Fauzi, Haikal Ahmad (2026) Reaksi Pasar Terhadap Peristiwa Pembekuan Rebalancing MSCI: Analisis Likuiditas Saham Konstituen MSCI Indonesia Index Dan Dampaknya Terhadap IHSG. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Pasar modal yang efisien menuntut agar informasi publik dapat tercermin secara cepat dalam harga saham, termasuk informasi mengenai kebijakan indeks global yang diterbitkan oleh MSCI. Pada 28 Januari 2026, MSCI mengumumkan pembekuan seluruh proses rebalancing dan evaluasi indeks Indonesia akibat kekhawatiran terhadap transparansi free float, yang merupakan peristiwa berbeda dari rebalancing normal dan belum pernah dikaji dalam literatur sebelumnya. Penelitian ini bertujuan menganalisis reaksi pasar modal Indonesia terhadap peristiwa tersebut dengan menggunakan metode event study dan market adjusted model pada saham-saham konstituen terbesar MSCI Indonesia Index. Reaksi pasar dianalisis melalui abnormal return, cumulative abnormal return, trading volume activity, Amihud Illiquidity, dan return IHSG selama periode pengamatan di sekitar tanggal pengumuman. Hasil penelitian menunjukkan bahwa pembekuan rebalancing MSCI tidak menimbulkan reaksi yang signifikan pada abnormal return, cumulative abnormal return, Amihud Illiquidity, maupun return IHSG, meskipun cumulative abnormal return menunjukkan kecenderungan positif pada sebagian besar saham dan IHSG mengalami koreksi selama periode pengamatan. Sebaliknya, trading volume activity mengalami peningkatan yang signifikan, yang mengindikasikan meningkatnya aktivitas perdagangan sebagai respons investor terhadap informasi tersebut. Temuan ini menunjukkan bahwa pembekuan rebalancing MSCI merupakan systematic shock yang lebih tercermin pada peningkatan aktivitas perdagangan dibandingkan perubahan harga maupun likuiditas saham individual.
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An efficient capital market requires that public information be rapidly incorporated into stock prices, including information related to global index policies issued by MSCI. On January 28, 2026, MSCI announced the suspension of all Indonesia index rebalancing and review processes due to concerns regarding free float transparency. This event differs from a regular index rebalancing and represents a phenomenon that has not been examined in previous literature. This study aims to analyze the Indonesian capital market's reaction to the announcement using an event study approach with the market adjusted model on the largest constituent stocks of the MSCI Indonesia Index. Market reactions were examined through abnormal return, cumulative abnormal return, trading volume activity, Amihud Illiquidity, and the Jakarta Composite Index (IHSG) return during the observation period surrounding the announcement date. The results indicate that the MSCI rebalancing suspension did not generate significant market reactions in terms of abnormal return, cumulative abnormal return, Amihud Illiquidity, or IHSG return, although cumulative abnormal return tended to be positive for most sample stocks and the IHSG experienced a decline during the event window. In contrast, trading volume activity increased significantly, indicating heightened investor trading activity in response to the announcement. These findings suggest that the MSCI rebalancing suspension constituted a systematic shock that was reflected more strongly in trading activity than in changes in individual stock prices or liquidity.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Pembekuan Rebalancing MSCI, Reaksi Pasar, Event Study, Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, Amihud Illiquidity, IHSG, MSCI Rebalancing Freeze, Market Reaction, Event Study, Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, Amihud Illiquidity, IHSG |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis |
| Depositing User: | Haikal Ahmad Fauzi |
| Date Deposited: | 04 Aug 2026 05:01 |
| Last Modified: | 04 Aug 2026 05:01 |
| URI: | http://repository.its.ac.id/id/eprint/141901 |
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