Market Reaction To The Publication Of The Lq45 Low Carbon Leaders Index On The Indonesia Stock Exchange

Abstract

This study aims to analyze the market's reaction to the publication of the LQ45 Low Carbon Leaders Index on the Indonesia Stock Exchange in the 2022-2024 period by measuring the difference between abnormal return (AAR) and trading volume activity (TVA). Using the event study method, the results of the One Sample T-Test showed that there was no significant difference in the AAR, indicating that the market had anticipated the information before it was announced. In addition, the Wilcoxon Signed Rank Test on TVA also showed no significant difference except for the 2024 Major 1, which reflects a slight change in trading activity. The study concluded that the publication of the LQ45 Low Carbon Leaders Index did not significantly affect the market, which is in line with the semi-strong market efficiency theory. These findings provide insights for investors and regulators in managing market expectations for sustainability information.