SRI-KEHATI Index Research Articles

Green Accounting, Intellectual Capital, Gender Diversity dan Kinerja Keberlanjutan Perusahaan

This research aims to determine the influence of green accounting, intellectual capital, and gender diversity on Corporate Sustainability Performance (CSP). The population in the study consisted of companies listed in the SRI-KEHATI Index for the 2016-2020 period. The sample was determined using a purposive sampling technique, with a total sample of 12 companies. Multiple linear regression analysis is used to test the influence of green accounting, intellectual capital, and gender diversity on CSP. The results of this research show that green accounting, intellectual capital, and gender diversity have a positive effect on CSP. This research can support stakeholder theory and can provide additional information for consideration by stakeholders regarding decision making.
 Kata Kunci: Corporate Sustainability Performance, Green Accounting, Intellectual Capital, Gender Diversity

Governance mechanism to improve sustainability report quality: the impact on information risk and stock market participation

PurposeThis study aims to examine the effect of sustainability report quality (SRQ) on information risk. This research also aims to examine the effect of SRQ on stock market participation through information risk.Design/methodology/approachThe research sample includes 120 firm-years listed on the Sri Kehati Index period of 2017–2021. The hypothesis test uses firm and industry effect regression analysis. SRQ is measured by the existence of a sustainability committee and external assurance. The information risk is measured by bid-ask spread. Stock market participation is measured by volume of stock trading.FindingsBased on the data analysis, this investigation finds that SRQ reduces information risk. This research also finds that SRQ improves stock market participation by reducing information risk.Originality/valueFirst, this examination gives new evidence of SRQ to promote information environment improvement. Second, this examination contributes to providing the role of SRQ in an emerging market, such as Indonesia. Third, this examination contributes to providing the evaluation standard for sustainability reporting quality in Indonesia, since Indonesia has no specific standard for the sustainability report. Fourth, this examination contributes to filling the previous gap.

DIFFERENCES IN STOCK PERFORMANCE OF THE SRI-KEHATI AND LQ45 INDEX THROUGH RISK-ADJUSTED RETURN METHOD

This research aims to examine differences in stock performance between the SRI-KEHATI and LQ45 indices using the risk adjusted return method through the Sharpe, Treynor and Jensen ratios. Testing was carried out from 2020 to 2022 on fifteen SRI-KEHATI index shares and fifteen LQ45 shares using the Mann-Whitney test, Independent Sample t Test, and Kruskal-Wallis test. The research results show that there are no differences in stock performance in the two indices using the Sharpe method, Treynor and Jensen methods. It was also found that there were differences between the three methods in the SRI-KEHATI and LQ45 indexes, where the Treynor method was the most consistent method in measuring the performance of the two indices. Overall, the LQ45 index is superior based on average stock performance, especially in the 2020 and 2021 periods, so it can outperform the increase in the SRI-KEHATI index in 2022.

Pengaruh Komponen Good Corporate Governance Pada Nilai Perusahaan

Good corporate governance appears to control behavior and resolve conflicts between parties within the company. This study aims to determine the effect of good corporate governance components on firm value. This study examines 88 companies listed twice a year in the SRI-KEHATI Index in 2019-2022. The components of good corporate governance in this study are proxied by managerial ownership, institutional ownership, independent commissioner composition, and board size. This study uses firm size as a control variable. 
 The analysis technique used is multiple linear regression analysis. The results of the analysis show that managerial ownership, institutional ownership, and board size have a positive and insignificant effect (95 percent confidence level) on firm value while the composition of independent commissioners has a significant positive effect on firm value. The implication of this research is that companies with a high composition of independent commissioners indicate that independent commissioners supervise and coordinate well in maintaining a balance between the interests of majority and minority shareholders so that it has an impact on increasing firm value.

The impact of corporate social responsibility, corporate value, and profitability on the share prices of Sri Kehati Index Companies from 2016 to 2020

Investor interest in a company can be measured by changes in the share price of each company. This research will test and analyse the impact of corporate social responsibility, profitability and enterprise value on share prices. The share price becomes an attraction for investors and becomes the basis for the valuation of the company, which can be observed from the rising or falling share price trend. The data source uses secondary data in annual financial and sustainability reports of each company listed on the Indonesia Stock Exchange (IDX) and Sri Kehati Index, respectively, in 2016 - 2020. The data analysis method uses panel data regression, which was conducted in stages to determine the most appropriate regression model, and finally fixed effect was selected. The results of the study show that the variables of profitability and firm value affect stock prices, while social responsibility does not.

