Publikasi
Karya Ilmiah MahasiswaPencarian Spesifik
Kunjungan
Market Reaction in the Indonesian Banking Sector to the Announcement of
the MSCI Index Rebalancing Suspension
Introduction: As global capital market integration continues to deepen, policies
issued by international index providers such as the MSCI Index have the potential
to influence investor behaviour in domestic markets. One such policy that has
drawn considerable attention is the announcement of the suspension of MSCI Index
rebalancing for Indonesian equities on 28 January 2026. Unlike changes in index
composition, which generally trigger observable market reactions, the impact of
non-compositional policies such as a rebalancing suspension remains
underexplored in the literature, particularly within the Indonesian banking sector.
Accordingly, this study aims to analyse the market reaction of the Indonesian
banking sector to the aforementioned announcement.
Methods: This study employs a quantitative approach using the event study method.
The observation window spans 15 trading days, comprising seven days prior to the
event, the event day itself, and seven days following the announcement. The sample
was determined through purposive sampling, involving 15 banking sector
companies listed on the Indonesia Stock Exchange (IDX). Market reaction was
measured using Average Abnormal Return (AAR) and Average Trading Volume
Activity (ATVA). Hypothesis testing was conducted using a paired sample t-test,
following confirmation of normal data distribution based on the Shapiro–Wilk test.
Results: The findings indicate that there is no statistically significant difference in
either Average Abnormal Return (AAR) or Average Trading Volume Activity
(ATVA) between the pre- and post-announcement periods of the MSCI Index
rebalancing suspension. These results suggest that investors did not perceive the
policy as information carrying sufficient economic significance to influence
investment decisions or equity trading activity.
Conclusion: This study demonstrates that the Indonesian banking sector exhibited
a relatively stable market response to the announcement of a non-compositional
global index policy. These findings enrich the body of event study literature
addressing global index policies and offer practical implications for investors to
exercise greater discernment in evaluating the economic substance of an
announcement prior to making investment decisions.
Ahmed, S., Hassan, M. K., & Alam, N. (2021). The effects of global index rebalancing on stock price dynamics and institutional trading behavior. Journal of International Financial Markets, Institutions and Money, 72, 101337. https://doi.org/10.1016/j.intfin.2021.101337
Bekaert, G., & Harvey, C. R. (2020). Emerging equity markets in a globalizing world. Journal of Empirical Finance, 58, 1–27. https://doi.org/10.1016/j.jempfin.2020.04.002
Caporale, G. M., Gil-Alana, L. A., Plastun, A., & Makarenko, I. (2022). Persistence in ESG and conventional stock market indices. Journal of Economics and Finance, 46(4), 678–703. https://doi.org/10.1007/s12197-022-09580-0
Chen, Y., Wang, H., & Liu, X. (2020). Stock market reactions to global index adjustments: Evidence from emerging markets. Finance Research Letters, 35, 101312. https://doi.org/10.1016/j.frl.2019.101312
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
Hacibedel, B., & Gupta, R. (2023). Global index revisions and stock market liquidity: Evidence from emerging markets. International Review of Financial Analysis, 87, 102645. https://doi.org/10.1016/j.irfa.2023.102645
Hartono, J. (2013). Teori portofolio dan analisis investasi (8th ed.). Yogyakarta, Indonesia: BPFE.
Heriyanto, E. (2019). Market reaction analysis toward stock index policy changes in Indonesia. Jurnal Akuntansi dan Investasi, 20(2), 145–158.
Hidayat, R. (2023). The impact of international financial policy announcements on stock market reactions in Indonesia. Jurnal Ekonomi dan Keuangan, 27(2), 145–160.
Laili, N., Astuti, D. D., & Rachmawati, L. (2022). Trading volume activity and abnormal return differences during the COVID-19 pandemic. Journal of Accounting and Business Economics. 8(2), 145–156.
Lee, J., & Park, K. (2021). Liquidity effects of MSCI Index rebalancing in emerging markets. Emerging Markets Review, 46, 100757. https://doi.org/10.1016/j.ememar.2020.100757
Li, X., Sun, Y., & Wei, Z. (2024). Market reaction to MSCI inclusion: Evidence from China A-shares. International Review of Financial Analysis, 92, 103112. https://doi.org/10.1016/j.irfa.2024.103112
Lukman, R. Y. (2023). Event study analysis of abnormal return before and after economic announcements. Owner: Riset dan Jurnal Akuntansi. 7(3), 1845–1856.
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39. https://doi.org/10.1257/jel.35.1.13
MSCI. (2023). MSCI global market accessibility review. MSCI Inc. https://www.msci.com
Pandey, D. K., & Kumari, V. (2021). Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak. International Review of Economics & Finance, 71, 467–483. https://doi.org/10.1016/j.iref.2020.09.014
Prasetyo, A., & Lestari, D. (2022). Market reaction to global economic announcements: Evidence from the Indonesian stock exchange. Jurnal Manajemen dan Bisnis, 19(3), 201–215.
Sorescu, A., Warren, N., & Ertekin, L. (2017). Event study methodology in marketing research: An overview. Journal of the Academy of Marketing Science, 45(2), 186–207. https://doi.org/10.1007/s11747-017-0516-y
Tandelilin, E. (2017). Pasar modal: Manajemen portofolio dan investasi. Yogyakarta, Indonesia: Kanisius.
Wang, L., Zhao, Q., & Lin, S. (2023). The impact of global financial index changes on stock market liquidity. Finance Research Letters, 55, 104021. https://doi.org/10.1016/j.frl.2023.104021
Widyawati, D., & Wibowo, A. (2021). The effect of stock index inclusion and exclusion on abnormal return and trading volume activity in Indonesia. Jurnal Keuangan dan Perbankan, 25(3), 411–425.
Yilmaz, M. K., Aksoy, M., & Tatoglu, E. (2020). Sustainability indices and firm value: Evidence from emerging markets. Business Strategy and the Environment, 29(7), 2985–2998. https://doi.org/10.1002/bse.2558
Zahra, A. (2023). Event study analysis of stock prices, abnormal returns and trading volume activity in the Indonesian banking sector. Journal of Financial Education and Research.
Zhang, Y., Liu, H., & Chen, J. (2025). Global index inclusion and investment efficiency: Evidence from emerging markets. Emerging Markets Review, 61, 101245.
| Properti | Nilai Properti |
|---|---|
| Organisasi | Universitas Muhammadiyah Pekajangan Pekalongan |
| [email protected] | |
| Alamat | Jl. Raya Pekajangan No. 1A Kedungwuni Pekalongan |
| Telepon | (0285) 7832294 |
| Tahun | 2026 |
| Kota | Pekalongan |
| Provinsi | Jawa Tengah |
| Negara | Indonesia |