An Event Study Analysis of Green Bond Issuance: Signaling Corporate Commitment and Market Perception in an Emerging Economy (The Case of PT XYZ, Indonesia)
Abstract
This study examines the short-term stock market reaction to the green bond issuance announcement by PT XYZ, a publicly listed Indonesian bank, using an event study methodology. The analysis focuses on the announcement date of 21 June 2022 as the event day and applies an eleven-trading-day event window (t−5 to t+5) to capture both pre-announcement and post-announcement market responses. Abnormal Return (AR) and Cumulative Abnormal Return (CAR) are calculated using the Mean Adjusted Return Model, which is appropriate for descriptive single-firm event studies over short horizons. The results reveal a significant positive abnormal return of 4.17% on the event day, indicating that investors initially perceived the green bond issuance as value-relevant information and a credible sustainability signal. However, abnormal returns exhibited volatility in the post-event period, and cumulative abnormal returns progressively adjusted toward their pre-event level, suggesting efficient incorporation of information and short-term market efficiency. Interpreted through the lens of Signaling Theory, the findings indicate that green bond issuance functions as a credible corporate signal that generates immediate investor response, although its valuation impact is transitory. This study contributes to the green finance literature by providing event study evidence from an emerging market context and highlights the role of credibility in shaping short-term investor reactions to sustainability-linked corporate actions.
Downloads
References
Asian Development Bank. (2022). Green bond market survey for Indonesia: Insights on the perspectives of institutional investors and underwriters. Asian Development Bank. https://doi.org/10.22617/TCS220536-2
Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/10.1016/0304-405X(85)90042-X
Climate Bonds Initiative. (2024). Sustainable debt market summary Q3 2024. Climate Bonds Initiative.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
Fatica, S., & Panzica, R. (2021). Green bonds as a tool against climate change? Business Strategy and the Environment, 30(5), 2688–2701. https://doi.org/10.1002/bse.2771
Flammer, C. (2021). Corporate green bonds. Journal of Financial Economics, 142(2), 499–516. https://doi.org/10.1016/j.jfineco.2021.01.010
Kothari, S. P., & Warner, J. B. (2007). Econometrics of event studies. In B. E. Eckbo (Ed.), Handbook of Corporate Finance: Empirical Corporate Finance (Vol. 1, pp. 3–36). Elsevier.
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39.
Otoritas Jasa Keuangan. (2017a). Peraturan Otoritas Jasa Keuangan Nomor 51/POJK.03/2017 tentang Penerapan Keuangan Berkelanjutan bagi Lembaga Jasa Keuangan, Emiten, dan Perusahaan Publik.
Otoritas Jasa Keuangan. (2017b). Peraturan Otoritas Jasa Keuangan Nomor 60/POJK.04/2017 tentang Penerbitan dan Persyaratan Efek Bersifat Utang Berwawasan Lingkungan (Green Bond).
Spence, M. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355–374. https://doi.org/10.2307/1882010
Tang, D. Y., & Zhang, Y. (2020). Do shareholders benefit from green bonds? Journal of Business Ethics, 166(2), 375–391. https://doi.org/10.1007/s10551-019-04115-8
Toha, M., & Elbi, M. (2026). Rural Small and Medium Enterprises’ Access to Capital, Investment, and Long-Term Financial Health via the Green Economy. Nayaka: Management World Journal, 1(1), 33–51. Retrieved from https://nayaka.taslimmadayana.id/index.php/i/article/view/3
United Nations. (2015). Transforming our world: The 2030 Agenda for Sustainable Development.
Copyright (c) 2026 Saskia Arumaisa Rizna, Desi Adhariani
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
