The Stock Market Reaction to the Announcement of the Formation of Danantara: An Event Study of State-Owned Enterprises Listed on the IDXBUMN20 Index

  • Antoni Kuniawan Universitas Diponegoro, Semarang, Indonesia
  • Wahyu Meiranto Universitas Diponegoro, Semarang, Indonesia
DOI: https://doi.org/10.31538/iijse.v9i2.10215
Keywords: Event Study, Danantara, IDXBUMN20, Abnormal Return, Market Efficiency

Abstract

This study examines the Indonesian capital market reaction to the announcement of Danantara on February 24, 2025, using an event study approach. Grounded in Signaling Theory and the Efficient Market Hypothesis (EMH), the study analyzes Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) of firms included in the IDXBUMN20 index. The results indicate that while statistically significant abnormal returns were observed on several days surrounding the event, no consistent or sustained market reaction was identified. Furthermore, no significant difference was found between the pre- and post-announcement periods. These findings suggest that the market had largely anticipated the information prior to the official announcement, supporting the semi-strong form of market efficiency. Overall, the impact of the announcement was temporary and quickly absorbed by the market.

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Published
2026-10-02
How to Cite
Kuniawan, A., & Meiranto, W. (2026). The Stock Market Reaction to the Announcement of the Formation of Danantara: An Event Study of State-Owned Enterprises Listed on the IDXBUMN20 Index. Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE), 9(2), 14016-14027. https://doi.org/10.31538/iijse.v9i2.10215
Issue
Vol 9 No 2 (2026): Sharia Economics
Section
Articles

Copyright (c) 2026 Antoni Kuniawan, Wahyu Meiranto

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