Studies and Scientific Researches. Economics Edition, No 30, 2019 http://sceco.ub.ro 

77 
 

 

MARKET REACTION ON THE ANNOUNCEMENT OF  

SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 
 

Anggita Langgeng Wijaya  
Universitas PGRI Madiun, Kota Madiun, Indonesia 

 gonggeng14@gmail.com 
Mia Noviyanti  

Universitas PGRI Madiun, Kota Madiun, Indonesia 

mianoviyanti18@gmail.com 

Probo Mahayu 
Universitas PGRI Madiun, Kota Madiun, Indonesia 

pmahayu@gmail.com 

 

 
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. 

 
Keywords 
Market Reaction; Sri Kehati Index; Corporate Social Responsibility; Abnormal Return; Trade 

Volume  

 
JEL Classification 
M40; M14  

 

 

 

Introduction 
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 Sri Kehati Index was formed by the authorities of the 

Indonesia Stock Exchange and the Indonesian Biodiversity Foundation on June 8, 2009 

(Lindananty & Soedarman, 2015). The concept of valuation of the company's stock 

index Sri Kehati is in line with the concept of corporate social responsibility. 

Wang et al (2016) explained that the concept of corporate social responsibility begins 

with the idea that businesses have a responsibility to the community and all 

stakeholders who are directly or indirectly involved in the company. Since the 1960s, 

the concept of corporate social responsibility has attracted so much attention from 

academics and practitioners. Although the idea of CSR has received various criticisms, 

research on CSR has been growing very dynamically. 

Reddy and Kala (2018) stated that CSR shows organizational commitment in balancing 

efforts to achieve business profits with social interests to employees, local communities 



MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 

78 
 

and society. According to Cheng and Setiawan (2011), the implementation of CSR in 

the company's strategy and operations will get investors' attention. Companies that 

implement good CSR policies show that companies prioritize business sustainability 

and environmental problems. Investors are expected to tend to invest in companies that 

have good CSR. CSR can be a strategy to demonstrate the company's competitive 

advantage. Wang et al (2016) states that the implementation of CSR is related to value 

creation activities. 

The Government of the Republic of Indonesia also pays attention to the implementation 

of CSR. Through Law No. 40 of 2007 concerning incorporated companies, the 

Government of the Republic of Indonesia requires companies in the natural resource 

industry to carry out and report CSR activities. The Indonesian Stock Exchange 

Authority then issued a measurement of the level of company concern for CSR and the 

environment in the form of a stock index. The Indonesia Stock Exchange in 

collaboration with the Biodiversity Foundation launched a stock index called the Sri 

Kehati Index. 

Sri Kehati Index is a stock index which is calculated from companies that are 

considered to have very good attention to the environment, social and humanity. Sri 

Kehati Index consists of 25 companies in the Indonesia Stock Exchange. The Sri Kehati 

Index is announced twice a year in April and October. The composition of companies 

included in the Sri Kehati index is possible to differ during each announcement. 

Indahyanti and Wijaya (2014) revealed that one of the objectives of financial reporting 

is to provide information that is useful to users of the report. Carnevela et al (2012) 

states that accounting information is has value relevance if the information can affect 

the market equity value. Previous research shows that accounting information alone 

cannot explain variations in equity market values. The influence of non-financial 

information on the value of equity raises a lot of debate among academics. According 

to Carnevela et al (2012), research on the influence of CSR information on the capital 

market becomes interesting to analyze. The existence of the Sri Kehati stock index on 

the Indonesia Stock Exchange is expected to provide investors with additional non-

financial information about the company's social responsibility. 

Market reaction to announcements or information on the market can be evaluated from 

changes in stock prices and stock trading volume activities (Wijaya & Sudana, 2017). 

Stock trading volume is able to describe investor expectations on new information, 

while changes in stock prices indicate the influence of information at the market level 

(Beaver, 1968). Stock trading volume is able to reflect investor activity because it 

considers every action taken by the investor through the sum of all stock trading, while 

the price reflects an aggregation or average of investor confidence (Wijaya & Sudana, 

2017). 

According to Halkos and Sepetis (2007), the stock market evaluates the stock market 

value of Greek companies that implement environmental management systems. 

