Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Journal Integration of Management Studies
Tarigan, Louis Orlanda
Unknown Affiliation
Decision Sciences, Operations Research & Management

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search
Journal : Journal Integration of Management Studies

 1 
Market Reactions To Changes In Sri-Kehati Index Constituents In The Post-COVID-19 Period Tarigan, Louis Orlanda; Kitri, Mandra Lazuardi
Journal Integration of Management Studies Vol. 4 No. 1 (2026): Article In Press
Publisher : Integrasi Sains Media

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58229/jims.v4i1.438

Abstract

This study examines market reactions to the semi-annual rebalancing announcements of the SRI-KEHATI Index in Indonesia during the post-COVID-19 period (2022–2024). As environmental, social, and governance (ESG) investing gains increasing global relevance, understanding how investors in emerging markets respond to sustainability-related index changes is crucial. Using an event study methodology based on a single-index market model, this research analyzes abnormal returns and trading volumes around five rebalancing announcements involving 18 inclusions and 17 exclusions. The results reveal significant short-term positive abnormal returns and heightened trading volumes following stock inclusions, while exclusions trigger negative price reactions accompanied by increased trading activity. These findings support the price pressure hypothesis and, to some extent, the sustainability taste hypothesis, suggesting that short-term market reactions are driven by temporary demand shifts and growing ESG awareness among investors. However, no persistent long-term abnormal returns are observed, indicating that the Indonesian capital market remains only partially efficient in assimilating ESG-related information. This study contributes to the literature on sustainable finance by providing post-pandemic evidence from an emerging market context and offers practical implications for investors, regulators, and policymakers advancing ESG integration.
Co-Authors Kitri, Mandra Lazuardi