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Disusunoleh: : SintaAtizah Nama : 01091003020 NIM : Ekonomi Fakultas : Akuntansi Jurusan

BidangKajian/Konsentrasi : AccountingTheory

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Yangbertandatangandi bawahini: : SintaAtizah .-01091003020 :Akuntansi :AccountingTheory : Ekonomi NamaMahasiswa NIM Jurusan BidangKajian Fakultas

MenyatakandengansesungguhnyabahwaSkripsiyangbejudul:

The Effect of Environmental Performance to Abnormal Return of the CompaniesListedon IDX2010-2011

Pembimbing: Ketua

Anggota

TanggalUjian : 19Maret2013

Mukhtaruddin,S.E.,M.Si,Ak. HasniYusrianti,S.E.,M.ACC.,Ak.

AdalahbenarhasilkaryaSayasendiri. Dalamskripsi initidakadakutipanhasilkarya oranglainyangtidakdisebutkansumbernya.

Demikianlah pernyataan ini Saya buat dengan sebenarnya, dan apabila pernyataan Sayaini tidak benar dikemudian hari, Saya bersedia dicabut predikat kelulusan dan gelarkesaijanaan. Indralaya, Maret 2013 SintaAtizah,

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Judul : The effect of Environmental Performance to Abnormal Retum of the CompaniesListed onIDX2010-2011

Telah kami periksa carapenulisan, grammar, maupun susunan tensesnya dan kami setujuuntukditempatkanpadalembarabstrak.

Palembang,25 Maret2013

PembimbingSkripsi

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PREFACE

Praise and thank given to Allah SWT that because ofthe bounties the Authorcan accomplishherresearch and scriptentitled The Effect OfEnvironmental PerformanceTo AbnormalRetum oftheCompanies ListedonIDX2010-2011.This script made as one of the requirement to achive degreeof Sarjana Ekonomi Strata Satu(S-l)ofEconomicFacultyin SriwijayaUniversity.

This script discuss about the influence of environmental performance, whichisproxiedbyPROPERannouncement,tomarketreaction,whichisproxied by abnormal retum of the company sample in 2010-2011. This script consist of 5 chapters including Chapter I Introduction, ChapterII LiteratureReview, Chapter III Research Methodology, Chapter IV Analysis and Discussion, and Chapter V Conclusion.

The observation period is 2010 and 2011. Sample used in 2010 is 30 companies, while in 2011 is 41 companies. Hypothesis used Wilcoxon Rank test withselectedwindowis 5 days beforeand5daysaftertheannouncement. Theresult showsthat,withoutrankcategorization, there’snosignificantdifferenceofabnormal retum before and after PROPER announcement in 2010, while there’s a significant difference ofabnormal retumbefore and after PROPER announcementin 2011. By therank categorization, in both ofobservation period, there’s a significantdifferent ofabnormal retumbeforeand afterthe companyreceived Good Rank, whilethere’s no significant difference ofabnormal retumbefore and after the company received badrank.

Intheend,theAuthorrealizethatthis scriptisimperfect.Thus, theAuthor expectsanycritics and suggestions in orderto makea betterwritein the future. The Authorhopesthatthisscriptcangivecontributionstotheseveralparties.

Indralaya, February17th2013 TheAuthor,

ACKNOWLEDGEMENT

Praise and thank given to Allah SWT that because of the bounties the Authorcan accomplishherresearch and scriptentitled The EffectOfEnvironmental Performance To Abnormal Retum ofthe Companies Listed on IDX 2010-2011. In the course ofthe arrangement of this script, the Author wasn’t release from some constraints. These constraints were able to overcome by the assists, guidances, and supportsfrom severalparties.TheAuthorwantto thankto:

1. Prof.Dr. Hj. BadiaParizade,MBA,astheRectorofSriwijayaUniversity. 2. Prof. Dr. H. Syamsurijal, Ak, Ph. D, as the Dean of Economic Faculty in

SriwijayaUniversity.

