ANALISIS PERBANDINGAN KINERJA DAN RISIKO PERUSAHAAN YANG TERMASUK DALAM INDEKS SRI-KEHATI SEBELUM DAN SAAT PANDEMI COVID-19

MUHAMMAD ZAKI ACHSAN, Dr. Sumiyana M.Si. Ak. C.A.

2022 | Tesis | MAGISTER MANAJEMEN (KAMPUS JAKARTA)

Pandemi Covid-19 membuat IHSG mengalami pertumbuhan negatif pada nilai perdagangan, volume transaksi, kapitalisasi pasar, dan total kepemilikan efek pada saat pandemi Covid-19 di tahun 2020. Morgan Stanley melaporkan pembiayaan keberlanjutan menghasilkan return yang lebih tinggi selama Pandemi Covid-19, seperti return rata-rata Reksadana keberlanjutan sebesar 19,04%, sedangkan return rata-rata Reksadana tradisional sebesar 14,77%. Topik Keberlanjutan di Pasar Modal Indonesia juga mengalami kenaikan tren. OJK melaporkan tahun 2020 terdapat 14 produk reksadana ESG, naik signifikan dibandingkan tahun 2015 hanya 1 produk reksadana. Penelitian ini membandingkan kinerja dan risiko Perusahaan yang termasuk ke dalam SRI-KEHATI dan dummy-nya pada periode sebelum dan saat Pandemi Covid-19, penelitian dilakukan dengan uji beda Mann Whitney U dikarenakan variabel dependent dan independent-nya tidak berdistribusi normal. Hasilnya adalah sebelum Pandemi Covid-19 terdapat perbedaan pada ROA, Standar Deviasi ROA, Standar Deviasi ROE, rasio Tobins Q, dan Standar Deviasi return saham. Namun saat Pandemi Covid-19, seluruh rasio yang diuji tidak memiliki perbedaan.

The Covid-19 pandemic has caused the the IHSG to experience negative growth in trading value, transaction volume, market capitalization, and total securities holdings during the Covid-19 pandemic in 2020. Morgan Stanley reported that sustainable financing resulted in higher returns during the Covid-19 pandemic. We can see that in the average return for sustainable mutual funds is 19.04%, compared to the average return for traditional mutual funds, which is 14.77%. The topic of Sustainability in the Indonesian Capital Market also experienced an increasing trend. OJK reported that in 2020 there were 14 ESG mutual fund products, a significant increase compared to 2015 only 1 mutual fund product. This study compares the performance and risk of companies that are identified as part of the SRI-KEHATI and their dummy in the period before and during the Covid-19 pandemic, the study was conducted with the Mann Whitney U test, due to the dependent and independent variables are not normally distributed. The result is that before the Covid-19 pandemic there were differences in ROA, Standard Deviation of ROA, Standard Deviation of ROE, Tobin's Q ratio, and Standard Deviation of stock returns. However, during the Covid-19 pandemic, all the ratios tested did not have any significant differences.

Kata Kunci : Sustainable Finance, SRI-KEHATI, Financial Performance, Corporate Risk