Analisis Reaksi Pasar terhadap Pengumuman Pembentukan Danantara
DOI:
https://doi.org/10.47747/snfmi.v3i1.3111Abstract
This comprehensive study aims to analyze the reaction of the Indonesian capital market to the announcement of the formation of Daya Anagata Nusantara (DANANTARA). The study uses an event study approach, with a research sample consisting of stocks listed on the Indonesia Stock Exchange (IDX) that are included in the Danantara index. The observation period is divided into three phases: the anticipation period, the event period, and the adjustment period. The models used are the Constant Return Model, the Market Adjusted Model, and the CAPM, ensuring a thorough analysis. The test results for all models across all events show CARs and p-values greater than 5%, indicating that the announcement of Danantara's formation has no significant effect on abnormal returns. This finding indicates that the Danantara announcement did not trigger a significant short-term market reaction, suggesting that the market already reflected the information in prior prices or that the information lacked sufficient value to influence investment decisions.
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