3. Mr. Ahmad Subeki, SE, MM, Ak. as the department head and Mr. Mukhtaruddin, SE, M.Si, Ak. as the department secretary that lead this departmentincredibly.

4. Mr. Mukhtaruddin, SE, M.Si,Ak. asthefirst scriptsupervisorthat had been takingtime, energy, and thought to guide and give advices in substance and methodologyofthisscript.

5. Ms.Hasni Yusrianti,SE,M.ACC,Ak.asthesecondscriptsupervisorthathad been takingtime, energy, and thought to guide and give advices in technicaJ writingofthisscript.

6. Ms. Emylia Yuniartie, SE, M.Si, Ak as the script examiner that gave critics andsuggestionsto makethisscriptbetter.

7. Ms. Dr. Inten Meutia S.E., M. ACC., Ak. as the script examiner that gave criticsandsuggestionstomakethisscriptbetter.

8. Alithelecturerthatsharedknowledgeandexperienceduringcollege.

9. Ali the staff ofEconomic Faculty in Sriwijaya University that support the course’scontinuity.

10. PapaandMamato beanamazingparentwhoare beingthebestplaceto share andgain supportforthisscript.

11.My only sister, NinaAtizah, for always provide help, thought, and laugh in themiddleofthesaturatedcollege’sworld. AlsotoBetsy R.B foreveryfresh jokesandinspiration.

12.FikaArista, FitriaRizki Fauzi, MeiliaNur Fitriyanaand Kenny Yulianita for beingthepain’seraseralongwiththejoy’sfertilizeramong almost4years of ourtogethemess.

13.Ali beloved friends in accounting, specially english class, for taking part of myfuture’scollegebestmemories.

14. A11peoplerelatedtotheaccomplishmentofthisscript.

Indralaya,February171112013 TheAuthor,

ABSTRAK

Oleh:

SintaAtizah, Mukhtaruddin,S.E.,M.Si.,Ak., HasniYusrianti,S.E.,M.ACC.,Ak.

Indonesia mengalami banyak permasalahan yang berhubungan dengan kerusakan lingkungan. PROPER sebagai salah satu instrumen pengendalian lingkunganyangdirilis oleh KLH dan pemerintah mendapat respon yang baik dari berbagai pihak. Namun beberapa penelitian mengenai hubungan kineija lingkungan dengan kinerja ekonomi perusahaan menemukan hasil yang tidak diharapkan. Penelitian ini bertujuan untuk menganalisis pengaruh kineija lingkungan terhadap

abnormal return melalui teknik event study analysis dari keadaan sebelum dan

sesudah pengumuman PROPER. Periode observasi adalah 2010 dan 2011. Jumlah sampel untuk observasi tahun 2010 adalah 30, sedangkan jumlah sampel untuk observasitahun2011 adalah41. TeshipotesismenggunakanWilcoxonRanktestdan Friedman test. Jendela pengamatan yang dipilih adalah 5 hari sebelum dan 5 hari setelahpengumumanPROPER.

Hasil penelitian menunjukkan bahwa tanpa kategorisasi peringkat, tidak terdapat perbedaan yang signifikan antara abnormal return sebelum dan sesudah pengumuman PROPER tahun 2010, sedangkan terdapat perbedaan yang signifikan antara abnormal return sebelum dan sesudah pengumuman PROPER tahun 2011. Dengan kategorisasi peringkat, pada kedua periode observasi, terdapat terdapat perbedaan yang signifikanantara abnormal return sebelum dan sesudah perusahaan mendapat Good Rank, sedangkan tidak terdapat perbedaan yang signifikan antara abnormal return sebelum dan sesudah perusahaan mendapat Bad Rank. Hasil yang fluktuatif dimungkinkan karena adanya beberapa keterbatasan. Oleh karena itu, disarankan untuk melakukan penelitian lebih lanjut pada jenis pasar modal dan jendelaobservasiyangberbeda.

