What Happens After The Announcement Of The Launch Of Danantara On Indices In Indonesıa?

Abstrak

By comparing abnormal stock returns (AR) before and after the announcement date of February 24, 2025, this study examines the market's reaction to the introduction of Danantara, a government-led financial technology initiative in Indonesia. The study looks at AR over a 10-day period before and after the policy announcement using a quantitative approach and an event study methodology with a sample of 944 listed companies. The results show a positive market response after the announcement, with a statistically significant difference in abnormal returns verified by the Wilcoxon Signed-Rank Test (z = 2.369, p < 0.05). Following the launch, the return range narrowed and the return volatility decreased, indicating a stabilizing effect as the market absorbs the information. The semi-strong form of the Efficient Market Hypothesis (EMH), which holds that the market quickly integrates publicly available policy information into asset prices, is empirically supported by the results. The market's optimism about Danantara's ability to promote digital transformation and improve SME access to financing is also reflected in the observed positive AR when viewed through the prism of investor sentiment. The short-term character of these anomalous returns, however, calls for careful interpretation, and additional analysis utilizing firm- and macroeconomic-level indicators is necessary to determine the policy's long-term effects. This study adds to the small body of empirical research on how non-routine, government-led policy innovations in emerging markets affect the capital market.