Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices
The purpose of this research is to examine the effect of SRI index on abnormal return of added to and deleted stocks of two countries, Indonesia (SRI-KEHATI) and Malaysia (FTSE4GBM). The effect was examined using CAAR of the stock around index announcement. This research was conducted using event s...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2021-01-01
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| Series: | Jurnal Siasat Bisnis |
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| Online Access: | https://journal.uii.ac.id/JSB/article/view/17006 |
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| author | Klara Petra Theodora Targanski Werner R. Murhadi |
| author_facet | Klara Petra Theodora Targanski Werner R. Murhadi |
| author_sort | Klara Petra Theodora Targanski |
| collection | DOAJ |
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The purpose of this research is to examine the effect of SRI index on abnormal return of added to and deleted stocks of two countries, Indonesia (SRI-KEHATI) and Malaysia (FTSE4GBM). The effect was examined using CAAR of the stock around index announcement. This research was conducted using event study methodology. The samples used in this research are all the stocks that were added to and deleted from SRI-KEHATI index on 2009-2018 announcements and FTSE4GBM index on 2014-2018 announcements. The result of hypothesis test shows that SRI index announcement has negative significant effect to the added stocks to SRI-KEHATI’s CAAR before announcement, after announcement and cumulative periods, to added stocks to FTSE4GBM’s before announcement and cumulative periods, and to deleted stocks from FTSE4GBM’s after announcement and cumulative periods. SRI index announcements has positive significant effect to the deleted stocks from SRI-KEHATI’s CAAR before announcement. Information on SRI index announcements has effects to the decisions made by investors. Indonesian investors reacted negatively toward added stocks but not choosing deleted stock either after announcements. Malaysian investors reacted negatively toward both added and deleted stocks, added stocks are perceived better even if positive CAAR are insignificant after announcements.
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| format | Article |
| id | doaj-art-06f6d863b5374d89a4bcdda1a13d0a21 |
| institution | Matheson Library |
| issn | 0853-7666 2528-7001 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Jurnal Siasat Bisnis |
| spelling | doaj-art-06f6d863b5374d89a4bcdda1a13d0a212025-07-27T09:47:17ZengUniversitas Islam IndonesiaJurnal Siasat Bisnis0853-76662528-70012021-01-01251Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM IndicesKlara Petra Theodora Targanski0Werner R. Murhadi1Faculty of Business & Economics, University of Surabaya, Surabaya, IndonesiaFaculty of Business & Economics, University of Surabaya, Surabaya, Indonesia The purpose of this research is to examine the effect of SRI index on abnormal return of added to and deleted stocks of two countries, Indonesia (SRI-KEHATI) and Malaysia (FTSE4GBM). The effect was examined using CAAR of the stock around index announcement. This research was conducted using event study methodology. The samples used in this research are all the stocks that were added to and deleted from SRI-KEHATI index on 2009-2018 announcements and FTSE4GBM index on 2014-2018 announcements. The result of hypothesis test shows that SRI index announcement has negative significant effect to the added stocks to SRI-KEHATI’s CAAR before announcement, after announcement and cumulative periods, to added stocks to FTSE4GBM’s before announcement and cumulative periods, and to deleted stocks from FTSE4GBM’s after announcement and cumulative periods. SRI index announcements has positive significant effect to the deleted stocks from SRI-KEHATI’s CAAR before announcement. Information on SRI index announcements has effects to the decisions made by investors. Indonesian investors reacted negatively toward added stocks but not choosing deleted stock either after announcements. Malaysian investors reacted negatively toward both added and deleted stocks, added stocks are perceived better even if positive CAAR are insignificant after announcements. https://journal.uii.ac.id/JSB/article/view/17006abnormal returnCAARSRI index |
| spellingShingle | Klara Petra Theodora Targanski Werner R. Murhadi Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices Jurnal Siasat Bisnis abnormal return CAAR SRI index |
| title | Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices |
| title_full | Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices |
| title_fullStr | Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices |
| title_full_unstemmed | Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices |
| title_short | Sustainable and responsible investment in Indonesia and Malaysia: an event study on SRI-KEHATI and FTSE4GBM Indices |
| title_sort | sustainable and responsible investment in indonesia and malaysia an event study on sri kehati and ftse4gbm indices |
| topic | abnormal return CAAR SRI index |
| url | https://journal.uii.ac.id/JSB/article/view/17006 |
| work_keys_str_mv | AT klarapetratheodoratarganski sustainableandresponsibleinvestmentinindonesiaandmalaysiaaneventstudyonsrikehatiandftse4gbmindices AT wernerrmurhadi sustainableandresponsibleinvestmentinindonesiaandmalaysiaaneventstudyonsrikehatiandftse4gbmindices |