Company policies that are oriented to environmental concerns require large costs. The 

capital market should be able to provide a different response between companies that 

have good environmental performance and poor environmental performance. This 

study concludes that a better environmental management system results in a reduction 

in company risk. In the Indonesian capital market, one indicator of environmental 

performance is the Sri Kehati index. According to Zufkafli et al (2017), the Sri Kehati 

index is an index that shows that the company has considered social investment and 

responsible environmental management. 

Previous research on the Sri Kehati index in the Indonesia Stock Exchange has 

produced inconsistent results. Lindananty and Soedarman (2015) state that there is no 

reaction to the issuance of the Sri Kehati Index when measured by abnormal returns, 

however, 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. 



Wijaya, Noviyanti, Mahayu 

79 
 

Asmara (2017) stated that the capital market will react to the disclosure of social 

responsibility in companies included in the Sri Kehati index. 

Based on the inconsistencies of several previous studies, the researchers considered that 

research on the reaction of the Indonesian Stock Exchange to the Sri Kehati index 

needed to be re-examined as an effort to complement previous research regarding the 

capital market reaction to the Sri Kehati index. 

The next part of this study will be presented as follows: The second part contains a 

literature review and development of hypotheses, the third section describes the 

research method, the fourth section discusses the research analysis, the fifth section 

presents the research discussion and the last section discusses conclusions, limitations 

and research suggestions. 

 

 

Literature Review and Hypotheses Development 

 

Corporate Social Responsibility 
Malik and Kanwal (2018) explain that CSR is not a new concept. The definition of CSR 

at the beginning was the management of business organizations and social performance 

that had a positive impact on the community. Becchetti et al (2014) explained that CSR 

has shifted the company's efforts to maximize profits on more complex business 

strategies in order to satisfy various stakeholders. Companies in an effort to achieve 

profits, companies must be able to properly consider the impact of business activities 

on the interests of each of the stakeholders. Cahan et al (2016) explained that CSR will 

have an impact on the company's reputation, a greater goodwill of the company and an 

increase in the company's performance in the long run. Previous research has explained 

that the company's social performance has an impact on the company's financial 

performance. 

Ksiezak and Fischbach (2017) stated that CSR is the way the company is responsible 

for the company's stakeholders. The importance of CSR for corporate strategy is closely 

related to the company's stakeholders. Companies need trust and good relationships 

with suppliers, business relations, employees and other social organizations. According 

to Ksiezak and Fischbach (2017), the basic concept of CSR refers to three basic pillars, 

namely profit, people and planet. The profit aspect will relate to multiplayer effects, 

taxation and activities that can damage trust in the company. Aspects of people include 

the responsibility of the consumer company, responsibility for employees and 

responsibility for the community. The planetary aspect includes the company's concern 

for business activities that affect the natural environment. 

Wang and Li (2016) state that increasing global attention and concern for CSR has 

made a significant increase in corporate CSR reporting worldwide. Astuti and 

Nugrahanti (2005) explained that investors not only analyze earnings information, but 

also evaluate the disclosure of corporate social and environmental responsibilities. 

Reporting and disclosure of CSR activities is one way to send signals to stakeholders 

(investors) and the market. CSR disclosure is expected to provide a signal that can 

increase the value of the company. Stakeholders are expected to have a positive 

perception of companies that implement CSR strategies well and have an interest in 

investing in the company.  

Wang and Li (2016) stated that CSR disclosure provides added value for information 

users to assess the risks and performance of the company in the future. According to 

Lopatta et al (2016), research on CSR still causes a lot of debate. Academics and 

practitioners are considered not to agree about the definition and interpretation of CSR 

so that the results of research are still very varied. There is also no consensus of direct 

CSR benefits for companies such as reducing company costs and risks as well as 

indirect benefits in terms of competitive advantage. The existence of the Indonesian 



MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 

80 
 

Stock Exchange's authority policy regarding the establishment of the Sri Kehati stock 

index is an opportunity to develop research on CSR. 

 
Sri Kehati Index 

The Sri Kehati stock index cannot be separated from the CSR concept. The Sri Kehati 

Index is the result of collaboration between the Biodiversity Foundation (Kehati 

Foundation) and the Indonesian Stock Exchange authorities. The word SRI stands for 

“Sustainable and Responsible Investment”. Sri Kehati Index aims to provide additional 

information for investors about companies that have very good performance in terms 

of sustainable business, a good corporate governance system, and concern for the 

environment. This index assesses companies that have implemented CSR by 

considering six fundamental aspects as ranking criteria, including: environment, 

community development, corporate governance, human rights, business behavior and 

employment principles (Kehati.or.id, 2015). 