Analysis of Stock Portfolio Performance Using Passive Strategy and Active Strategy with Single Index Model

This study aims to determine and analyze the differences in return and risk performance results of passive and active strategies using the Single Index Model. Then measure the return performance using the Sharpe Index, Treynor, and Jensen's Alpha. This research was conducted on Sri-Kehati index stocks for the period November 2019 to November 2021. Based on passive portfolio strategy research, there are three stocks that form the optimal portfolio, namely BBCA, BBRI, SIDO. While based on active portfolio strategy research, in the first year there were three stocks that formed the optimal portfolio, then in the second year there were seven stocks forming the optimal portfolio, namely BBCA, BBRI, DSNG, INCO, SIDO, SMGR, WIKA. Based on performance measurement using Sharpe, Treynor and Jensen's Alpha indices, the Active Portfolio Strategy is better than the Passive Portfolio Strategy. Meanwhile, based on the difference test using the Mann Whitney U test method, it can be concluded that there is no significant difference in return performance between passive and active portfolio strategies.

THE EFFECT OF COMPANY VALUE, PROFITABILITY AND LIQUIDITY ON CSR DISCLOSURE

The objective of this research is to examine the impact of enterprise value, profitability, and liquidity of the entities on the disclosure of corporate social responsibility. Quota sampling method was chosen to determine sample data. Sample for this research is entities that have SRI-KEHATI index on Indonesia Stock Exchange with financial report years 2019-2021. This paper uses linear regression for hypothesis testing. The results are independent variable (enterprise value, profitability, and liquidity) positively effect to dependent variable (CSR Disclosure). This implies that companies with higher enterprise values, profitability, and liquidity are more inclined to disclose information about their corporate social responsibility efforts.

THE EFFECT OF ENVIRONMENTAL, SOCIAL, AND GOVERNANCE (ESG) DISCLOSURE ON THE COMPANY'S MARKET VALUE IN INDONESIA

This study aims to analyze the effect of Environment, Social Governance (ESG) disclosures on the market value of companies in Indonesia during the COVID-19 pandemic. The sample consists of Indonesian companies listed in the SRI-KEHATI index for 2020-2021. The data was taken from Bloomberg and then analyzed using the regression model. The findings show that ESG disclosure has a significant effect on the company's market value. The results of this study add new evidence to previous findings about the effect of information disclosure, especially related to the environment, social and governance and confirm the signaling theory. The implications of this research are expected to provide investors with material considerations in determining investment. In addition, disclosure of ESG which has a positive influence on market value is expected to contribute to increasing the application of sustainability aspects in the business world in Indonesia. This study has several limitations, namely limited access to websites providing ESG disclosure score data. In addition, the variables used to look at market value factors only use ESG, which based on the results of data processing, there are more than 80% of other factors that can affect market value.

Portfolio Optimization Using Markowitz Model on Sri-Kehati Index

This thesis investigates the portfolio optimization process using the Markowitz model on the SRI-KEHATI index, an esteemed sustainable investment index. The study aims to explore the potential advantages of incorporating environmental, social, and governance (ESG) factors into portfolio construction. By leveraging historical financial data and reliable ESG metrics, this research develops optimized portfolios that strike a balance between risk and return while adhering to the sustainability criteria of the SRIKEHATI index. The methodology encompasses the collection of credible ESG data and financial information for the constituents of the SRIKEHATI index. The Markowitz model is subsequently employed to analyze the risk and return characteristics of each asset within the portfolio. Through the application of optimization algorithms, the study seeks to identify the optimal asset allocation that maximizes risk-adjusted returns, taking into account the ESG criteria outlined by the SRI-KEHATI index. The outcomes of this research provide valuable insights into the effectiveness of portfolio optimization techniques within the realm of sustainable investing. By considering both financial metrics and ESG factors, investors can construct portfolios that align with their sustainability objectives while optimizing risk and return. The findings shed light on the performance of the optimized portfolios and compare them with conventional approaches, thereby demonstrating the potential benefits of integrating ESG considerations into portfolio decision-making. Additionally, this study examines the practical implications associated with implementing sustainable portfolio strategies based on the SRI-KEHATI index. Overall, this thesis contributes to the expanding body of knowledge on sustainable investing and portfolio optimization, specifically focusing on the SRI-KEHATI index. It provides valuable insights for investors, asset managers, and policymakers interested in sustainable investment strategies. Furthermore, it offers a framework for incorporating ESG considerations into the portfolio construction process using the Markowitz model, thereby aiding in the development of more robust and sustainable investment portfolios.

