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Petra Christian University
Lani Diana:
Undergraduate Thesis
The Effect of Inclusion into and Exclusion from SRI-KEHATI Index on Stock Return in Indonesia Stock Exchange
The establishment of Indonesian Biodiversity Foundation (KEHATI) has encouraged the growth of green economy in Indonesia. Collaborated with the Indonesian Stock Exchange (IDX), KEHATI launched SRI-KEHATI Index which consists of 25 well-performed and sustainable companies with good corporate governance and concern to its environment. Hence, the companies which are listed in this index can be considered as good and sustainable companies. The index assesses its members twice annually, and might exclude its current members and include new stocks which fulfill the selection criteria. This condition encourages the researcher to find the impact of inclusion (exclusion) of companies into (from) this index toward the stock returns from 2009 to 2017.
This research has collected 34 company stocks for the inclusion event and 17 company stocks for the exclusion event and analyzed using event study methodology. Event window used in this study is 11 days consisting of five days before and after the inclusion or exclusion event. The results show that the cumulative abnormal return had insignificant negative differences before and after the inclusion event. Meanwhile, cumulative abnormal return had insignificant positive differences before and after the exclusion event.
Keywords: SRI-KEHATI Index, event study, cumulative abnormal return, inclusion event, exclusion event
vi ABSTRAK
Lani Diana:
Skripsi
Pengaruh Inklusi ke dan Ekslusi dari Indeks SRI-KEHATI terhadap Pengembalian Saham di Bursa Efek Indonesia
Pembentukan Yayasan Keanekaragaman Hayati Indonesia (KEHATI) telah mendorong pertumbuhan ekonomi hijau di Indonesia. Bekerja sama dengan Bursa Efek Indonesia (BEI), KEHATI meluncurkan Indeks SRI-KEHATI yang terdiri dari 25 perusahaan yang berkinerja baik dan berkelanjutan dengan tata kelola perusahaan yang baik dan kepedulian terhadap lingkungannya. Oleh karena itu, perusahaan yang terdaftar dalam indeks ini dapat dianggap sebagai perusahaan yang baik dan berkelanjutan. Indeks tersebut menilai anggotanya dua kali setahun, dan mungkin mengeluarkan anggotanya dari indeks dan memasukkan saham baru yang memenuhi kriteria seleksi indeks tersebut. Kondisi ini mendorong peneliti untuk menemukan dampak inklusi (ekslusi) perusahaan ke dalam (dari) indeks ini terhadap pengembalian saham dari 2009 hingga 2017.
Penelitian ini telah mengumpulkan 34 saham perusahaan untuk peristiwa inklusi dan 17 saham perusahaan untuk peristiwa eksklusi dan dianalisis menggunakan metodologi studi peristiwa. Jendela peristiwa yang digunakan dalam penelitian ini adalah 11 hari yang terdiri dari lima hari sebelum dan sesudah peristiwa inklusi atau ekslusi. Hasil menunjukkan bahwa pengembalian abnormal kumulatif memiliki perbedaan negatif yang tidak signifikan sebelum dan sesudah peristiwa inklusi. Sementara itu, pengembalian abnormal kumulatif memiliki perbedaan positif yang tidak signifikan sebelum dan sesudah peristiwa eksklusi.
Kata kunci: Indeks SRI-KEHATI, studi peristiwa, pengembalian abnormal kumulatif, peristiwa inklusi, peristiwa eksklusi
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Petra Christian University
TITLE PAGE i
APPROVAL PAGE ii
STATEMENT OF AGREEMENT IN PUBLICATION OF UNDERGRADUATE
THESIS FOR ACADEMIC PURPOSE iii
ACKNOWLEDGMENT iv
ABSTRACT v
TABLE OF CONTENTS vii
LIST OF TABLES ix
LIST OF FIGURES x
LIST OF EQUATIONS xi
LIST OF APPENDICES xii
1. INTRODUCTION 1
1.1. Research Background 1
1.2. Research Questions 5
1.3. Research Objectives 5
1.4. Research Benefit 5
2. THEORETICAL BACKGROUND 6
2.1. Overview of the Literature Review 6
2.2. SRI-KEHATI Index (SKI) 6
2.3. Abnormal Stock Return 7
2.4. Efficient Market Hypothesis and Anomalies 9
2.5. Information Signaling Hypothesis 10
2.6. Theoretical Framework 11
2.7. Hypothesis 13
3. RESEARCH DESIGN 14
3.1. Introduction 14
3.2. Foundations of the Research 14
3.2.1. Philosophical Stance 14
3.2.2. Methodology and Method 18
3.2.3. Research Ethics 19
3.3. Description of Variables 21
3.3.1. Independent Variable: SRI-KEHATI Index Announcement Event 22 3.3.2. Dependent Variable: Cumulative Abnormal Return (CAR) 22