Keyword: kinerja lingkungan, abnormal return, PROPER, event study analysis, GoodRank,BadRank

ABSTRACT

By:

Sinta Atizah,Mukhtaruddin,S.E.,M.Si.,Ak., HasniYusrianti, S.E.,M.ACC.,Ak.

Indonesiaexperiencemany problems ofenvironmental damage. PROPER as an environmental control tool released by KLH and govemment received good responseffomseveralparties. However,someresearchstudiedabouttherelationship ofenvironmental performance and economic performance found unexpected result. This research attempts to analyze the effect of environmental performance to abnormal retum by event study analysis technique before and after PROPER announcement. Theobservationperiod is2010 and2011. Sampleused in2010 is30 companies, while in 2011 is 41 companies. Hypothesis used Wilcoxon Rank test withselectedwindowis5 daysbeforeand5 daysaftertheannouncement.

The result shows that, without rank categorization, there’s no significant difference of abnormal retum before and after PROPER announcement in 2010, while there’s a significant difference ofabnormal retum before and after PROPER announcement in 2011. By the rank categorization, in both ofobservation period, there’s a significant different of abnormal retum before and after the company received Good Rank, while there’s no significant difference of abnormal retum beforeandafterthecompanyreceivedbadrank. Thisfluctuateresultmayresultedby some limitations.Hence, it suggeststo do furtherresearch in differenttype ofCapital marketandwindow.

Keywords: environmentalperformance, abnormal relurn, PROPER, event study

CURICULUMVITAE

SintaAtizah

Place, DateofBirth : Bengkulu,July19* 1992 Address Phone/Hp Parent Father Molher AmountofSiblings :1 Childnumber EducationalHistory Kindergarten Name

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SMPN 17 Palembang(2004-2006) SeniorHighSchool :SMAN 1 Palembang(2006-2009)

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•• w’J,Jm ; TABLEOFCONTENT i PREFACE ... ACKNOWLEDGEMENT... ABSTRAK... ABSTRACT... CURICULUMVITAE... TABLEOFCONTENT... LISTOFTABLE ... LISTOFFIGURE... LISTOFAPPENDDC... CHAPTERIINTRODUCTION... 1.1 ResearchBackground... 1.2 ResearchProblem... 1.3 ResearchObjective... . 1.4 ResearchBenefit ...

CHAPTER11L1TERATUREREV1EW...

2.1 FundamentalTheory ... ... 2.1.1 SignalingTheory ... 2.1.2 StakeholderTheory... 2.2.TheoreticalDescription ... 2.2.1 EnvironmentalAccounting ... 2.2.1.1.TheConceptofEnvironmentalAccounting... 2.2.1.2.The ObjectiveofEnvironmentalAccounting

Practices ... 2.2.1.3.EnvironmentalAccountingin Indonesia... 2.2.2. EnvironmentalPerformance... 2.2.3.ProgramPemeringkatanKineijaPerusahaan(PROPER)

2.2.3.1. BackgroundandObjectivesofPROPER Procurement... 2.2.3.2 BasicLawand ScopeofPROPER... 2.2.3.3 PROPERAssessment... 2.1.4 AbnormalRetum... 2.3 PreviousResearch... 2.4 TheoreticalFramework... ... 2.5 Hypothesis...

CHAPTERUIRESEARCHMETHODOLOGY...

3.1 PopulationandSample... u IV .v VI Vll IX ,x XI 1 1 7 8 8 10 10 10 11 13 13 13 14 15 17 16 18 21 21 22 23 26 27 28 28

3.3.2 DependentVariable... 3.4 TechniqueAnalysis... .

3.4.1 NormalityTest ... . 3.4.2 HypothesisTest...

CHAPTERIVANALYSISANDDISCUSSION

4.1 Results ... 4.1.1 StatisticDescriptiveofData.... 4.1.2 NormalityTest ... 4.1.3 HypothesisTest... 4.2 Discussion... 4.2.1 StatisticDescriptiveofData.... 4.2.2 NormalityTest ... 4.2.3 HypothesisTest... CHAPTERVCONCLUSION ... 5.1 Conclusion... 5.2 Limitation... 5.3 Suggestion... REFERENCES... APPENDDC 32 33 33 34 37 37 37 38 40 54 54 60 62 78 78 80 81 72

LIST OFTABLE

Table Text Page 1 StatisticsDescriptiveofObservationon2010...

