Analisis Reaksi Pasar Modal terhadap Pengumuman Penerbitan Green Bonds di Indonesia

Abstract

Penelitian ini menggunakan metode event study dengan bertujuan untuk membuktikan apakah terdapat reaksi pasar saham terhadap pengumuman penerbitan obligasi hijau di Indonesia. Reaksi pasar diamati melalui perbedaan yang signifikan dalam abnormal return, yang diukur menggunakan cumulative abnormal return dengan periode 10 hari sebelum dan setelah pengumuman penerbitan obligasi hijau di Indonesia. Populasi penelitan berjumlah 6 perusahaan Indonesia yang telah menerbitkan obligasi hijau, dan sebanyak 3 perusahaan terpilih sebagai sampel penelitian. Dalam menghitung abnormal return digunakan tiga model berbeda, yaitu: mean-adjusted return model, market-adjusted return model, dan risk-adjusted return model. Hasil analisis data statistik t-test menunjukan nilai-nilai probabilitas (sig-2 tailed) untuk masing-masing metode (0.167, 0.991, dan 0.591) lebih besar dari tingkat signifikansi 0.050. Selain itu uji robustness juga dilakukan, dan hasilnya menunjukkan bahwa tidak terdapat perbedaan cumulative abnormal return yang signifikan sebelum dan setelah pengumuman penerbitan obligasi hijau terhadap pasar saham Indonesia. Dengan demikian, dapat disimpulkan bahwa pengumuman penerbitan obligasi hijau tidak memiliki dampak yang signifikan terhadap kinerja saham.

This research uses the event study method with the aim of proving whether there is a stock market reaction to the announcement of green bond issuance in Indonesia. Market reaction is observed through significant differences in abnormal returns, as measured using cumulative abnormal returns with a period of 10 days before and after the announcement of green bond issuance in Indonesia. The research population amounted to 6 Indonesian companies that had issued green bonds, and as many 3 companies were selected as research samples. In calculating abnormal returns, three different models are used, namely: mean-adjusted return model, market-adjusted return model, and risk-adjusted return model. The results of statistical data analysis of t-tests showed that the probability values (sig-2 tailed) for each method (0.167, 0.991, and 0.591) were greater than the significance level of 0.050. In addition, robustness tests were also carried out, and the results showed that there was no significant difference in cumulative abnormal returns before and after the announcement of the issuance of green bonds to the Indonesian stock market. Thus, it can be concluded that the announcement of the issuance of green bonds did not have a significant impact on the performance of stocks.