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3.4. Description of Data 24
3.4.1. Types of Data 24
3.4.2. Sources of Data 25
3.4.3. Sampling Method 25
3.5. Methods of Data Analysis 33
3.5.1. Piloting 33
3.5.2. Validity and Reliability 33
3.5.3. Analytical Procedures 34
4. FINDINGS AND DISCUSSIONS 39
4.1. Findings 39
4.1.1. Descriptive Statistics 39
4.1.2. Validity and Reliability 43
4.1.3. Statistical Method 43
4.2. Discussions 46
4.2.1. The Effects of Inclusion into SKI on Stock Return 46 4.2.2. The Effects of Exclusion from SKI on Stock Return 47
5. CONCLUSIONS 50
5.1. Summary 50
5.2. Recommendations 51
5.3. Limitations of the Research 52
5.4. Suggestions for Further Research 52
REFERENCES 53
APPENDICES 60
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Petra Christian University
3.1. Philosophical Assumptions with the Major Paradigms ... 14
3.2. Quantitative and Qualitative Research ... 17
3.3. Estimation and Event Window... 19
3.4. Five Ethical Principles for Research Ethics ... 20
3.5. Types of Data Based on Measurement Characteristics ... 24
3.6. Types of Data Sources ... 25
3.7. List of Stocks Being Included into SKI from 2009 to 2017 ... 27
3.8. List of Stocks Being Excluded from SKI from 2009 to 2017 ... 31
4.1. The Population of the Research ... 40
4.2. Descriptive Statistics of CAR (Inclusion Event) ... 42
4.3. Descriptive Statistics of CAR (Exclusion Event) ... 42
4.4. Tests of Normality for CAR Before and After the Inclusion Event ... 43
4.5. Tests of Normality for CAR Before and After the Exclusion Event ... 44
4.6. Paired Samples Test for the CAR of Inclusion Event ... 45
4.7. Paired Samples Test for the CAR of Exclusion Event ... 45
x
LIST OF FIGURES
1.1. SRI-KEHATI Assessment Stages ... 3
2.1 The Event Study Timeline ... 8
2.2. Theoretical Framework ... 11
3.1. Estimation and Event Window of the Research ... 34
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Petra Christian University
3.1. Abnormal Return 22
3.2. Actual Return 22
3.3. Expected Return 23
3.4. Return on the Market Portfolio 23
3.5. Abnormal Return (using Market Model) 23
3.6. Cumulative Abnormal Return 24
3.7. Paired Sample T-Test 37
3.8. Mean of the Differences 37
3.9. Standard Deviation of the Differences 37
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LIST OF APPENDICES
APPENDIX A: Research Context 60
1. First SRI-KEHATI Index Announcement 60
2. Second SRI-KEHATI Index Announcement 61
3. Third SRI-KEHATI Index Announcement 62
4. Fourth SRI-KEHATI Index Announcement 63
5. Fifth SRI-KEHATI Index Announcement 64
6. Sixth SRI-KEHATI Index Announcement 65
7. Seventh SRI-KEHATI Index Announcement 66
8. Eighth SRI-KEHATI Index Announcement 67
9. Ninth SRI-KEHATI Index Announcement 68
10. Tenth SRI-KEHATI Index Announcement 69
11. Eleventh SRI-KEHATI Index Announcement 70
12. Twelfth SRI-KEHATI Index Announcement 71
13. Thirteenth SRI-KEHATI Index Announcement 72
14. Fourteenth SRI-KEHATI Index Announcement 73
15. Fifteenth SRI-KEHATI Index Announcement 74
16. Sixteenth SRI-KEHATI Index Announcement 75
17. Seventeenth SRI-KEHATI Index Announcement 76
18. Eighteenth SRI-KEHATI Index Announcement 77
19. The Industry Sector and Subsector 78
20. The Changes of SKI Members Industry 81
APPENDIX B: Research Instrument 83
1. The Abnormal Return of Stocks Included into SRI-KEHATI Index 83 2. The Abnormal Return of Stocks Excluded from SRI-KEHATI Index 85 3. The Cumulative Abnormal Return of Stocks Included into SRI-KEHATI
Index 86
4. The Cumulative Abnormal Return of Stocks Excluded from SRI-KEHATI
Index 87
APPENDIX C: Data Calculations and Displays 88
1. The Last Price Data of Stocks Included in SRI-KEHATI Index 88 2. The Last Price of Stocks Excluded from SRI-KEHATI Index 107 3. The Source of Last Price Data on Bloomberg Terminal 128 4. The Actual Return of Stocks Included into SRI-KEHATI Index 129 5. The Actual Return of Stocks Excluded from SRI-KEHATI Index 159 6. The Intercept and Slope of Stocks Included into SRI-KEHATI Index 181 7. The Intercept and Slope of Stocks Excluded from SRI-KEHATI Index 182 8. The Expected Return of Stocks Included into SRI-KEHATI Index 183 9. The Expected Return of Stocks Excluded from SRI-KEHATI Index 185 10. Descriptive Statistics, Tests of Normality, and Paired Sample Test 186
APPENDIX D: Research Schedule 187