The Sri Kehati Index consists of 25 company shares selected through a selection and 

ranking process. Based on the explanation presented on the Indonesia Stock Exchange 

website (https://www.idx.co.id/), the criteria used to conduct the assessment include: 

1) the company has total assets above Rp 1 trillion based on audited financial 

statements. 2) the company has a positive Price Earnings Ratio (PER). 3) Public share 

ownership is greater than 10%. The next step is to choose the 25 best stocks by 

considering 6 main factors, which include: 1) Environment; 2) Community; 3) 

Corporate Governance; 4) Human Rights; 5) Business Conduct; 6) Employment 

Practices & Decent Work. Companies registered in the shares of the Sri Kehati Index 

can change each announcement date. 

The Indonesian capital market reaction to information will be indicated by changes in 

the company's stock price. Changes in stock prices on the stock exchange can be seen 

from changes in abnormal returns (AR), which is a comparison between actual returns 

and expected returns (Lindananty & Soedarman, 2015). Market reaction can also be 

seen from the Trading Volume Activity (TVA). TVA measures a stock trading activity 

that occurs in a certain period which is calculated by comparing the volume of shares 

traded with the volume of previous shares. The capital market reaction to the Sri Kehati 

Index on this research will be seen from changes in abnormal returns and the company's 

Trading Volume Activity (TVA). 

 

Hypothesis Development 
Du et al (2017) explains that there is an increase in demand from the capital market for 

sustainability reports. The results of academic research show that sustainability reports 

affect firm value. Companies use various methods in communicating information about 

sustainability reports, for example through advertising, disclosure of information 

through annual report or company websites. Halkos and Sapetis (2007) explain that 

capital markets react to information about corporate environmental policies in which 

improving environmental performance will reduce the risk of the company. 

Research on market reactions to social and environmental activities was carried out by 

Ramiah et al (2013). This study investigated the impact of 19 announcements on 

environmental regulations on entities listed on the Australian Stock Exchange during 

the period 2005-2011. The results showed that there was an abnormal return of 31% in 

the alternative energy sector which indicated that the environmental policy had an 

impact on the long-term energy sector industry. Atiqoh (2016) found that CSR 

disclosure affects company stock returns. However, other studies such as Astuti and 

Nugrahanti (2015) did not find the effect of corporate social responsibility on abnormal 

returns. 

Research on Sri Kehati index has been done by some previous research. The research 

of Lindananty and Soedarman (2015) examined the consistency of Indonesian Stock 

https://www.idx.co.id/
https://www.idx.co.id/


Wijaya, Noviyanti, Mahayu 

81 
 

Exchange reaction to the issuance of Sri Kehati index. The results were shown that for 

the reaction test of the Sri Kehati index announcement, it gives consistent result for 

nine periods the measurement of the abnormal return but does not yield consistent 

results when the market reaction was measured by trading volume activity. Indonesian 

Stock Exchange investors do not react consistently to the Sri Kahati Index 

announcement.  

Kusumaningtyas and Andayani (2015) conducted a study on the effect of corporate 

governance on firm value on the company share that listed on the Sri Kehati Index. The 

results of this study was indicated that institutional ownership affects the value of the 

company while managerial ownership, the composition of independent commissioners 

and audit quality does not affect the value of the company in the company listed in the 

Sri Kehati index. Laurensia (2015) was conducted a study on the effect of financial 

performance on stock prices of companies included in Sri Kehati index by considering 

aspects of CSR disclosure. This study found the influence of financial performance on 

CSR but did not find the effect of financial performance and CSR on stock price of 

company. Zulkafli et al (2017) conducted a study on the comparison of stock portfolio 

performance between companies in Sri Kehati Index and Jakarta Composite Index. The 

results were shown that the company’s stock performance included in Sri Kehati Index 

has a better portfolio performance than the company that listed the Jakarta Composite 

Index.  

Previous research regarding the market reaction to the announcement of the Sri Kehati 

index has shown different results. If information about the Sri Kehati index is assessed 

by the market as good information, the capital market is expected give a good response. 

