JRK Maret 2025 ANALISIS REAKSI INVESTOR TERHADAP PENGUMUMAN PELUNCURAN INDEKS IDX ESG LEADERS OLEH BURSA EFEK INDONESIA

Abstract

This study was conducted to examine investor reactions to the announcement of the IDX ESG Leaders index by analyzing the differences in abnormal return and trading volume activity before and after companies were listed on the IDX ESG Leaders main board. This is a quantitative research using an event study approach, with observation periods of 1 day, 5 days, and 20 days before and after the announcement. The sample, determined by purposive sampling technique, resulted in 28 samples. Data testing using the wilcoxon signed ranks test showed that there were differences in abnormal return 5 days before and after the announcement, while there were no differences in abnormal return 1 day and 20 days before and after the announcement. As for trading volume activity, there were differences 20 days before and after the announcement, but no differences 1 day and 5 days before and after the announcement.