Stock Market Reaction to the Launch of the Indonesian Sovereign Wealth Fund: Evidence from Indonesian State-Owned Banks

This study aims to analyze the Indonesian capital market's response to the launch of Indonesian Wealth Fund (Danantara) as a strategic initiative of the government's fiscal digitalization on February 24, 2025, focusing on the shares of major state-owned banks, namely BBRI, BMRI, BBNI, and BBTN. This study examines five market indicators, including stock prices, abnormal returns (AR), cumulative abnormal returns (CAR), trading volume, and stock risk, to assess the information content of this public policy. The research method used is an event study with an event window (–7, +7), supported by statistical testing using the paired-sample t-test and the Wilcoxon Signed-Rank test to ensure the accuracy of the analysis on different data characteristics. The results show that the launch of Danantara did not result in statistically significant changes in all market indicators tested, indicating that the policy information has been internalized quickly and efficiently by the market. This finding supports the validity of the semi-strong form of the Efficient Market Hypothesis, where macro and non-proprietary public information does not create arbitrage opportunities. The novelty of this research lies in the empirical testing of the impact of the launch of a digital-based sovereign wealth fund on state-owned bank shares through a multi-indicator approach, thereby enriching the literature on event studies of public policy and fiscal digital transformation in developing countries.