Sri Kehati is a CSR-based and sustainable investment index, so researchers suspect that 

the Indonesian capital market will react to the announcement of the index which can be 

observed from changes in abnormal returns and trading volume activity. 

Based on the things mentioned above, the hypothesis in this study was expressed as 

follows.  

H1 :  There are differences in abnormal return before and after announcement of Sri 

Kehati Index in Indonesian Stock Exchange   

H2 :  There are differences in trading volume activity before and after 

announcement of Sri Kehati Index in Indonesian Stock Exchange   

 

 

Research Methods  

 

Data, Population and Sample 
This type of research is an event study, which uses window 10 for the data collection 

range (5 days before and 5 days after). Event studies are a type of study used to assess 

the impact of an event or certain information on the value of the company. The 

population in this study was all companies included in the 25 Sri Kehati index 

companies in the period 2013 to 2016. The sampling technique used was population 

samples. Data is obtained through the announcement of the Indonesia Stock Exchange 

data and daily stock price data on the yahoofinance.com. 

 

Definition and Measurement of Research Variables  
The capital market reaction in this study is as follows:  

1. Abnormal Return (AR)  

Abnormal Return is the difference between the actual return occurs with the return was 

expected investors. Abnormal Return measurement was used market adjusted model 

which is model which assumes that best estimator to estimate return of stock is market 



MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 

82 
 

return index at that time (Lindananty and Soedarman, 2015). The used of this model 

will cause a stock return that is estimated to be the same as the market index return.  

ARit = Rit  - E(Rmt) 

Where,  

ARit  = Abnormal stock return of i in period of t  

Rit  = Return of stock of i in period of t  

E (Rmt) = Expected return of stock market index in period of t  

  

The calculation of market index return used the following formula:  

𝐸(𝑅𝑀𝑡  ) =  
𝐼𝐻𝑆𝐺𝑡 −  𝐼𝐻𝑆𝐺𝑡−1

𝐼𝐻𝑆𝐺𝑡
 

Where,  

E(Rmt)  = Expected return of stock market index in period of t  

IHSGt  = Composite Stock Price Index in period of t  

IHSGt-1    = Composite Stock Price Index in period of t-1. 

  

2. Trading Volume Activity (TVA)  

Trading Volume Activity (TVA) is a stock trading activity that occurs in a certain 

period calculated by comparing the volume of stock (number of stock) traded with the 

volume of stock outstanding.  

𝑇𝑉𝐴𝑖𝑡 =  
∑ 𝑆𝑡𝑜𝑐𝑘 𝑖  𝑖𝑛 𝑝𝑒𝑟𝑖𝑜𝑑 𝑜𝑓 𝑡 −  𝑆𝑡𝑜𝑐𝑘 𝑖  𝑖𝑛 𝑝𝑒𝑟𝑖𝑜𝑑 𝑜𝑓 𝑡 − 1

∑ 𝑆𝑡𝑜𝑐𝑘  𝑖  𝑖𝑛 𝑝𝑒𝑟𝑖𝑜𝑑 𝑜𝑓 𝑡 − 1
 

 

The Sri Kehati Index is annually announced twice in April and October. Announcement 

of Sri Kehati Index in the period 2013 to 2016 there are eight dates of Sri Kehati index 

announcement so that paired sample test was conducted for eight of the date of the 

announcement.  

 

Data Analysis Technique  
Data analysis in this study was carried out using a paired sample t test. If the results of 

the data normality test show that the data is normally distributed, hypothesis testing will 

be carried out by paired samples t test. However, if the data does not meet the normality 

assumption, hypothesis testing will be done with the Wilcoxon Signed Rank Test 

 

 

Analysis and Discussion  
In this section we will explain the results of the analysis of the Indonesian capital market 

reaction to the announcement of the Sri Kehati index. To facilitate the readers' 

understanding of this analysis, we explained that during the 2013-2016 research period 

there were 8 announcements of the Sri Kehati index on the Indonesia Stock Exchange. 

At each announcement of the Sri Kehati index there are potential changes in company 

data including the Sri Kehati index.  

The Indonesian capital market reaction to the announcement of the Sri Kehati index 

will be seen from changes in the abnormal return and trading volume activity. If there 

is a difference of abnormal return and trading volume activity before and after 

announcement, it was indicated the market reaction, but if there is not difference 

indicated that capital market does not give response to Sri Kehati index announcement. 

