Reaksi Pasar Saham terhadap Penerbitan Green Bond di Asia Tenggara
Reza Ahmada, Prof. Dr. Tandelilin Eduardus, M.B.A.
2025 | Tesis | S2 Manajemen
Penelitian ini bertujuan untuk menguji reaksi pasar saham terhadap penerbitan
green bond di Asia Tenggara
dengan menggunakan metode studi peristiwa. Untuk mengestimasi return ekspektasian, digunakan tiga
model: mean adjusted model, market model, dan market adjusted
model. Pengujian hipotesis dilakukan menggunakan dua metode statistik,
yaitu one sample t-test untuk uji
parametrik dan wilcoxon signed rank test
untuk uji non parametrik. Reaksi pasar diukur melalui abnormal return di
sekitar tanggal penerbitan green bond. Data yang digunakan meliputi
harga penutupan saham harian dan harga penutupan indeks bursa saham domestik. Guna
mendukung pengujian hipotesis, dilakukan analisis terhadap rata-rata dan
kumulatif abnormal return antara periode sebelum dan sesudah penerbitan.
Periode pengamatan mencakup 11 hari di sekitar tanggal penerbitan. Hasil
penelitian menunjukkan tidak ada reaksi pasar saham yang signifikan terhadap
penerbitan green bond di Asia Tenggara.
This study aims to
examine stock market reactions to green bond issuances in Southeast Asia using
the event study methodology. To estimate expected returns, three models are
employed: the mean adjusted model, the market model, and the market adjusted
model. Hypothesis testing is conducted using two statistical methods: the
one-sample t-test for parametric data and the Wilcoxon signed-rank test for
non-parametric data. Market reaction is measured through abnormal returns
around the green bond issuance date. The data utilized include daily stock
closing prices and domestic stock exchange index closing prices. To support
hypothesis testing, an analysis of average and cumulative abnormal returns
between pre- and post-issuance periods is performed. The observation window
spans 11 days around the issuance date. The findings indicate no significant
stock market reaction to green bond issuances in Southeast Asia.
Kata Kunci : Green bond, stock market reaction, event study, abnormal return
