Market Reaction of the Indonesian Banking Sector to the Announcement of MSCI Index Rebalancing Suspension

Muhammad Wildan Purnama; Nur Kholidah

doi:10.47747/ijbme.v7i2.3457

Authors

Muhammad Wildan Purnama Universitas Muhammadiyah Pekajangan Pekalongan
Nur Kholidah Universitas Muhammadiyah Pekajangan Pekalongan

DOI:

https://doi.org/10.47747/ijbme.v7i2.3457

Keywords:

Event Study, MSCI, Abnormal Return, Trading Volume, Banking Sector

Abstract

This study looks into how Indonesian banking stocks reacted to the January 28, 2026, announcement that the MSCI Index rebalancing would be suspended. Using a 15-day observation window that included 7 trading days prior to and 7 trading days following the announcement, an event research methodology was employed. Purposive sampling was used to select the 15 banking companies listed on the IDX. "Average Abnormal Return" (AAR) and "Average Trading Volume Activity"(ATVA) were used to gauge the market's response. The empirical results reveal no statistically significant differences in either AAR or ATVA surrounding the announcement period. These findings indicate that investors did not view the suspension of MSCI Index rebalancing as sufficiently relevant to influence investment decisions in the Indonesian banking sector

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