Analisis Risiko, Pengembalian, dan Koefisien Variasi Investasi Hijau pada Sektor Pertambangan
DOI:
https://doi.org/10.32534/jv.v20i1.7051Keywords:
Green Investment, SRI-KEHATI Index, Risk, Mining Sector, SDG15Abstract
In recent years, climate change has become a major issue around the world that affects various sectors. Human activities, such as the use of coal, petroleum, and natural gas, contribute to the acceleration of global warming. The green economy has emerged as a new paradigm oriented towards environmental sustainability, one of which is through the SRI-KEHATI index which refers to the Sustainable Development Goal (SDGS) target No.15, which aims to protect, restore, and promote sustainable land use, as well as prevent biodiversity loss. This study aims to analyze the differences in risk, return, and coefficient of variation of green investment in SRIKEHATI-indexed and non-indexed mining sector companies during the 2019-2023 period. The research population includes 10 mining companies engaged in the metal and mineral industry on the Indonesia Stock Exchange (IDX), with a sample of 6 companies selected using purposive sampling. The study uses a quantitative method with monthly stock closing price data obtained from Yahoo Finance. The Independent Sample t-test statistical test is used to analyze the difference in risk and coefficient of variation, while the Mann-Whitney Test is used to analyze the difference in return. The findings of the study show that there is no significant difference in risk, return, or coefficient of variation between SRI-KEHATI indexed and non-indexed companies.
References
Ainurrohmah, S., & Sudarti, S. (2022). Analisis Perubahan Iklim dan Global Warming yang Terjadi sebagai Fase Kritis. Jurnal Pendidikan Fisika Dan Fisika Terapan, 8(1), 1–10. https://doi.org/10.22373/p-jpft.v8i1.13359
Angelica, N. (2020). Analisis kinerja portofolio sustainable and responsible investment pada Bursa Efek Indonesia = Performance analysis of sustainable and responsible investment portfolio in Indonesia Stock Exchange. Fakultas Ekonomi dan Bisnis Universitas Indonesia. Retrieved from https://lib.ui.ac.id/detail?id=20507393&lokasi=lokal
Ardianto, F., & Sukardi, A. S. (2024). Pengungkapan Environmental, Social, and Governance Disclosure Terhadap Volatilitas Harga Saham Syariah Dimoderasikan oleh Likuiditas. Jurnal Ilmiah Ekonomi Islam, 10(03), 3171–3180. https://doi.org/10.29040/jiei.v10i3.15431
Armereo, C., Marzuki, A., & Seto, A. A. (2020). Buku Ajar: Manajemen Keuangan. Penerbit Nusa Litera Inspirasi.
Awaliah, V. E. (2021). Analisis Komporasi Tingkat Pengembalian, Risiko dan Koefisien Variasi pada Saham Syariah dan Saham Konvesional di LQ45, 4(1). https://doi.org/10.26618/jei.v4i1.5215
Badan Pusat Statistik. (2024). Neraca Arus Energi dan Neraca Emisi Gas Rumah Kaca Indonesia 2018-2022.
Bellois, G. (2022). The Impacts of Climate Change on the Mining Sector. In International Institute for Sustainable Development. Retrieved from https://www.igfmining.org/wp-content/uploads/2022/11/mining-and-climate-change-WEB.pdf
Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social Performance and Firm Risk: Impact of the Financial Crisis. Journal of Business Ethics, 149(3), 643–669. https://doi.org/10.1007/s10551-016-3017-x
Cakranegara, P. A. (2021). Investasi Hijau: Mengintergrasikan Faktor Enviromental, Social dan Governance dalam Keputusan Investasi. Jurnal Akuntansi, Keuangan, Dan Manajemen, 2(2), 103–114. https://doi.org/10.35912/jakman.v2i2.112
Clarkson, P. M., Li, Y., Richardson, G. D., & Vasvari, F. P. (2011). Does it really pay to be green? Determinants and consequences of proactive environmental strategies. Journal of Accounting and Public Policy, 30(2), 122–144. https://doi.org/10.1016/j.jaccpubpol.2010.09.013
Delevingne, L., Glazener, W., Gregoir, L., & Henderson, K. (2020, January 28). Climate Risk and Decorbonization: What Every Mining CEO Needs to Know. McKinsey & Company. https://www.mckinsey.com/capabilities/sustainability/our-insights/climate-risk-and-decarbonization-what-every-mining-ceo-needs-to-know
