Market Response to Policy Announcements: An Analysis of Capital Market Reactions to the Introduction of Battery Electric Vehicle Incentives in Indonesia

Abstract

Information entering the market can influence investor behavior,
as reflected in abnormal returns and fluctuations in trading
volume activity. This study aims to analyze the market's reaction
to the announcement of Minister of Finance Regulation Number
38 of 2023. Drawing on the efficient market hypothesis,
specifically the semi-strong form, this research employs an event
study methodology over a 15-day window (t-7 to t+7). The
sample consisted of 10 companies within the automotive and
components subsectors, evaluated using one-sample t-tests, one
sample Wilcoxon signed-rank tests, and paired-sample Wilcoxon
signed-rank tests. The findings revealed significant abnormal
returns and changes in trading volume activity surrounding the
announcement. These outcomes suggest that the market
perceived the announcement positively, significantly impacting
investor reactions.