2 StatisticsDescriptiveofObservationon2011... 3 NormalityTestofDataObservationon2010... 4 NormalityTestofDataObservationon2011... 5 HypothesisTestWithoutCategorizationon2010... 6 HypothesisTestsimultaneouslyofObservationon2010 7 HypothesisTestofGoodRankand Badrankon2010... 8 RanksonHaiTestof2010... 9 TeststatisticsofHai in2010... 10 HypothesisTestSimultaneouslyofHai on2010... 11 RanksonHa2Testof2010... 12 TeststatisticsofHa2in2010... 13 HypothesisTestSimultaneouslyofHa2on2010... 14 HypothesisTestWithoutCategorizationon2011... 15 hypothesisTestofGood RankandBadrankon2011.... 16 HypothesisTestsimultaneouslyofObservationon2011 17 RanksonHaiTestof2011... 18 TeststatisticsofHai in 2011... 19 HypothesisTestSimultaneouslyofHaion2011... . 20 RanksonHa2Testof2011... 21 TeststatisticsofHa2in2011... 22 HypothesisTestSimultaneouslyofHa2on2011...

37 38 39 40 41 41 42 43 44 44 45 46 46 47 48 49 50 50 51 52 52 53

LISTOFFIGURE

Page Text

Graph

1 TheLevelComplianceOfPROPER... 2 AbnormalRetum2010 WithoutCategorization 3 Abnormal Retum2010InCategory... 4 AbnormalRetum2010WithoutCategorization. 5 AbnormalRetum2010InCategory... .

4

55 56 58 59

LIST OFAPPENDIX Appendix 1 Appendix2 Appendix3 Appendix4 Appendix5 Appendix 6 Appendix7 Appendix8 Appendix9 Appendix 10 Appendix 11 Appendix 12 Appendix 13

EnvironmentalPerformanceIndexVariable Companies Sample IHSIof2010 1HSIof2011 IHSGof2010 and2011 Actual Retumof2011 ActualRetumof2011

ExpectedRetum2010and2011 AbnormalRetumof2010 AbnormalRetumof2011 StatisticsTestData

DatainCategoriesFor2010 DatainCategoriesFor2011

CHAPTERI INTRODUCTION

l.l.Background

Thedevelopmentofglobal business has resulted in changes ofcompany’s operation. These changes affect the company's perspective on the scope of their responsibilitiesto stakeholders. Theconcept ofbusiness operation, thatis considered as the most appropriate in today's global challenges, is sustainable business. This concept considers that the company is not only responsible to the shareholders, but

alsotosocietyandenvironment(UnitedNationGeneralAssembly, 1987).

However, the increasing of industrialization in large-scale is not harmonized with the concept of sustainability business. To produce massive of Products, as an effort to meet the human needs which is diverse increasingly, companiesrequirea lotofresourcestaken fromtheenvironment.Resourcesrequired arenotonly forraw materials oftheproduction, butalso the land forthecompany's operations.

In fact, issues ofenvironmental damage were increase as a widespread discussion. Reports stated by Food and Agricultural Organization (FAO) put Indonesia in fifthplaceoutof 10 countries withthe largestforest areain the world. From this large of area, Indonesia's deforestation rate has reached 1.87 miUJon

10countries with the highest ofdegradation rate in theworld (detikNews, 2010). In addition, accordingto thedataserved byResearch Department ofForestry in 2004, Indonesiasuffered financial lossupto83 billionrupiah perdayduetoillegal logging (www.kmnlh.go.id).

