DO INVESTORS TRUST POLICY SIGNALS? MARKET REACTION TO DANANTARA IN THE INDONESIAN STOCK MARKET
Keywords:
abnormal return, trading volume activity, event study, idx 30Abstract
This study examines the Indonesian capital market's response to the announcement of Daya Anagata Nusantara (Danantara), a government-initiated digital-based sovereign investment agency. The research focuses on how this strategic policy signal influenced market behavior, particularly among IDX30 stocks, which represent the most liquid and capitalized equities on the Indonesia Stock Exchange. The announcement of Danantara sparked discussion in financial markets, but its reception was mixed. This study aims to answer whether the announcement produced a significant difference in abnormal returns and trading volume activity before and after the event. While previous research has evaluated market responses to various political and economic announcements, no prior studies have specifically assessed the market reaction to the Danantara initiative. This paper provides empirical evidence on how a newly established sovereign investment policy impacts investor behavior in the digital era. This is an event study using secondary data from 30 IDX30-listed companies, observed over an 11-day window surrounding the announcement date (February 24, 2025). Abnormal return and trading volume activity were calculated, and statistical testing was conducted using the Shapiro-Wilk test, Wilcoxon signed-rank test, and paired sample t-tests. The results reveal that there is no significant difference in abnormal return before and after the Danantara announcement. However, there is a significant difference in trading volume activity, indicating that the market responded through increased transactions rather than price adjustments. The findings suggest that although investors process new policy information, the Danantara announcement did not generate enough perceived value to affect stock prices significantly. However, it influenced investor activity, as seen through changes in trading volume. This highlights the importance of credible signaling and supports the view that market responses in emerging economies may not always align with efficient market expectations.References
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