Reaksi Pasar Saham Indonesia terhadap Pengumuman Pembekuan Rebalancing Indeks MSCI: Analisis Abnormal Return, Trading Volume Activity, dan Net Foreign Flow

Suryadi Samudra

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Penelitian ini menganalisis reaksi pasar saham Indonesia terhadap pengumuman pembekuan rebalancing indeks MSCI terhadap saham Indonesia pada 27 Januari 2026 dengan menggunakan pendekatan event study. Penelitian menguji abnormal return, trading volume activity (TVA), dan net foreign flow (NFF) terhadap 10 saham dengan bobot terbesar dalam indeks MSCI yang secara kumulatif merepresentasikan sekitar 60 persen bobot Indonesia dalam indeks tersebut. Metode market model digunakan untuk mengestimasi expected return dengan event window 15 hari perdagangan (t−7 hingga t+7) dan estimation window 49 hari. Hasil menunjukkan adanya reaksi pasar yang signifikan berupa abnormal return positif pada T+1, lonjakan volume perdagangan dari volume normal, serta arus keluar dana asing yang signifikan pada hari pengumuman. Ditemukan pula divergensi antara CAAR yang meningkat dan CAANFF yang menurun, mengindikasikan adanya aktifitas investor domestik yang menyerap tekanan jual investor asing selama periode peristiwa. Temuan ini mengindikasikan pasar modal Indonesia cukup responsif namun belum sepenuhnya efisien dalam bentuk semi-kuat.

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DOI: https://doi.org/10.37531/mirai.v11i1.11768

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