Environmental issues are also being a concem of foreign investors. Foreign investors generally questioned the procurement of raw materials and production processes related to environmental problems, such as land degradation, ecosystems, water pollution, air pollution, and noise pollution. In November2007, the European Union held a Green Peace titled Bumt Out Bomeo. Greenpeace has mappedouthowtheexpansionofpalmoilplantationsinCentral Kalimantanfuelling climatechangesand helpingdrives Orang-Utansto theedgeofextinction. According to a report published by Greenpeace, at least 1,500 Orang-Utans died in 2006 as a resultofdeliberateattacksbyplantationindustry. Theseinvestigations foundthatthis expansionhasbeenled bycompanieswhoareRSPOmembersand Unileversuppliers (hiiDunia, 2010). In addition, on January 28, the Environmental Protection Agency (EPA)of U.S. officiallyboycott Indonesian CPO abroad.Thisboycottrelates to the alleged of the CPO production in Indonesia that cause environmental damage (Tribunnews,2012).

Several attempts have been made to address these environmental problems. In the 1980s, the International Organization for Standardization (ISO)

I

responding to environmental problemscan be seen with the adoption oftheLaw of the Republic ofIndonesia Number 23 Year 1997 on Environmental Management. The Act further strengthened the rules for its implementation in Government Regulation No. 18 of 1999. In addition, the Ministry of Environment (MoE) cooperated withthegovemment, through theEnvironmental Impact Control Agency (Bapedal), also evaluatedtheperformanceofthecompany byaprogram laterknown as PROPER(Desfita,2009).

As an altemative compliance instrument, PROPER received good responsefrom variouspartiesincludingtheWorld Bank. PROPEReven becomeone ofthe case studies at the Harvard Institute for International Development (HIID). Since their development in Indonesia began in 1995, PROPER has been a model in many countries in Asia, Latin America, and Africa as an altemative compliance instrument. In 1996, Zero Emission awarded PROPER an Award of the United Nations University in Tokyo (www.kmnlh.go.id). PROPER program started in 1996 which only rated aspects ofwater pollution control. It was suspended due to the economic crisis in the year 1997 to 2001. Then it is revived in 2002 with a more comprehensivecriteriaevolved into amultimediaincludepollution control air,water, waste management and the application of EIA B3 (Press Release PROPER 2011, 2011).

Since 2002, the rate ofPROPER compliance was still fluctuating. Since 2006, the percentage of companies that have received good rank on PROPER

continues to decline. Below is a graph of the level of compliance of participants PROPERsince2002:

Graph 1

TheLevelComplianceofPROPER

Bytheannouncement ofPROPER, it isexpectedthat companiesare more aware tothe environmental sustainabilityin their operations. The main targetofthis national scalemediaofannouncement areshareholdersofthecompany.Shareholders expected to be able to respond actively. Thus, companies with good ranks should have received positive responses from shareholders and companies with bad ranks should have received negative responses from shareholders as well (www.kmnlh.go.id).

For the go public company, shareholder response can be reflected by the stock prices. Company's daily stock price may be affected by many factor, one of

investorsand potential investorsofthesharesofacompany (Hermawati,2007).Not all the news could affect its share price. Announcement ofthe performance ofthe companycan beoneofthenewsthatmayaffectthisprice(Mayangsariand Murtanto,

2002).

To determine whether information about the company's environmental performance iswelltakenornotbytheshareholders,theappropriate analysis used is eventstudy. Most ofevent study focuses on the behavior ofstockprices in order to test whetherthey are affected bythe stochastic behavior disclosure offirm-specific events. To examine the trend ofstock prices, it usually uses abnormal retum. It is done in order to grab the influence of an event to the stock prices fully and accommodatetheuncertaintyalongthedatearoundtheevent(Strong,2010).

Several studies have been conducted to draw conclusions about the relationship ofenvironmental performance with financial performance. Sudaryanto (2011), Rakhiemah and Agustria (2009), Suratno et al (2006), Pfleiger (2005), Amaliaand Dwi (2005), Teoh et al (1998), and Fredman and Jaggi (1992) stated in their conclusion that environmental perfomance is significantly influence the economic perfomance. But in fact, some companies are experiencing thingsthat are notconsistentwiththeseresults.

