INDONESIA CAPITAL MARKET REACTION TO GREEN INVESTING IMPLEMENTATION

  • Febrian Eka Putri Universitas of Bengkulu, Indonesia
  • Halimatusyadiah Halimatusyadiah Universitas of Bengkulu, Indonesia
Keywords: Capital Market, Green Investing, Investor Reaction, ESG Quality Index

Abstract

This study aims to see the differences and investor responses to the implementation of green investing in the Indonesian Capital Market, will investors prefer to invest in companies that implement environmentally friendly operations. Are there differences and investor responses before and after the implementation of green investing with the launch of an ESG (Environmental, Social, and Governance)-based index, the index is ESG Quality 45 IDX Kehati Index on December 20, 2021. The research sample comprises all companies included in the ESG Quality 45 IDX Kehati Index , i.e. 45 companies with a large, liquid market capitalization, that have an ESG score above the minimum threshold and the Company's operations are based on ESG (Environmental, Social, and Governance) or environmentally friendly. The data collection technique is the documentation method to obtain data on stock prices, trading volume activity, and IHSG. The data processing methods used are descriptive analysis and difference tests. With a significance value of 0.001, the data demonstrate that the average share or stock price changed significantly before and after the Index was included. The significance value of the paired sample t-test before and after the company entered the index showed values of 0.0640 and 0.179, indicating that there was no significant difference between the abnormal return and trading volume activity of the company before and after entering the index. In addition, investors did not react significantly to the Company included in the ESG Quality 45 IDX Kehati Index.