Analysis of the market reaction is tested for each date index announcement. The table 

below shows in detail the date of the announcement of the Sri Kehati Index on the 

Indonesia Stock Exchange. 

 
 



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83 
 

Table 1 Period of Research Observation 

 

Observation 

Period  

Event Window  

t -5 t  t + 5  

1  
April 22 - April 26, 

2013  
April 29, 2013  

April 30 - May 4, 

2013  

2  
October 23 - October 

29, 2013  
October 30, 2013  

October 31 - 

November 6, 

2013  

3  
April 22 - April 28, 

2014  
April 29, 2014  

April 30 - May 5, 

2014  

4  
October 20 - October 

24, 2014  
October 27, 2014  

October 28 - 

November 3, 

2014  

5  
April 20 - April 24, 

2015  
April 27, 2015  

April 28 - May 4, 

2015  

6  
October 22 - October 

28, 2015  
October 29, 2015  

October 31 - 

November 5, 

2015  

7  
April 21 - April 27, 

2016  
April 28, 2016  

April 29, 2016 - 

May 5, 2016  

8  
October 20 - October 

26, 2016  
October 27, 2016  

October 28 - 

November 3, 

2016  
Source: Indonesia Stock Exchange, Researcher’s Data Source 

 
Data analysis was done for each date of Sri Kehati index announcement. On each 

announcement date, the researchers were examined the market reaction from the 

abnormal return (AR) and trading volume activity (TVA). Test results for each period 

of observation presented in the following:  

 

Result of 1st Period Analysis 
The first analysis was conducted for the announcement date of the Sri Kehati index on 

April 29, 2013. The table below presents the test results for that period as follows: 

 
Table 2 Test of Market Reaction for 1st Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p value  

April 29, 2013  AR Before and AR 

After  

Wilcoxon Signed Rank 

Test  

0.824 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed Rank 

Test  

0.643 

Source: computed by the author 

 
Based on table 2, it was known that both of the abnormal return (AR) and trading 

volume activity (TVA) tests were showed insignificant results. Testing of abnormal 

return and trading volume activity (TVA) was showed that there was no significant 

difference of abnormal return and trading volume activity (TVA) before and after 



MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 

84 
 

announcement of Sri Kehati Index. In testing the index announcement on April 29th, 

2013, the capital market does not react to the announcement of Sri Kehati index.  

 

Result of 2nd Period Analysis 
The second analysis was conducted for the announcement date of the Sri Kehati index 

on October 30, 2013. The table below presents the test results for that period as follows: 

 
Table 3 Test of Market Reaction for 2nd Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p 

value  

October 30, 2013 AR Before and AR 

After  

Wilcoxon Signed 

Rank Test  

0.614 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed 

Rank Test  

0.499 

Source: computed by the author 

 
Table 3 was known that both of the abnormal return and TVA tests were showed 

insignificant results. 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 testing the announcement of Sri Kehati index on 

period of October 30, 2013 was shown that the Indonesian capital market does not react 

to the announcement of Sri Kehati Index. 

 

Result of 3rd Period Analysis 
The third analysis was conducted for the announcement date of the Sri Kehati index on 

April 29, 2014. The table below presents the test results for that period as follows: 

 
Table 4 Test of Market Reaction for 3rd Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p value  

April 29, 2014 AR Before and AR 

After  

Wilcoxon Signed 

Rank Test  

0.396 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed 

Rank Test  

0.700 

Source: computed by the author 

 
The table 4 was presented the test results for the third observation period of April 29, 

2014. Based on the table 4, it was known that both the abnormal return and trading 

volume activity (TVA) tests were showed insignificant results. The results of the 

analysis show that there was no significant difference of abnormal return and TVA 

before and after announcement of Sri Kehati Index. In testing the announcement of the 

Sri Kehati index on period of April 29, 2014 was shown that the capital market does 

not react to the announcement of Sri Kehati Index.  