Relationship between Financial Performance and Ownership Structure on Sustainability Disclosure in SRI-KEHATI Index Firms

Purpose: The purpose of this study is to analyze the effect of profitability, liquidity, profitability, institutional ownership, managerial ownership, and foreign ownership on the disclosure of sustainability reports. Methodology: This study uses a quantitative approach with panel data analysis. The sample selection used a purposive sampling technique and obtained 15 samples of companies listed in the SRI-KEHATI index from 2017-2021. Findings: The study results show that profitability, liquidity, institutional ownership, and managerial ownership do not affect the disclosure of sustainability reports. Foreign ownership has a negative effect on the disclosure of sustainability reports. Novelty: The novelty of this study is the research focus which analyzes the completeness of disclosing sustainability reports from companies with ESG principles, namely companies listed on the SRI-KEHATI index. In addition, the focus of the independent variables used is financial performance, which is proxied by profitability and liquidity, and ownership structure, which is proxied by institutional ownership, managerial ownership, and foreign ownership.

Multi - Industry Directorship dan Firm Value Pada Perusahaan Dalam Indeks Sri Kehati

The purpose of this study is to examine the existence of the SRI Kehati index in Indonesia Stock Exchange through testing governance variables (multi-industry commissioners and directorships, independence of commissioners) in companies of the SRI Kehati index as a driver of firm value. The reseach is a quantitative research by pannel data with random effect models. The results showed that the presence of directors handle multiple industries was able to encourage an increase in form value. Likewise, independent commisioners are able to increase firm value. The results of this study contribute to an overview of the level of readliness of companies in implementing the Sustainability Disclosure Standardand and indicate factors that can encourage an increase in firm value by paying more attention to social and environmental issues so that it can benefit public companies in general in the context of developing sustainability in Indonesia. Keywords: Busy Director, Multy-Industry Directorship, Rating SRI Kehati, Sustainability

Do Unethical Stocks Win in Developing Country? Evidence From Indonesia

Ethical investing in various countries is increasingly popular following the number of ethical investors. However, the performance of ethical investments in many developed countries is lower than the performance of the opposite category, unethical stock, or researchers called it as sin stock. This study examines whether the performance of sin stocks in Indonesia is as good as the performance of sin stocks in developed countries considering the very different cultures and religions. This study comprehensively measures the performance of all sin stocks and ethical stocks using the risk-adjusted return approach, the Sharpe and Treynor ratios. To sharpen the analysis, this study also measures the efficiency of all types of stocks using the data envelopment analysis method. The results show that the performance of the sin stock portfolio in Indonesia is different from the facts in developed countries. Sin stocks in Indonesia had the worst performance during 2013-2022 compared to ethical stocks. Furthermore, in terms of efficiency, the SRI-Kehati Index has the highest score compared to all indices. This research contributes to provide theoretical and practical insights about the comparison of the performance of sin stocks and their counterparts in Indonesia which is different from sin stocks in developed countries. The originality of the research includes the creation of a sin stock portfolio and the use of constraint stocks as a proxy for ethical stocks.

Financial Performance and the Effect on Sustainability Reports Disclosure, Company Size, and Solvency

The company has the goal of getting profits, by having profits it will be easier to carry out its operational activities. Companies that are very effective and efficient in carrying out their operational activities must have good financial performance. This research was conducted with the aim of knowing and analyzing the effect of disclosure of sustainability reports, company size and solvency on the company's financial performance. To answer the objectives of this study requires a quantitative method, the sample used in this study is a company listed on the SRI-Kehati index on the Indonesia Stock Exchange which consists of 13 companies. Determination of the sample in this study using the technique purposive sampling. The data analysis used is multiple regression analysis of panel data. The proxy used for the company's financial performance in this study is Return on Assets (ROAs). The results of this study indicate that disclosure sustainability reports, company size and solvency companies simultaneously have a significant influence on the company's financial performance.

Ethical Stock Portfolios : Does It Have High Risk and Low Return

This study examines the comparison of stock performance as measured using the return and risk of stock portfolios of ethical and non-ethical companies on the Indonesia Stock Exchange. Portfolio formation using a single index model during 2016-2019. The data analysis technique uses an independent sample t-test with a significance level of 5%. The results showed that there were no differences in portfolio return and risk. The average portfolio return is 0.22% for ethical stocks and 0.27% for non-ethical stocks. There is also no significant difference in portfolio risk, 0.87% for ethical stock portfolios and 0.99% for non-ethical stocks. This research has implications for investors who are interested in ethical stocks where they don't have to worry about high portfolio risk and low returns because the results show that the SRI KEHATI index stock portfolio provides the same level of risk and return as the LQ45 index stock portfolio.

