Analisis Pengaruh Kepedulian Perubahan Iklim Terhadap Return Portofolio Green Dan Brown Di Bursa Efek Indonesia (BEI)

Suharjito, Ichta Varani Putri (2026) Analisis Pengaruh Kepedulian Perubahan Iklim Terhadap Return Portofolio Green Dan Brown Di Bursa Efek Indonesia (BEI). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Perubahan iklim telah menjadi permasalahan yang mempengaruhi berbagai aspek kehidupan dan menjadi sumber risiko fisik maupun risiko transisi. Penelitian ini bertujuan untuk menganalisis pengaruh kepedulian masyarkat terhadap perubahan iklim pada return portofolio green, brown, dan campuran di Bursa Efek Indonesia (BEI). Kepedulian terhadap perubahan iklim dituliskan sebagai variabel CCC yang dibangun menggunakan analisis sentimen berbasis lexicon-based terhadap pemberitaan perubahan iklim pada lima portal media Indonesia, yang merepresentasikan tingkat perhatian dan kekhawatiran pasar terhadap risiko iklim. Unexpected Media Climate Concerns (UMC) dihitung sebagai selisih antara nilai aktual CCC dan nilai prediksi yang diperoleh dari model ARX. Melalui pendekatan ini, UMC mampu merepresentasikan komponen kejutan dari perhatian media terhadap perubahan iklim. Green stocks diklasifikasikan berdasarkan saham yang terdaftar dalam indeks IDXESGL, sedangkan brown stocks diklasifikasikan berdasarkan saham yang terdaftar dalam indeks IDXENERGY. Pembentukan portofolio dilakukan menggunakan pembobotan equal-weighted dan metode Black–Litterman dengan investor view yang dibentuk melalui simulasi Monte Carlo berdasarkan return historis. Hubungan antara UMC dan return portofolio dianalisis menggunakan regresi linear berbasis Ordinary Least Squares (OLS). Kinerja portofolio terbaik pada metode Equal-Weighted maupun Black-Litterman adalah portofolio brown. Hasil penelitian menunjukkan bahwa peningkatan perhatian media terhadap isu perubahan iklim cenderung direspons positif oleh pasar. Hasil penelitian menunjukkan bahwa nilai CCC mingguan selama periode pengamatan berfluktuasi dengan rata-rata sebesar 17,8924, nilai minimum sebesar 14,2382, dan nilai maksimum sebesar 22,2927. Hasil penelitian menunjukkan bahwa Unexpected Media Climate Concerns (UMC) berpengaruh positif terhadap return portofolio. Pengaruh tersebut signifikan pada portofolio Equal-Weighted green, brown, dan campuran, namun tidak signifikan pada portofolio yang dibentuk menggunakan metode Black-Litterman. Hal ini menunjukkan bahwa portofolio Equal-Weighted lebih responsif terhadap shock concern perubahan iklim, sedangkan portofolio Black-Litterman cenderung lebih stabil terhadap perubahan sentimen yang berasal dari media. Selain itu, evaluasi kinerja menunjukkan bahwa metode Black-Litterman menghasilkan portofolio yang lebih efisien dibandingkan metode Equal-Weighted. Nilai koefisien determinasi yang rendah menunjukkan bahwa variasi return portofolio sebagian besar dipengaruhi oleh faktor lain di luar CCC.
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Climate change has emerged as a pervasive issue affecting various aspects of life, acting as a source of both physical and transition risks. This study aims to analyze the impact of public concern regarding climate change on the returns of green, brown, and mixed portfolios within the Indonesia Stock Exchange (IDX). Climate change concern is represented by the CCC variable, constructed using a lexicon-based sentiment analysis applied to climate change news coverage across five Indonesian media portals, reflecting the market's level of attention and anxiety toward climate risks. Unexpected Media Climate Concerns (UMC) is calculated as the residual (difference) between the actual CCC value and the predicted value obtained from an ARX model. Through this approach, UMC effectively captures the shock component of media attention toward climate change. Green stocks are classified based on shares listed in the IDXESGL index, whereas brown stocks are categorized based on shares listed in the IDXENERGY index. Portfolio construction utilizes both an equal-weighted approach and the Black–Litterman method, with investor views generated through Monte Carlo simulations based on historical returns. The relationship between UMC and portfolio returns is analyzed using linear regression based on Ordinary Least Squares (OLS). The empirical findings reveal that the brown portfolio delivers the best performance under both the Equal-Weighted and Black–Litterman methods. Overall, the results indicate that an increase in media attention toward climate change issues tends to be positively received by the market. Over the observation period, the weekly CCC values fluctuate with an average of 17.8924, a minimum value of 14.2382, and a maximum value of 22.2927. Furthermore, UMC exerts a positive effect on portfolio returns. This impact is statistically significant for the Equal-Weighted green, brown, and mixed portfolios, but becomes insignificant for portfolios constructed using the Black–Litterman method. These findings suggest that Equal-Weighted portfolios are more responsive to climate change concern shocks, whereas Black–Litterman portfolios tend to remain more stable against shifts in media-driven sentiment. Additionally, performance evaluation demonstrates that the Black–Litterman method yields more efficient portfolios compared to the Equal-Weighted approach. Finally, the low coefficient of determination indicates that the variation in portfolio returns is predominantly driven by other external factors outside of the CCC framework.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Analisis Sentimen, Black–Litterman, Brown Stocks, Lexicon-Based, Equal-Weighted Portfolio, Green Stocks, Black–Litterman, Brown Stocks, Lexicon-Based, Equal-Weighted Portfolio, Green Stocks, Sentiment Analysis.
Subjects:	H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4915 Stocks--Prices Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Ichta Varani Putri Suharjito
Date Deposited:	16 Jul 2026 06:34
Last Modified:	16 Jul 2026 06:34
URI:	http://repository.its.ac.id/id/eprint/135127

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