References

Adamska, A., & Dąbrowski, T. J. (2021). Investor reactions to sustainability index reconstitutions: Analysis in different institutional contexts. Journal of Cleaner Production, 297. https://doi.org/10.1016/j.jclepro.2021.126715
Alahverdi, A., & Poorhatami, Z. (2020). Green Economy in the BRICS. 8(3), 1–11.
Albekov, A. U., Parkhomenko, T. V., & Polubotko, A. A. (2018). Green economy: A phenomenon of progress and a concept of environmental security. Contemporary Studies in Economic and Financial Analysis, 100, 1–8. https://doi.org/10.1108/S1569-375920180000100002
Baulkaran, V. (2019). Stock market reaction to green bond issuance. Journal of Asset Management, 20(5), 331–340. https://doi.org/10.1057/s41260-018-00105-1
Chang, C. E., Nelson, W. A., & Witte, H. D. (2012). Do green mutual funds perform well? Management Research Review, 35(8), 693–708. https://doi.org/10.1108/01409171211247695
Chariri, A., Bukit, G. R. S. B., Eklesia, O. B., Christi, B. U., & Tarigan, D. M. (2018). Does Green Investment Increase Financial Performance? Empirical Evidence from Indonesian Companies. E3S Web of Conferences, 31, 1–7. https://doi.org/10.1051/e3sconf/20183109001
Doval, E., & Negulescu, O. (2014). A Model of Green Investments Approach. Procedia Economics and Finance, 15(14), 847–852. https://doi.org/10.1016/s2212-5671(14)00545-0
Eri Sutrisno. (2022). Strategi Ekonomi Hijau Indonesia. Diambil 5 September 2023, dari https://indonesia.go.id/ website: https://indonesia.go.id/kategori/ekonomi/3973/strategi-ekonomi-hijau-indonesia
Flammer, C. (2021). Corporate green bonds. Journal of Financial Economics, 142(2), 499–516. https://doi.org/10.1016/j.jfineco.2021.01.010
Gupta, L., & Jham, J. (2021). Green investing: Impact of pro environmental preferences on stock market valuations during turbulent periods. Australasian Accounting, Business and Finance Journal, 15(5 Special Issue), 59–81. https://doi.org/10.14453/aabfj.v15i5.5
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi ed.11. In Yogyakarta: BPFE (sebelas). Yogyakarta: BPFE.
Hindayani, N. (2020). Analisis Reaksi Pasar Saham Atas Peristiwa Covid-19 Di Indonesia. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 4(3), 1645–1661. Diambil dari http://journal.stiemb.ac.id/index.php/mea/article/view/647
Indriastuti, M., & Chariri, A. (2021). The role of green investment and corporate social responsibility investment on sustainable performance. Cogent Business and Management, 8(1). https://doi.org/10.1080/23311975.2021.1960120
Johnson, J. (2023). What is Green Investing? Diambil dari Market Beat website: https://www.marketbeat.com/financial-terms/what-is-green-investing/
Lee, M. T., Raschke, R. L., & Krishen, A. S. (2022). Signaling green! firm ESG signals in an interconnected environment that promote brand valuation. Journal of Business Research, 138, 1–11. https://doi.org/10.1016/j.jbusres.2021.08.061
Li, Z., Wei, S. Y., Chunyan, L., Mahfod, M. M., Qadus, A., & Hishan, S. S. (2022). The impact of CSR and green investment on stock return of Chinese export industry. Economic Research-Ekonomska Istrazivanja , 35(1), 4971–4987. https://doi.org/10.1080/1331677X.2021.2019599
Lubis, M. F. F., & Rokhim, R. (2021). The Effect of Environmental, Social, and Governance (ESG) Disclosure and Competitive Advantage on Companies Performance as An Implementation of Sustainable Economic Growth in Indonesia for Period of 2015-2019. IOP Conference Series: Earth and Environmental Science, 940(1). https://doi.org/10.1088/1755-1315/940/1/012059
Maltais, A., & Nykvist, B. (2021). Understanding the role of green bonds in advancing sustainability. Journal of Sustainable Finance and Investment, 11(3), 233–252. https://doi.org/10.1080/20430795.2020.1724864
Malzara, V. R. B., Widyastuti, U., & Buchdadi, A. D. (2023). Analysis of Gen Z’s Green Investment Intention: The Application of Theory of Planned Behavior. Jurnal Dinamika Manajemen Dan Bisnis, 6(2), 63–84. https://doi.org/10.21009/jdmb.06.2.5
Martin, P. R., & Moser, D. V. (2016). Managers’ green investment disclosures and investors’ reaction. Journal of Accounting and Economics, 61(1), 239–254. https://doi.org/10.1016/j.jacceco.2015.08.004
Moratis, L. (2018). Signalling responsibility? Applying signalling theory to the ISO 26000 standard for social responsibility. Sustainability (Switzerland), 10(11), 1–20. https://doi.org/10.3390/su10114172
Piñeiro-Chousa, J., López-Cabarcos, M. Á., Caby, J., & Šević, A. (2021). The influence of investor sentiment on the green bond market. Technological Forecasting and Social Change, 162(September 2020), 120351. https://doi.org/10.1016/j.techfore.2020.120351
Purwadi, D. R., & Khairunnisa. (2020). Analisis Komparatif Abnormal Return dan Bid-Ask Spread Sebelum dan Sesudah Pelaksanaan Debat Pilpres 2019. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 4(3), 1607–1629. Diambil dari https://doi.org/10.31955/mea.v4i3.580
Ritchie, H., & Roser, M. (2023). Indonesia: CO2 Country Profile. Diambil dari Our World in Data website: https://ourworldindata.org/co2/country/indonesia#what-share-of-co2-emissions-are-produced-from-different-fuels
Rokhmawati, A. (2021). The nexus among green investment, foreign ownership, export, greenhouse gas emissions, and competitiveness. Energy Strategy Reviews, 37(July), 100679. https://doi.org/10.1016/j.esr.2021.100679
Sakuntala, D., Majid, M. S. A., Aliasuddin, & Suriani, S. (2022). Causality between Green Stock Market with Monetary Policy, Global Uncertainty, and Environmental Damage in Indonesia. International Journal of Energy Economics and Policy, 12(6), 215–223. https://doi.org/10.32479/ijeep.13348
Santi, J. T. (2021). Bursa Efek Indonesia Luncurkan Dua Indeks ”Saham Hijau”. Diambil 5 Oktober 2023, dari Kompas.Id website: https://www.kompas.id/baca/desk/2021/12/20/bursa-efek-indonesia-luncurkan-dua-indeks-saham-hijau
Santoso, S. (2019). Mahir Statistik Parametrik. In PT Elex Media Komputindo. Jakarta: PT Elex edia Kamputindo.
Su, X. (2021). Can Green Investment Win the Favor of Investors in China? Evidence from the Return Performance of Green Investment Stocks. Emerging Markets Finance and Trade, 57(11), 3120–3138. https://doi.org/10.1080/1540496X.2019.1710129
Suganda, T. R. (2018). Event Study : “Teori dan Pembahasan Reaksi Pasar Modal Indonesia.” In Angewandte Chemie International Edition, 6(11), 951–952.
Sugiyono. (2022). Metodologi Penelitian Penelitian Kombinasi. Bandung: Alfabeta.
Suliyanto, D. (2014). STATISTIKA NON PARAMETRIK Dalam Aplikasi Penelitian (Maya, Ed.). Yogyakarta: CV Andi Offset.
Tandelilin, & Eduardus. (2017). Pasar Modal Manajemen Portofolio dan Investasi PT Kanisius. In PT Kanisisus. Yogyakarta: Kanisius.
Yan, S., Almandoz, J., & Ferraro, F. (2021). The Impact of Logic (In)Compatibility: Green Investing, State Policy, and Corporate Environmental Performance. Administrative Science Quarterly, 66(4), 903–944. https://doi.org/10.1177/00018392211005756
Zach, S. (2023). Green Invesment - Study India.pdf. Sustainable Investing. Diambil dari https://www.carboncollective.co/sustainable-investing/green-investments#definition-of-green-investments
Published
2024-02-26
How to Cite
Putri, F., & Halimatusyadiah, H. (2024). INDONESIA CAPITAL MARKET REACTION TO GREEN INVESTING IMPLEMENTATION. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 8(1), 1311-1332. https://doi.org/10.31955/mea.v8i1.3854