Carbon Emissions Disclosure and Environmental Performance on Company Value

This study aims to identify the influence of carbon emissions and environmental performance disclosure on company value partially and simultaneously. The object of this research is a group of companies included in sustainable and responsible investment, the SRI-KEHATI Index in 2015-2020. The data analysis method is associative, using multiple linear regression analysis and partial and simultaneous hypothesis testing. The result indicates that carbon emissions disclosure has a partial and significant effect on enterprise value with the results of t-count 2.074 > t-table 2.05183 with a significance of 0.048 < 0.05. Environmental performance has a partial and substantial effect on company value with the results of t-count 4.624 > t-table 2.05183 with a significance of 0.000 < 0.05. Simultaneously, the carbon emissions and environmental performance disclosure have a significant effect on company value with the results of F-count 13,217 > F-table 3.34 with a significance of 0.000 < 0.05. The determinant coefficient shows that the variables in the study affect at the rate of 49.5%.

The Effect of Corporate Sustainability Performance on the Values of Companies Listed in the Sri Kehati Index

This study aims to determine and analyze the effect of Corporate Sustainability Performance as measured by the community component, employee component, environmental component and corporate governance component on corporate value as proxied by the Tobins Q ratio. The approach used in this study is a quantitative approach. This research was conducted on companies that are constituently listed on the Sri Kehati Index by taking a sample of 22 companies using a total sampling technique. Panel data regression analysis was used in this study using Eviews 12. The results of this study indicate that (1) the components of society, employees, environment and corporate governance have an effect on firm value, (2) community components have an effect on firm value, (3) employee component has no effect on firm value, (4) environmental component has no effect on firm value and (5) corporate governance component has no effect on firm value

DETERMINANT OF COMPANY VALUE IN THE SRI-KEHATI INDEX ON THE INDONESIAN STOCK EXCHANGE

The Sri-Kehati index is one of the indices that is an indicator of stock price movements on the Indonesia Stock Exchange. This index uses the principles of sustainability, finance, and good governance, as well as concern for the environment as benchmarks. There are many factors thought to influence the level of firm value, including corporate social responsibility, intellectual capital, and environmental performance. This study aims to determine the significance of the influence of corporate social responsibility and intellectual capital on firm value with environmental performance as a mediating variable on the Sri-Kehati Index on the Indonesia Stock Exchange. This research was conducted on all companies listed on the Sri-kehati Index listed on the Indonesia Stock Exchange, totaling 25 companies with a research period from 2017 to 2021. The research method used is PLS (Partial Least Squares), namely SEM (Structural Equation Method) based on variance. The results of this study state that corporate social responsibility has a negative and insignificant effect on firm value. Intellectual capital has a positive but not significant effect on firm value. Corporate social responsibility has a positive but not significant effect on environmental performance. Intellectual capital has a negative and significant effect on environmental performance. Environmental performance has a negative and significant effect on firm value. As well as environmental performance is not able to mediate corporate social responsibility and intellectual capital on the company's firm value on the Sri-Kehati Index.

The Impact of Non-Financial Information to Firm Value: Study on The Sri-Kehati Index of the Indonesian Stock Exchange Before the Covid-19 Pandemic

The Impact of Non-Financial Information to Firm Value: Study on The Sri-Kehati Index of the Indonesian Stock Exchange Before the Covid-19 Pandemic

The Implementation of Sustainable Finance: A Case Study in Bank Performance

The idea of sustainability was risen according to climate change since the beginning of industrialization in the 18th century. As consequence, the effect will be physical disasters that lead to disadvantages for businesses. The role of banking as an intermediary makes it an agent of trust. Thus, the proper business conduct of its practice is an obligation. Attempts for green finance can be seen by the SRI KEHATI index which has the 25 most favorable issuers that mostly apply ESG criteria. This study conducts an analysis of KBMI 4 banks and then analysis the relation of ESG score compared to the financial performance, i.e NPM, ROA, and ROE from the 2017 to 2021 periods. The result shows that there is a correlation between the performance indicated by the ESG score to the financial performance of each issuer. The results showed that ESG and NPM, ROA, and ROE do not have significant relation. It was because there was no direct correlation between the ESG and the independent variables. Both, ESG and independent variables are indicators of a company’s performance. Needs further study to connect those two to find how strong the scoring is affecting a company’s performance, especially in the profitability ratio. Keywords: Banking, ESG, Green Finance, NPM, ROA, ROE, SRI KEHATI Index, Sustainability.

Sustainable and responsible investment dynamic cross-asset portfolio

Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from January 2019 to December 2021, which was then analyzed using the DCC-GARCH analysis technique. The results show that adding Ripple, gold and bonds into a portfolio consisting of Sri-Kehati stocks can reduce the investment risk. The findings imply that investment managers and investors who have portfolios consisting of eco-friendly stocks such as Sri-Kehati stocks and bonds may reduce investment risk and balance their portfolios by adding gold or cryptocurrencies separately.