Article Per Year (5 Year)
p-Index From 2021 - 2026
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This Author published in this journals
All Journal Indonesian Journal of Islamic Economics and Finance
Chomank Zaitun Misbah De Parta
Universitas Halu Oleo
Economics, Econometrics & Finance Social Sciences

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Market Reaction to Sharia Securities Reclassification: Infrastructure Sector in Indonesia Stock Exchange Chomank Zaitun Misbah De Parta; Hasbudin Hasbudin; Sulvariany Tamburaka
Indonesian Journal of Islamic Economics and Finance Vol. 6 No. 2 (2026)
Publisher : Institut Agama Islam Sunan Giri Ponorogo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37680/ijief.v6i2.10318

Abstract

The periodic reclassification of the Sharia Securities List (DES) by the OJK can theoretically trigger market reactions through buying and selling pressure from Sharia institutional investors. This study aims to analyze capital market reactions to DES reclassifications involving infrastructure sector stocks on the Indonesia Stock Exchange during the 2021–2025 period by comparing the CAAR between stocks added to and removed from the DES over an 11-day event window surrounding each reclassification announcement, employing a quantitative event study method with a Market Model estimated over a 120-trading-day estimation window to calculate normal returns. The final sample consists of 45 observations after excluding those with insufficient historical data due to recent IPO’s or prolonged trading suspensions. The results show that the CAAR for both the inclusion and exclusion groups is not statistically significant, and that the market reaction is, in fact, opposite to the price-pressure hypothesis commonly proposed in the indeks-effect literature. A formal two-group difference test also indicates that the asymmetry between the inclusion and exclusion groups is not yet significant. The implications of this study suggest that investors cannot consistently obtain abnormal returns from trading strategies around DES announcements.
Co-Authors Hasbudin Hasbudin Sulvariany Tamburaka