Zakat as Religiosity Factor Within Macroeconomic, ESG and on Stock Volatility in PT Alamtri Resources of the Jakarta Islamic Index

Abstract

This study aims to analyze the effects of zakat as a religiosity factor within macroeconomic indicators, ESG performance on the stock price volatility of PT Alamtri Resources, one of the constituents of the Jakarta Islamic Index (JII), during the period 2020–2023. This research employs a quantitative approach using monthly time-series data. The variables include inflation, the JII Index, greenhouse gas (GHG) emissions, and national zakat collection. Ordinary Least Squares (OLS) regression was applied to examine both partial and simultaneous effects on stock volatility. The results reveal that inflation significantly affects stock volatility, while the JII Index demonstrates a positive yet insignificant influence. GHG emissions show a significant effect, indicating that environmental performance contributes to market risk perception. Zakat as a religiosity factor exhibits a significant effect on volatility. Simultaneously, all variables significantly influence volatility. The analysis focuses on a single issuer within the JII, limiting generalizability. Future studies may expand to cross-sectoral comparisons. The findings provide insight for Islamic investors and policymakers concerning the integration of sustainability and social indicators into investment risk assessment. This study integrates ESG and zakat as a religiosity variable in modeling volatility within the Islamic capital market—an approach rarely explored in existing literature.