This study aims to analyze the Indonesian capital market's response to the launch of Indonesian Wealth Fund (Danantara) as a strategic initiative of the government's fiscal digitalization on February 24, 2025, focusing on the shares of major state-owned banks, namely BBRI, BMRI, BBNI, and BBTN. This study examines five market indicators, including stock prices, abnormal returns (AR), cumulative abnormal returns (CAR), trading volume, and stock risk, to assess the information content of this public policy. The research method used is an event study with an event window (–7, +7), supported by statistical testing using the paired-sample t-test and the Wilcoxon Signed-Rank test to ensure the accuracy of the analysis on different data characteristics. The results show that the launch of Danantara did not result in statistically significant changes in all market indicators tested, indicating that the policy information has been internalized quickly and efficiently by the market. This finding supports the validity of the semi-strong form of the Efficient Market Hypothesis, where macro and non-proprietary public information does not create arbitrage opportunities. The novelty of this research lies in the empirical testing of the impact of the launch of a digital-based sovereign wealth fund on state-owned bank shares through a multi-indicator approach, thereby enriching the literature on event studies of public policy and fiscal digital transformation in developing countries.
C. Wijayangka, Nugraha Nugraha, Maya Sari et al.· Dinasti International Journa...· 0 citations
Background: ASEAN capital markets exhibit persistent return volatility that is inconsistent with macroeconomic fundamentals, suggesting the influence of behavioral and structural factors beyond the Efficient Market Hypothesis (EMH).
Objective: This study examines the direct effect of investor sentiment on stock returns across six ASEAN economies and tests the moderating role of foreign capital flows in this relationship.
Methods: Using quarterly panel data from 2003 to 2024 (N = 504) covering Indonesia, Malaysia, Singapore, Thailand, the Philippines, and Vietnam, this study employs moderated regression analysis within a fixed effects model (FEM). Investor sentiment is proxied by the Consumer Confidence Index (CCI), stock returns are measured using national composite indices, and foreign capital flows are operationalized through Foreign Direct Investment (FDI). The Hausman test confirmed FEM as the appropriate estimator.
Results: Investor sentiment exerts a positive and significant effect on stock returns (β = 0.187, p < 0.05). Although FDI alone does not significantly predict returns (p = 0.177), the interaction term CCI × FDI is highly significant (β = 0.115, p < 0.01), confirming a catalytic moderating effect.
Conclusion: Foreign capital inflows amplify the sentiment–return relationship in ASEAN markets. These findings offer critical insights for policymakers and portfolio managers regarding behavioral market dynamics and capital flow surveillance in emerging economies.
Hadi Ahmad Sukardi, Nugraha Nugraha, Toni Heryana et al.· Inkubis Jurnal Ekonomi dan B...· 0 citations
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