Testing Market Efficiency in Response to Management Board Announcements by Daya Anagata Nusantara

This study aims to examine the efficiency of the Indonesian capital market regarding the management board announcement of Badan Pengelola Investasi Daya Anagata Nusantara (BPI Danantara) on March 24, 2025. Using an event study method with the integration of market model and Markov Switching Regression (MSR) to overcome estimation bias due to confounding events, the research analyzes 15 state-owned enterprises (SOEs) in the IDXBUMN20 index during a 6-day period (2 days before to 3 days after the announcement). The variables measured are abnormal return and trading volume activity. The research findings reveal that the BPI Danantara management board announcement contains valuable information, as evidenced by significant abnormal returns on the announcement day (t0), the first (t+1) and second (t+2) days after the announcement, supporting semi-strong form market efficiency. There is a significant difference in abnormal returns before and after the announcement, and the market perceives the announcement as good news, as evidenced by a change from negative value of average abnormal return (-0.021174) before the announcement to positive (0.063311) after the announcement. The BPI Danantara management board announcement statistically does not affect stock trading volume activity from before to after the announcement.