<![CDATA[Research Objectives This study aims to examine the market reaction to merger and acquisition (M&A) announcements by analyzing differences in abnormal returns before and after the announcement among target companies listed on the Indonesia Stock Exchange (IDX) during the 2019–2024 period. The study also aims to determine whether M&A announcements contain information that generates significant abnormal returns in the capital market. Design Methodology / Approach Research: This study employs a quantitative approach using an event study methodology. The research sample consists of 47 M&A transactions involving 33 target companies listed on the IDX during 2019–2024, selected using purposive sampling. Secondary data were obtained from the Indonesia Stock Exchange, the Indonesia Competition Commission (KPPU), Refinitiv Eikon, and Yahoo Finance. The event window covers seven trading days, from three days before to three days after the announcement date (−3 to +3), with an estimation window of 120 trading days. Abnormal returns were calculated using three expected-return models: the Market Model, Mean Adjusted Model, and Market Adjusted Model. Hypothesis testing employed the Paired Sample t-Test for normally distributed data and the Wilcoxon Signed Rank Test for non-normally distributed data. Research Results: The results show that M&A announcements did not produce a statistically significant difference in abnormal returns before and after the announcement across all three expected-return models. The Market Model produced a significance value of 0.192, the Mean Adjusted Model produced 0.102, and the Market Adjusted Model produced 0.458. All significance values exceeded the 0.05 threshold. Although the descriptive results indicate negative abnormal returns around the announcement period, particularly on the announcement day and immediately afterward, these movements were not statistically significant. Implication of Research Results: The findings indicate that M&A announcements among target companies listed on the IDX during 2019–2024 did not provide sufficient new information to generate significant abnormal returns. This suggests that M&A information may have been anticipated or reflected in stock prices before the official announcement, consistent with the semi-strong form of the Efficient Market Hypothesis. For investors, the results imply that relying solely on official M&A announcements may not provide a consistent opportunity to obtain abnormal returns.]]>
