Abstract
The purpose of this study was to test the market reaction to the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. The population in this study is all companies included in the Sri Kehati Index from 2013 to 2016. The selection of samples was taken by the population sampling method. Hypothesis testing is done by paired t test and Wilcoxon Signed Rank Test. The findings of this research are: 1) there is no difference in abnormal returns before and after the announcement of the Sri Kehati Index on the Indonesia Stock Exchange. 2) There is a difference in the activity of stock trading volume before and after the announcement of the Sri Kehati index in the 5th and 6th periods, but there is no difference in the activity of stock trading volume in other periods. The Indonesia Stock Exchange did not react consistently to the announcement of the Sri Kehati Index.
Highlights
This research aims to examine the reaction of the Indonesian capital market to the announcement of the Sri Kehati Index in the observation period from 2013 to 2016
The results of the analysis show that there was no significant difference of abnormal return and trading volume activity (TVA) before and after announcement of Sri Kehati Index
In the other six periods there was no difference between the volume of stock trading (TVA) before and after the announcement of the Sri Kehati Index on the Indonesia Stock Exchange
Summary
This research aims to examine the reaction of the Indonesian capital market to the announcement of the Sri Kehati Index in the observation period from 2013 to 2016. The Sri Kehati Index is a kind of stock index on the Indonesia Stock Exchange that provides an assessment to companies that have investments and businesses that are oriented to environmental, social, humanitarian concerns and the utilization and preservation of biodiversity. The existence of the Sri Kehati stock index on the Indonesia Stock Exchange is expected to provide investors with additional nonfinancial information about the company's social responsibility. Lindananty and Soedarman (2015) state that there is no reaction to the issuance of the Sri Kehati Index when measured by abnormal returns, the results are different when measured by trading volume activity. This means that the market reaction is not consistent with the Sri Kehati index information
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