Ding, W., Levine, R., Lin, C., & Xie, W. (2021). Corporate immunity to the COVID-19 pandemic. Journal of Financial Economics, 141(2), 802–830. https://doi.org/10.1016/j.jfineco.2021.03.005
Faikar, A. G. (2023). Studi Komparatif Tingkat Pengembalian dan Tingkat Risiko Saham Syariah dengan Saham Non Syariah Berbasis Socially Responsible Investment (SRI). Universitas Pendidikan Indonesia. Retrieved from http://repository.upi.edu/113812/8/S_EKI_1904485_Title.pdf
Fatemi, A. M., & Fooladi, I. J. (2013). Sustainable finance: A new paradigm. Global Finance Journal, 24(2), 101–113. https://doi.org/10.1016/j.gfj.2013.07.006
Fertion, K. (2014). Analisis Perbedaan Return Saham, Nilai Perusahaan dan Risiko Berdasarkan Status Indeks SRI-KEHATI di Bursa Efek Indonesia. STIE Perbanas Surabaya. Retrieved from http://eprints.perbanas.ac.id/id/eprint/1917
Firmansyah, A., Kharisma, A. N., & Amalia, R. (2023). Apakah Risiko ESG Berkaitan dengan Risiko Perusahaan? ABIS: Accounting and Business Information Systems Journal, 11(4), 432–444. https://doi.org/10.22146/abis.v11i4.87641
Giantarai, T. (2024). ESG Terhadap Return Saham: Perusahaan Besar Lebih Unggul. Jurnal Proaksi, 11(3), 501–516. https://doi.org/10.32534/jpk.v11i3.5835
Guo, R., Lv, S., Liao, T., Xi, F., Zhang, J., Zuo, X., Cao, X., Feng, Z., & Zhang, Y. (2020). Classifying Green Technologies for Sustainable Innovation and Investment. Resources, Conservation and Recycling, 153. https://doi.org/10.1016/j.resconrec.2019.104580
Handoko, B. L., & Michaela, C. (2021). How Audit Opinion Increase Value Added in Indonesian Sustainability Index Corporation. 101–110. https://doi.org/10.1145/3457640.3457663
Hartono, J. (2016). Teori Portofolio dan Analisis Investasi: Edisi Kesepuluh. BPFE.
Hasanah, N., Adrianto, F., & Hamidi, M. (2024). Pengaruh Kinerja Enviromental, Social, and Governance (ESG) dan Volatilitas Laba terhadap Volatilitas Harga Saham Syariah dengan Effective Tax Ratesebagai Variabel Moderasi (Studi Empiris pada Perusahaan yang terindeks di Jakarta Islamic Index 70 periode Tahun 2018-2023). Journal of Multidisciplinary Research and Development, 6(6), 2942–2956. https://doi.org/10.38035/rrj.v6i6.1191
Heriyanto, H., Kewal, S. S., & Bernadus, P. A. Y. (2019). Socially Resposible Investing (SRI) dan Kinerja Saham. Jurnal Nominal: Barometer Riset Akuntansi Dan Manajemen, 8(2), 194–208. Retrieved from https://journal.uny.ac.id/index.php/nominal/articl
Herlambang, G., & Kurniawati, L. (2022). Pengaruh Fundamental Perusahaan Manufaktur Sektor Industri Barang Konsumsi Terhadap Return Saham. Prosiding Seminar Nasional Temuan Riset Dan Pengabdian, 529–542. Retrieved from https://snhrp.unipasby.ac.id/prosiding/index.php/snhrp/article/view/357/
Irfan, M. I., & Sudrajad, O. Y. (2023). Portfolio Optimization Using Markowitz Model on Sri-Kehati Index. International Journal of Current Science Research and Review, 06(08), 5778–5792. https://doi.org/10.47191/ijcsrr/V6-i8-45
Kewal, S. S., & Putranto, Y. A. (2023). Ethical Stock Portfolios : Does It Have High Risk and Low Return. Jurnal Economia, 19(1), 13–24. https://doi.org/10.21831/economia.v19i1
Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate Sustainability: First Evidence on Materiality. The Accounting Review, 91(6), 1697–1724. https://doi.org/10.2308/accr-51383
Kumar, N. C. A., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG Factors and Risk-Adjusted Performance: A New Quantitative Model. Journal of Sustainable Finance & Investment, 6(4), 292–300. https://doi.org/10.1080/20430795.2016.1234909
Kusumawati, E., & Warastuti, Y. (2020). Perbedaan Kinerja Keuangan dan Kinerja Pasar Perusahaan Indeks Sri-Kehati dengan Perusahaan Non Indeks Sri-Kehati Periode. Jurnal Akuntansi Bisnis, 18(2), 184–196. https://doi.org/10.24167/jab.v18i2.2841
Laturauw, K., & Garnia, E. (2019). Analisis Perbandingan Return dan Risiko Saham LQ45 dan Saham Non-LQ45. JEMPER (Jurnal Ekonomi Manajemen Perbankan). https://doi.org/10.32897/jemper.v1i2.226
Malau, V. O. (2024). Perkembangan Ekonomi Hijau sebagai Upaya Mengatasi Perubahan Iklim. Circle Archive, 1(5), 1–12.