Result of 4th Period Analysis 
The fourth analysis was conducted for the announcement date of the Sri Kehati index 

on October 27, 2014. The table below presents the test results for that period as follows: 

 
 



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85 
 

Table 5 Test of Market Reaction for 4th Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p 

value  

October 27, 2014 AR Before and AR 

After  

Wilcoxon Signed Rank 

Test  

0.060 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed Rank 

Test  

0.124 

Source: computed by the author 

 
Table 5 was presented the test results for the fourth observation period of October 27, 

2014. Based on table 5, it was known that both of the abnormal return and trading 

volume activity (TVA) tests were showed insignificant results. The results of the 

analysis show that there was no significant difference of abnormal return and TVA 

before and after announcement of Sri Kehati index. In testing the announcement of the 

Sri Kehati index on period of October 27, 2014 was showed that the capital market does 

not react to the announcement of Sri Kehati index. 

 

Result of 5th Period Analysis 
The fifth analysis was conducted for the announcement date of the Sri Kehati index on 

April 27, 2015. The table below presents the test results for that period as follows: 

 
 Table 6 Test of Market Reaction for 5th Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p 

value  

April 27, 2015 AR Before and AR 

After  

Wilcoxon Signed Rank 

Test  

0.967 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed Rank 

Test  

0.021 

Source: computed by the author 

 
Table 6 was presented the test results for the fifth observation period of April 27, 2015. 

Based on table 6, it was known the abnormal return and trading volume activity (TVA) 

tests were showed different results. Testing of abnormal return showed insignificant 

results with p value of 0.976. The test results were showed no significant differences in 

abnormal return before and after the announcement of Sri Kehati index on April 27, 

2015. Testing on trading volume activity (TVA) was showed significant results with p 

value of 0.021. The test results were shown that there is a significant difference of 

trading activity volume (TVA) before and after the announcement of Sri Kehati index 

on April 27, 2015. Abnormal return and trading volume activity (TVA) test was showed 

inconsistent result to measure market reaction at the announcement of Sri Kehati Index 

in this period.  

 
 

Result of 6th Period Analysis 
The sixth analysis was conducted for the announcement date of the Sri Kehati index on 

October 29, 2015. The table below presents the test results for that period as follows: 

 
 



MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 

86 
 

Table 7 Test of Market Reaction for 6th Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p value  

October 29, 2015 AR Before and AR 

After  

Wilcoxon Signed 

Rank Test  

0.477 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed 

Rank Test  

0.008 

Source: computed by the author 

 

Table 7 was presented the test results for the sixth observation period of October 29, 

2015. Based on the table above, it was known that the abnormal return and trading 

volume activity (TVA) tests were showed different results. Testing of abnormal return 

was showed insignificant results with p value of 0.477. The test results were showed 

that there was no significant difference of abnormal return before and after the 

announcement of Sri Kehati index on October 29, 2015, Tests on trading volume 

activity (TVA) was showed significant result with p value of 0.008. Test results were 

shown there a significant difference in trading activity volumes (TVA) before and after 

the Sri Kehati index announcement on October 29, 2015. The abnormal return and 

trading volume activity (TVA) tests were show inconsistent results for measuring 

market reaction to the announcement of the Sri Kehati Index of this period. Abnormal 

return test was showed no significant results while trading volume activity (TVA) test 

was showed significant results.  

  

Result of 7th Period Analysis 
The seventh analysis was conducted for the announcement date of the Sri Kehati index 

on April 27, 2016. The table below presents the test results for that period as follows: 

 
Table 8 Test of Market Reaction for 7th Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p value  

April 27, 2016 AR Before and AR 

After  

Wilcoxon Signed 

Rank Test  

0.938 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed 

Rank Test  

0.452 

Source: computed by the author 

 

Table 8 was shown the test results for the seventh observation period of April 27, 2016. 

Based on the table above, it was known that both of the abnormal return and trading 

volume activity (TVA) tests were showed insignificant results. 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 testing 

the announcement of the Sri Kehati index on period of April 27, 2016 was showed that 

the capital market did not react to the announcement of Sri Kehati index.  

