MARKET REACTION TO THE GREEN EQUITY DESIGNATION POLICY ANNOUNCEMENT: AN EVENT STUDY ON SRI-KEHATI CONSTITUENTS

This study evaluates the market reaction to the official announcement of the Green Equity Designation policy by the Indonesia Stock Exchange. Using a sample of twenty-two companies listed on the SRI-KEHATI Index over an eleven-day observation window (t-5 to t+5), the research applies an event-study methodology with a Market-Adjusted Model. The findings reveal no statistically significant daily Average Abnormal Return (AAR) nor any significant shifts in Cumulative Abnormal Return (CAR) and Average Trading Volume Activity (ATVA) across the observation window. However, robustness checks identified statistically significant negative abnormal returns at t-2 and t-1, which remained significant after the Holm-Bonferroni correction for multiple testing. These pre-event reactions indicate market anticipation rather than immediate announcement shock. Overall, the empirical evidence suggests that exchange-level green certification conveys limited incremental information to issuers with pre-existing high Environmental, Social, and Governance (ESG) visibility, as market participants have progressively absorbed sustainability expectations. In practice, these findings imply that regulatory labeling alone has limited short-term valuation impact unless accompanied by direct economic instruments. JEL: G14, Q56.