Policy Announcements and SOE Stock Returns: A Multi-Event Study of Indonesia’s Sovereign Wealth Fund

Abstract

This study examines market reactions to events related to the inauguration and strategic activities of Indonesia’s Sovereign Wealth Fund, investigating whether investors in Indonesian state-owned enterprise stocks responded to a sequence of Indonesia’s SWF -related announcements through significant changes in cumulative abnormal returns. The study focuses on firms included in the IDXBUMN20 index listed on the Indonesia Stock Exchange. This study employs a quantitative explanatory design using a multi-event study framework. The observation period covers three major Indonesia’s SWF-related events in 2025, namely Indonesia’s SWF Inauguration on 24 February 2025, the Indonesia’s SWF Town Hall Meeting on 28 April 2025, and the MoU with ACWA Power on 2 July 2025. The analysis uses a five-day event window before and after each event. The findings indicate that, in general, there is no statistically significant difference in CAR before and after the examined events across most event windows (p-value > 0.05). However, a significant difference is observed in the ±3-day window for the inauguration event, suggesting a temporary adjustment in investor response. These findings suggest that the market may have viewed the announcements as anticipated information, insufficiently material for immediate repricing, or still too uncertain in their economic implications for state-owned enterprises.