Indonesian Market Response to Green Investment

Abstract

This research aims to determine the response of the Indonesian market to the announcement of CSR information. The Indonesian government has issued regulations regarding the implementation of CSR for companies in Indonesia. The study explores whether the Indonesian market incorporates CSR information into investment decisions. This research examines the market response to CSR information by conducting an event study on company announcements in the SRI KEHATI Index. Investments in companies listed in the SRI KEHATI Index are known as Green Investment. The market response is measured using the abnormal return value of Green Investment. The estimation window used in this research is five days before the announcement and five days after the announcement. The research results show that the Indonesian market has not fully considered CSR activities in investment decisions. Company sustainability factors such as CSR activities have not become the primary concern for Indonesian investors. This study contributes to the existing literature by providing empirical evidence on the market’s reaction to CSR announcements in Indonesia, where CSR is increasingly emphasized. By concentrating on SRI KEHATI index companies, the research offers valuable insights into the valuation of Green Investment.