Analisis Komparatif Reaksi Pasar Modal Indonesia terhadap MSCI Rebalancing Periode 2025-2026.

Abstract

Pengumuman MSCI pada 27 Januari 2026 terkait kebijakan Freeze terhadap rebalancing saham Indonesia menjadikan periode Februari 2026 berbeda dari periode rebalancing reguler pada Mei, Agustus, dan November 2025. Penelitian ini bertujuan menganalisis perbedaan reaksi pasar sebelum dan sesudah pengumuman MSCI Rebalancing, membandingkan kelompok saham inclusion dan exclusion, serta mengevaluasi perbedaan antara periode reguler dan pasca Freeze. Metode event study diterapkan pada 15 saham terdampak dengan indikator average abnormal return dan average trading volume activity. Hipotesis diuji menggunakan Wilcoxon Signed Rank Test dan Mann-Whitney U Test dengan SPSS 26. Hasil penelitian menunjukkan tidak terdapat perbedaan signifikan pada AAR maupun ATVA pada hampir seluruh pengujian, kecuali ATVA periode Agustus 2025 pada effective date. Tidak ditemukan pula perbedaan signifikan antara kelompok inclusion dan exclusion maupun antara periode reguler dan pasca Freeze. Temuan ini sejalan Efficient Market Hypothesis bentuk semi-kuat.

The MSCI announcement on 27 January 2026 regarding Freeze policy on rebalancing index of Indonesian stocks, distinguished the February 2026rebalancing period from the regular rebalancing periods in May, August, and November 2025. This study aims to examine differences in market reactions before and after the MSCI Rebalancing announcement, compare the reactions of inclusion and exclusion stocks, and evaluate differences between the regular rebalancing periods and the post-Freeze period. An event study approach was applied to 15affected stocks using Average Abnormal Return and Average Trading Volume Activity as proxies for market reaction. The hypotheses were tested using the Wilcoxon Signed Rank Test and the Mann-Whitney U Test with SPSS version 26. The results indicate no significant differences in either AAR or ATVA across nearly all tests, except for ATVA during the August 2025 rebalancing based on the effective date. No significant differences were found between inclusion and exclusion stocks or between the regular and post-Freeze periods. These findings align with the semi-strong form of the Efficient Market Hypothesis.