelitian ini menunjukan bahwa hirarki isu ESG di pertambangan mineral yang yaitu dan Occupation Health Safety Management (OHSM), Board of Commisaris (BC), Energy Management (EM), sementara hirarki isu ESG di pertambangan batubara yaitu Greenhouse Gases (GHG), Board of Commisaris (BC), dan Occupation Health Safety Management (OHSM). Hasil penelitian juga menunjukan bahwa pada sektor batubara isu Audit (A), Board Compensation (BC), dan Greenhouse Emission (GHG) berpengaruh signifikan terhadap return saham melalui ROE sebagai intervening. Sementara pada sektor Mineral isu ESG yang berpengaruh langsung terhadap return saham yaitu Audit (A), Ecological Impact (EcI), Waste Management (WASM), dan Greenhouse Gases (GHG) Kata Kunci : isu ESG, Environment, Social, Governance, Return Saham, ROE ABSTRACT ANALYSIS OF ENVIRONMENT, SOCIAL, GOVERNANCE (ESG) ISSUES AND THEIR INFLUENCE ON STOCK RETURNS WITH RETURN ON ASSET (ROE) AS AN INTERVENING VARIABLE FOR MINERAL AND COAL MINING COMPANIES IN INDONESIA By Anisa Rahmi Nim : 22122005 (Master’s Program in Mining Engineering) In the contemporary business world, there is an increasing awareness of the significance of sustainability, alongside financial aspects such as profitability. Non-financial aspects, including environmental, social, and governance (ESG) issues, have become a primary concern for stakeholders in recent years.The distinction in characteristics between mineral and coal mining results in divergent impacts on ESG issues. Consequently, companies must ascertain which ESG issues are prioritised and most significant for ESG assessment. The present study aims to ascertain the relative importance of ESG issues in the assessment of ESG scores in mineral and coal mining companies, and to explore the relationship of these ESG issues with stock returns through the mediation of Return On Equity (ROE) value. The present study employs three distinct methodologies. Firstly, the machine learning Artificial Neural Network (ANN) method is utilised to ascertain the relative priority of ESG issues within the context of mineral and coal mining. Secondly, the multiple linear regression Ordinary Last Square (OLS) method is employed. Thirdly, path analysis is employed to discern the relationship between ESG issues and stock returns, with the company's ROE taken into consideration. The results of this study demonstrate that the hierarchy of ESG issues in mineral mining is as follows: Occupational Health Safety Management (OHSM), Board of Commissioners (BC), and Energy Management (EM), while in coal mining, the hierarchy is as follows: Greenhouse Gases (GHG), Board of Commissioners (BC), and Occupational Health Safety Management (OHSM). The findings further demonstrate that, within the coal sector, the issues of Audit (A), Board Compensation (BC), and Greenhouse Emission (GHG) exert a substantial influence on stock returns through ROE as an intervening variable. Conversely, in the mineral sector, ESG issues that directly impact stock returns are Audit (A), Ecological Impact (EcI), Waste Management (WASM), and Greenhouse Gases (GHG). Keywords: ESG issues, Environment, Social, Governance, Stock Return, ROE.