In 2004 and2005, PT. Bakrie SumatraPlantation (UNSP)gotBlackRank. But in 2006, it receives a positive stock retum. In contrast, PT. Indah Kiat Pulp & Paper (INKP) and PT. Medco Energi International (MEDC), which are got Blue

Anotherstudy also found thatPT. SurabayaAgung Paper (SAIP) andPT. International Nickel Indonesia(INCO), whichgot BlackRank in 2004 and 2005 had a positive economic performance for those year. In contrast, PT. Timah (TINS), which got high marks for its environmental disclosure, obtain a negative economic performance. Even PT. Sumalindo Lestari Jaya (SULI) were also rated high for its environmental disclosure have a negative economic performance for three years respectivelysince2003 (AmaliaandDwi,2006).

Therefore, moreresearch isneededto examine theimpactofthePROPER announcement asaproxy forcorporate environmental performanceto thecompany's abnormal retum. It brings this research take titled "The Effect OfEnvironmental Performance To Abnormal Return Of The Companies Listed On IDX 2010-2011”.

The difference of this research with previous one is this research uses comparative analysis to compares two categories ofmetrical independent variables with anon-metrical dependentvariable. Italso use eventstudy analysis astechnique analysis in order to see more clearly impact ofthe announcementin short term. In addition, this research changes stock retum into abnormal retum as one of its variable. This changesis duetotheabnormalretum ismoreappropriatemodel to use in theeventstudyanalysistechniquewhichused inthis research.Abnormal condition canbetriggered byanevent,suchasenvironmentalannouncement.

1.2.ResesarchProblem

The main problem to be solved by this research was to determine the differences in abnormal return before and after the PROPER announcement. The result ofPROPER, which describes the company's environmental performance, will beclassifiedtheparticipantcompaniesinto fivegroupsofcolor.

Participant of PROPER in 2011 consists of995 companies. From these 995 companies, 5 companies received the Gold Rank, 106 Green Rank, 552 Blue Rank, 283 Red Rank, and 49 Black Rank. While in 2010, it has 690 participated companies, which is consisted of 2 companies received the Gold Rank, 47 Green Rank,435Blue Rank, 152RedRank,and47BlackRank.Fromthosedescriptions, it isclearthatthereisagapbetweenthepopulationranks.

Therefore,toavoid anunevendistributionofthesample,therankanalyzed in this research will be classified into two, namely “Good Rank” (Gold, Green, and Blue) and “Bad Rank” (Red and Black). Rank classification is based on the report Press Release of PROPER that split the level of obedience as 0-50 or disobey (consistingofBlack and Red Rank) and 50-100 orobey (consisting ofGold, Green, andBlueRank).

From thisexplanation,hereistheproblemformulationofthisresearch: • Is there anysignificantdifferenceofcompany’sabnormal return before andafter

• Isthere anysignificantdifference ofcompany’s abnormal returnbefore and after received BadRankonPROPER?

1.3ResearchObjective

The objectivesofthis research are formulated related to theproblemsthat havebeenpreviouslystated,namely:

• To identifythechanges ofcompany’s abnormal return before and afterreceived GoodRankonPROPER

• To identify the changes ofcompany’s abnormal return before and afterreceived BadRankonPROPER

1.4.Research Benefits

Thisresearch isexpectedtoprovidebenefitsforvariousparties,including: • Company

Astheindustrythathave animpactontheenvironmentinorderto increasesocial responsibilityandenvironmentalqualityoftheiroperations.

• Investorsandpotential investors

As theparty who was fund thecompany's operations in orderto get information aboutsocial factorsthatmaybecometheirconsiderationbeforedecidetoinvestin acompany.

• Researcher

As a writer who tried to do this research as well as possible in order to add knowledge about the environmental performance and the impact of its implementation, mainlytothemarketresponses.

• Academics

As the partywho use this research as literature review or references to conduct ftirtherresearch oftheenvironmental performanceanditsimpact.

I

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