MARKET REACTION TO THE MSCI ANNOUNCEMENT: AN EVENT STUDY OF SHARIA STOCKS IN THE JAKARTA ISLAMIC INDEX

Abstract

The announcement of the MSCI (Morgan Stanley Capital International) Index Review on May 12, 2026, which temporarily suspended the rebalancing of Indonesian equities, represented a major information event for the Indonesian capital market and raised questions about investor responses. This study examines market reactions by analyzing Abnormal Return (AR) and Trading Volume Activity (TVA) of 30 stocks included in the Jakarta Islamic Index (JII). The market-adjusted model was employed to estimate abnormal returns, while the t-test and paired sample t-test were used for statistical analysis. The results show that Average Abnormal Return (AAR) did not change significantly throughout the event window, including the periods before, on, and after the announcement. In contrast, trading activity was statistically significant on Day −9, Day −8, Day −7, Day −6, and Day −4, although no significant changes were observed on the remaining trading days. The paired sample t-test further confirms that there was no significant difference in abnormal returns before and after the MSCI Index Review announcement, whereas Trading Volume Activity differed significantly. These findings indicate that the MSCI Index Review announcement influenced trading activity rather than stock returns. Therefore, investors should not rely solely on the announcement to obtain abnormal returns, while regulators and listed companies should pay greater attention to its impact on market liquidity and trading activity.