<![CDATA[The effectiveness of fiscal incentive policies depends on the speed with which the market responds to public information. In a semi-strong efficient market, security prices should only react after the information is officially released to all market participants. However, if abnormal price and volume movements are detected before the announcement date, this indicates information asymmetry that can disrupt market integrity and undermine investor confidence. To verify the existence of this phenomenon on the Indonesia Stock Exchange, this study aims to examine the semi-strong efficiency of the Indonesian capital market in response to the announcement of the PPnBM DTP incentive policy on February 11, 2021. Using an event study approach, market reaction is measured using the cumulative average abnormal return and cumulative average trading volume variables in three main periods: before, during, and after the announcement. This research is a quantitative research using secondary data in the form of closing price data, daily trading volume and the number of outstanding shares of all issuers included in the automotive component sub-sector and the automotive retail sub-industry on the Indonesia Stock Exchange for the period of August 25, 2020 to March 1, 2021. The results of the study indicate that the Indonesian capital market is inefficient in a semi-strong form for the information context of the announcement of the 2021 PPnBM DTP incentive policy, evidenced by the presence of a significant CAAR in the period before the policy announcement.]]>
Copyrights © 2026