 

Result of 8th Period Analysis 
The eighth analysis was conducted for the announcement date of the Sri Kehati index 

on October 27, 2016. The table below presents the test results for that period as follows: 

 



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Table 9 Test of Market Reaction for 8th Periods of Research 

 

Announcement 

Date 

Data in Test Analysis tool The p value  

October 27, 2016 AR Before and AR 

After  

Wilcoxon Signed 

Rank Test  

0.278 

  ΔTVA Before and 

ΔTVA After  

Wilcoxon Signed 

Rank Test  

0.812 

Source: computed by the author 

  
Table 9 was shown the test results for the seventh observation period of October 27, 

2016. Based on table 9, it was known that both of the abnormal return and trading 

volume activity (TVA) tests were showed insignificant results. Testing of abnormal 

return and TVA were showed that there was no significant difference of abnormal 

return and TVA before and after announcement of Sri Kehati index. In testing the 

announcement of the Sri Kehati index on period of October 27, 2016 was showed that 

the Indonesian capital market did not react to the announcement of Sri Kehati index.  

 

  

Discussion  
This research did not succeed in finding fully market reaction to the Sri Kehati Index 

announcement in Indonesian Stock Exchange. Test market reaction using abnormal 

returns before and after the announcement date of the Sri Kehati Index shows that there 

is no significant difference in abnormal returns. The Trading volume activity (TVA) 

test before and after the announcement of the Sri Kehati index showed there were 

differences in TVA in the 5th observation period (April 27 2015) and the 6th 

observation period (October 29, 2015). Test of trading volume activity (TVA) in other 

observation periods did not show significant results. However, the results of this study 

support the results of Lindananty and Soedarman's (2015) study which found that the 

Indonesia Stock Exchange has not reacted consistently to the announcement of the Sri 

Kehati index. 

The researchers were tried explain why the Indonesian Stock Exchange does not 

consistently respond to the Sri Kehati Index announcement. The Sri Kehati index is 

information related to sustainable investment with consideration of social and 

environmental aspects of the company assessed by external parties. Researchers were 

argued that the company included in the Sri Kehati index consists of 25 companies with 

various types of industries. There are companies with manufacturing, mining, banking 

and construction companies in the index winners. At the time of this index was 

announced of course the condition of each type of industry is not the same. The capital 

market reaction to information from each industry may not be in line, so when the 

analysis was carried out in one step for the 25 Sri Kehati index companies, the analysis 

provided an inconsistent response. 

The researcher argues that changes in companies that won the Sri Kehati index in the 

Indonesian Capital Market did not occur massively. Changes in company data only 

occur in the initial period of the year in the April announcement period. In general, the 

announcement of the winner of the Sri Kehati index in the October period was not 

different from the winner of the Sri Kehati index in the April period of the same year. 

If analyzed for four years of observation, the company appointed as the winner of the 

Sri Kehati Index did not experience many changes. There is only one until three 

companies that remain and leave the winning data index. This caused the capital market 

to no longer react to the announcement of the Sri Kehati index. The announcement of 

the Sri Kehati index did not cause a shocking effect on the capital market, so the 



MARKET REACTION ON THE ANNOUNCEMENT OF SRI KEHATI INDEX IN INDONESIAN STOCK EXCHANGE 

88 
 

Indonesian Stock Exchange did not react to the announcement of the Sri Kehati index 

in this study. 

 

 

Conclusions and Recommendations  
This study concluded that the results of the abnormal return test before and after the 

announcement of the Sri Kehati Index did not provide significantly different results. 

The results of the trading volume activity test (TVA) show that at the eight dates of the 

announcement of the Sri Kehati index there were two testing periods which showed 

differences in TVA that occurred in the 5th and 6th period. 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. Overall this 

study concluded that the Indonesia Stock Exchange did not consistently react to the 

announcement of the Sri Kehati index. 

This research cannot be separated from limitations. The limitation of this study is that 

testing the market reaction to the Sri Kehati index is carried out for all data without 

considering the type of industry. Companies that are included in the winners of the Sri 

Kehati Index consist of 25 companies with various types of industries. This condition 

can cause different reactions by market players depending on the conditions of each 

type of industry.  

Further research is recommended to distinguish the market reaction test from the 

announcement of the Sri Kehati index based on each type of industry. Further research 

is also recommended to test the announcement of other events in the Indonesian capital 

market such as the CSR award announcement. 

 

 

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https://www.idx.co.id/ 

https://kehati.or.id/indeks-sri-kehati/ 

 

https://journals.aom.org/journal/amj
https://journals.aom.org/journal/amj
https://www.idx.co.id/
https://www.idx.co.id/
https://kehati.or.id/indeks-sri-kehati/
https://kehati.or.id/indeks-sri-kehati/