Abstract

The capital market in Indonesia continues to experience rapid development, including the energy sector which attracts investors due to the availability of abundant natural resources. The Islamic capital market, which is based on sharia principles, also showed significant growth, as reflected in the increase in the Indonesian Sharia Stock Index (ISSI) by 15.19% in 2022. Investors in the energy sector expect optimal stock returns with minimal risk, so factors such as financial performance, investor sentiment, and ESG disclosure are increasingly considered in investment decision-making. However, there is uncertainty about the extent to which these factors affect stock returns, especially in the context of the Islamic capital market. Some studies suggest that financial performance can be a key indicator of stock returns, while investor sentiment and ESG disclosures provide mixed results. This study was conducted to examine how investor sentiment, ESG disclosure, and financial performance measured through ROA affect the stock returns of energy sector companies listed on ISSI during the 2021-2022 period. This study offers novelty by simultaneously integrating investor sentiment, ESG disclosure, and financial performance within the context of the Islamic capital market in the energy sector, which remains relatively underexplored for companies listed in the ISSI during the post-pandemic period. In the selection of samples using the purposive sampling technique which resulted in 13 companies being analyzed by multiple linear regression analysis methods. Based on the test results, it was found that TVA and ESG did not have an effect on RT. However, ROA has an influence on RT. Investors should prioritize financial performance analysis, especially ROA, in making investment decisions in sharia stocks in the energy sector, while companies need to improve the efficiency of asset management to attract investors in the sharia capital market.

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