Published: 2026-08-01

Reaksi Pasar Modal Terhadap Kebijakan Pemerintah: Studi Kasus Pembentukan Danantara

DOI: 10.35870/jemsi.v12i4.6768

Asa Tri Alvindo, Baihaqi Baihaqi, Adibah Syifa Khairunnisa
  • Asa Tri Alvindo: Universitas Bengkulu
  • Baihaqi Baihaqi: Universitas Bengkulu
  • Adibah Syifa Khairunnisa: Universitas Bengkulu
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Abstract

This study assesses the effect of the inauguration of the Danantara Indonesia Investment Management Agency on the abnormal returns of Badan Usaha Milik Negara (BUMN) under its management, and analyzes the difference in abnormal returns before and after the inauguration. Using a quantitative approach with the event study method, daily stock price data from nine BUMN on the IDX were analyzed over a seven-day observation period (D-3 to D+3). The Market Model was used to estimate abnormal returns, while the t-test and Wilcoxon signed-rank test were performed using SPSS 26. The results show significant abnormal returns on D-1, indicating that the information had been absorbed by the market prior to the formal announcement. No significant difference was found between the pre- and post-establishment periods, supporting the semi-strong form of the efficient market hypothesis.

Keywords

Event Study; Abnormal Return; Capital Market; Danantara

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How to Cite

Alvindo, A. T., Baihaqi, B., & Khairunnisa, A. S. (2026). Reaksi Pasar Modal Terhadap Kebijakan Pemerintah: Studi Kasus Pembentukan Danantara. JEMSI (Jurnal Ekonomi, Manajemen, Dan Akuntansi), 12(4), 3777-3787. https://doi.org/10.35870/jemsi.v12i4.6768
Article Information

This article has been peer-reviewed and published in the JEMSI (Jurnal Ekonomi, Manajemen, dan Akuntansi). The content is available under the terms of the Creative Commons Attribution 4.0 International License.

  • Issue: Vol. 12 No. 4 (2026)

  • Section: Articles

  • Published: 2026-08-01

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Author Biographies
Asa Tri Alvindo, Universitas Bengkulu
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Program Akuntansi, Ekonomi dan Bisnis, Universitas Bengkulu, Bengkulu, Indonesia.

Baihaqi Baihaqi, Universitas Bengkulu
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Program Akuntansi, Ekonomi dan Bisnis, Universitas Bengkulu, Bengkulu, Indonesia.

Adibah Syifa Khairunnisa, Universitas Bengkulu
Google Scholar ResearchGate ORCID

Program Akuntansi, Ekonomi dan Bisnis, Universitas Bengkulu, Bengkulu, Indonesia.

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