Reaksi Pasar Modal Indonesia terhadap Peristiwa MSCI Freeze pada Indeks Harga Saham Gabungan
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Abstract
Penelitian ini bertujuan menganalisis reaksi pasar modal Indonesia terhadap peristiwa MSCI Freeze tanggal 28 Januari 2026 yang tercermin dari abnormal return (AR) dan cumulative abnormal return (CAR) Indeks Harga Saham Gabungan (IHSG). Penelitian menggunakan metode event study dengan Mean-Adjusted Return Model, dengan estimation window 100 hari bursa (t = −120 s.d. −21) dan event window 21 hari bursa (t = −10 s.d. +10). Data berupa harga penutupan IHSG harian yang bersumber dari Bursa Efek Indonesia. Hasil menunjukkan abnormal return negatif yang signifikan pada hari peristiwa dan cumulative abnormal return negatif yang signifikan sepanjang event window, tanpa abnormal return signifikan pada periode pra-peristiwa. Uji beda rata-rata abnormal return sebelum dan sesudah peristiwa tidak menunjukkan perbedaan yang signifikan sehingga hipotesis penelitian ditolak; namun varians abnormal return meningkat secara signifikan pasca-peristiwa. Temuan ini mengindikasikan pasar menyerap sinyal negatif hampir seluruhnya pada hari pengumuman, konsisten dengan efisiensi pasar bentuk semi-kuat, sementara dampak yang bertahan pasca-peristiwa termanifestasi pada peningkatan volatilitas, bukan pada level rata-rata return.
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