Metasari, M., & Marlinah, A. (2021). Return Saham Manajemen Laba dan Faktor Lainnya. E-Jurnal Akuntansi TSM, 1(1), 43–60. Retrieved from https://jurnaltsm.id/index.php/EJATSM/article/view/970
Nursyamsi, Y. A., & Paramita, V. S. (2023). The Influence of Bid-Ask Spread, Market Value, Variance Return, and Stock Trading Volume on the Stock Holding Period on the SRI-KEHATI Index listed on the Indonesia Stock Exchange in 2018-2022. International Journal of Finance Research, 4(4), 264–278. https://doi.org/10.47747/ijfr.v4i4.1589
Paningrum, D. (2022). Buku Referensi Investasi Pasar Modal. Penerbit Lembaga Chakra Brahmanda Lentera.
Pertiwi, D. N., & Meirinaldi. (2016). Analisis Perbedaan Kinerja Portofolio Optimal Indeks Sri Kehati dan LQ45 Periode 2010-2014. Jurnal Ekonomi, 18(3), 311–333. https://doi.org/10.37721/je.v18i3.3
Ponziani, R. M. (2022). Modeling the returns volatility of Indonesian stock indices: The case of SRI-KEHATI and LQ45 . Jurnal Ekonomi Modernisasi, 18(1), 13–21. https://doi.org/10.21067/jem.v18i1.6411
Putri, A., Suwardi, S., Widjaja, H., Suryaningtyas, D. T., Oktariani, P., & Randrikasari, O. (2024). Perhitungan Emisi Gas Rumah Kaca Dalam Kawasan Pertambangan. Jurnal Pengelolaan Lingkungan Pertambangan, 1(1), 21–28. https://doi.org/10.70191/jplp.v1i1.55151
Putri, R., Honesty, F. F., & Honesty, H. N. (2024). Pengaruh Environmental, Social, Governance (ESG) Disclosure, dan Kinerja Keuangan Terhadap Return Saham. ECo-Buss: Economics and Business, 7(2), 1520–1535. https://doi.org/10.32877/eb.v7i2.1990
Qotimah, K., Kalangi, L., & Korompis, C. W. M. (2023). Pengaruh Analisa Fundamental Terhadap Return Investasi pada Saham Second Liner di Sektor Energi Periode 2019-2022 yang Terindeks di Bursa Efek Indonesia . Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 11(3), 12–26. https://doi.org/10.35794/emba.v11i3.48797
Rahayu, G. A. F., & Lantara, W. N. (2022). Perbandingan Risk-Adjusted Return Dan Likuiditas Saham-Saham Yang Tergabung Dalam Indeks Sri-Kehati Dan Saham-Saham Non-Sri-Kehati Sebelum Dan Selama Pandemi COVID-19. Universitas Gadjah Mada. Retrieved from https://etd.repository.ugm.ac.id/penelitian/detail/218905
Reza, M. (2023, December 8). Peran Industri Pertambangan dalam Memfasilitasi Keberlanjutan dan Transisi Energi. Transisienergi.Id. https://transisienergi.id/peran-industri-pertambangan-dalam-memfasilitasi-keberlanjutan-dan-transisi-energi/
Rifai, M., Budiarto, A., & Hamdani, N. (2020). Kesesuaian Konseptual, Waterfront Architecture Terhadap Dampak Perubahan Iklim di Wilayah Pesisir Muara Gembong. Seminar Nasional Komunitas & Kota Berkelanjutan, 2(1), 647–654. https://doi.org/10.30998/snkkb.v2i1.5007
Rosyid, R., & Mulatsih, S. N. (2023). The Role of Green Investment and Environmental Performance on Financial Performance With Moderation of Company Size. Jurnal Comparative: Ekonomi Dan Bisnis, 6(1), 62–76. https://doi.org/10.31000/combis.v6i1.10909
Sapinah, Jasiyah, R., Esti, E. A. J., Butarbutar, H., Nugraheni, R., Yowi, L. R. K., Dewi, P. P. R. A., HS, S., Sofyan, V. R. W., Utami, K., Emilda, Surbakti, L. P., Basmar, E., Sianturi, J. A. T. P., Resti, A. A., Nuryani, N. N. J., Zakaria, Samosir, H. E., Khaeruddin, F., & Rahmawati, R. (2023). Manajemen Keuangan (Konsep dan Penerapannya Dalam Perusahaan) (Hartini, Ed.). Penerbit Media Sains Indonesia. www.medsan.co.id
Sigar, P., & Kalangi, L. (2019). Pengaruh Ukuran Perusahaan dan Pertumbuhan Penjualan Terhadap Harga Saham pada Perusahaan Manufaktur Sektor Industri Barang Konsumsi yang Terindeks di Bursa Efek Indonesia. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 7(3), 3029–3038. https://doi.org/10.35794/emba.v7i3.24054
Spence, M. (1973). Job Market Signaling. The Quarterly Journal of Economics, 87(3), 355–374. Retrieved from https://www.jstor.org/stable/1882010
Sulindawati, E. G. L. N. (2021). Manajemen Keuangan: Sebagai Dasar Pengambilan Keputusan Bisnis (pp. 1–240). PT. RajaGrafindo Persada.
