Reaction of LQ45 Stocks to the Announcement of Danantara’s Management

Abstract

Abstract – This study examines the market reaction to the announcement of Danantara’s management by analyzing abnormal returns of LQ45 stocks using the event study method. Danantara, as Indonesia’s sovereign wealth fund, holds strategic importance for national investment and economic growth. The analysis focuses on stock performance two days before and after the announcement on March 24, 2025. Statistical testing using the Wilcoxon Signed Ranks Test shows a significant difference in abnormal returns, with a p-value of 0.001 in both observed periods. These results indicate that the market responded strongly to the announcement. The findings support the Efficient Market Hypothesis (EMH), suggesting that new public information is quickly reflected in stock prices, and align with Signaling Theory, where management announcements serve as key indicators for investor decisions. While the announcement initially triggered a positive reaction, it was followed by a sharp decline in returns, reflecting investor concerns about governance and transparency within Danantara. This study concludes that in emerging markets like Indonesia, investor sentiment is shaped not only by strategic announcements but also by the perceived credibility of the appointed managers. The accepted hypothesis confirms that management announcements significantly influence market behavior.

Keywords – Market Reaction, Abnormal Returns, Danantara