<![CDATA[Tujuan Penelitian: mengkaji reaksi saham BUMN terhadap peluncuran Danantara (Daya Anagata Nusantara), sovereign wealth fund baru yang diluncurkan pemerintah pada 24 Februari 2025Metode Penelitian: Metode event study digunakan dengan periode observasi 15 hari sebelum dan sesudah peristiwa, menggunakan pendekatan market-adjusted model untuk mengukur abnormal return dan trading volume activityOriginalitas/Novelty: Penelitian ini merupakan studi awal yang secara khusus mengevaluasi respons pasar saham BUMN terhadap peluncuran Danantara di Indonesia, yang belum banyak dikaji sebelumnya dalam literatur domestik.Hasil Penelitian: Hasil one-sample t-test menunjukkan tidak terdapat abnormal return yang signifikan di sekitar peristiwa, sementara paired sample t-test mengindikasikan adanya perbedaan signifikan antara rerata return sebelum dan sesudah peluncuran dengan kecenderungan negatif. Tidak terdapat perbedaan signifikan dalam aktivitas volume perdagangan.Implikasi: Temuan ini menunjukkan bahwa pasar merespons peluncuran lembaga strategis tersebut dengan sikap hati-hati dan skeptis dalam jangka pendek. Hal ini menjadi referensi penting bagi pembuat kebijakan dan investor dalam menilai efektivitas strategi pengelolaan aset negara melalui pendekatan superholding. Research Objectives: his study aims to examine the stock market reaction of state-owned enterprises (SOEs) to the launch of Danantara (Daya Anagata Nusantara), a newly established sovereign wealth fund initiated by the Indonesian government on February 24, 2025.Research Method: The event study method is employed, with an observation window of 15 days before and after the event. A market-adjusted model is used to measure abnormal returns and trading volume activity.Originality/Novelty: This study is among the first to specifically evaluate the stock market response of SOEs to the launch of Danantara in Indonesia, an issue that has not been widely explored in domestic academic literature.Research Results: The one-sample t-test shows no significant abnormal return around the event date, while the paired sample t-test reveals a statistically significant difference in mean returns before and after the event, indicating a negative trend. No significant difference is found in trading volume activity.Implications: These findings suggest that the market responded to the launch of this strategic institution with caution and short-term skepticism. The study serves as an important reference for policymakers and investors in evaluating the effectiveness of state asset management strategies through a superholding approach.]]>