Sunaryo, D. (2021). Analisis Harga Saham yang Dimoderasi Return Saham Implementasi Pada Manajemen Keuangan. CV. Penerbit Qiara Media.
Suryawati, B. N. (2016). Analisis Varians Multivariat Terhadap Return dan Risiko Portofolio yang Ditentukan dengan Elton Grueber Padberg Model pada Empat Kelompok Indeks (LQ45, SRI-KEHATI, JII, dan ISSI). Jurnal (Distribusi) Ilmu Manajemen Dan Bisnis , 4(1), 35–52. https://doi.org/10.29303/jdm.v4i1.6
Tendean, Y. P. J., Saerang, I. S., & Tulung, J. E. (2019). Analisis Perbandingan Risiko Saham Jakarta Islamic Index dan Indeks LQ45 di Bursa Efek Indonesia. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 7(6), 3239–3248. https://doi.org/10.35794/emba.v7i3.24206
Thomson, J., & Melbourne. (2023). Mining-Market Research Report (2013-2028). IBISWorld. https://www.ibisworld.com/new-zealand/industry/mining/55/
Toisuta, G. J., Warniyati, Sihombing, O. T., & Tutkey, R. M. (2024). Analisa Kapasitas Saluran Drainase Ruas JL. Rijali Kota Ambon dan Alternatif Penangannya. Jurnal Simetrik, 14(1), 829–836. https://doi.org/10.31959/js.v14i1.2387
United Nations. (2024). SDG Goal 15: Life on Land. Perserikatan Bangsa-Bangsa. https://indonesia.un.org/id/sdgs/15/key-activities
Utomo, M. N., & Kaujan, K. (2019). Strategi Penciptaan Nilai Perusahaan Melalui Invetasi Berbasis Green. Prosiding The 5th Seminar Nasional Dan Call for Paper-2019 Kebaruan Dan Kode Etik Penelitian, 49–59. Retrieved from http://jurnal.unmuhjember.ac.id/index.php/sncp/article/view/1993
Wefi, A. (2020). Buku Ajar: Manajemen Investasi dan Pasar Modal. IAN Madura.
Yanti, H. B., & Hanjani, E. E. (2024). Pengaruh Pengungkapan Lingkungan Kelola (ESG), dan Ukuran Perusahaan Return Saham. Journal of Social and Economics Research, 6(1), 1748–1761. https://doi.org/10.54783/jser.v6i1.539
Yasya, N., Maharani, B. A., Ardiansyah, N. P., Sabelia, A., & Hidayat, T. (2022). Risk and Return of Sustainable Awarded Company: Comparison between Stock Index Sri-Kehati and LQ45. Jurnal Keuangan Dan Perbankan, 19(1), 37–50. https://doi.org/10.35384/jkp.v19i1.340
Yuliasari, D. A., Wijaya, A. L., & Widiasmara, A. (2019). Pengaruh Profitabilitas Terhadap Return Saham Dengan Ukuran Perusahaan Sebagai Variabel Moderasi Pada Perusahaan Manufaktur di BEI Tahun 2014-2016. SIMBA Seminar Inovasi Manajemen, Bisnis Dan Akuntansi, 465–473. Retrieved from https://prosiding.unipma.ac.id/index.php/SIMBA/article/download/1165/879
Zhang, Y., & Berhe, H. M. (2022). The Impact of Green Investment and Green Marketing on Business Performance: The Mediation Role of Corporate Social Responsibility in Ethiopia’s Chinese Textile Companies. Sustainability (Switzerland), 14(7), 2. https://doi.org/10.3390/su14073883
Zulkafl, A. H., Ahmad, * Zamri, & M., E. E. (2017). The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI). Jurnal Gadjah Mada International Journal of Business, 19(1), 59–76. https://doi.org/10.22146/gamaijb.17959
