THE IMPACT OF DAYA ANAGATA NUSANTARA (DANANTARA) INCEPTION ON THE FIRM PERFORMANCE: STUDY ON IDX MAIN BOARD INDEX LISTED COMPANIES

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Adabi, Muhammad Hasan (2026) THE IMPACT OF DAYA ANAGATA NUSANTARA (DANANTARA) INCEPTION ON THE FIRM PERFORMANCE: STUDY ON IDX MAIN BOARD INDEX LISTED COMPANIES. Undergraduate thesis, IPMI Institute.

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Abstract

This study examines stock market reactions to the inception of Daya Anagata Nusantara (Danantara), Indonesia’s newly established sovereign wealth fund, and analyzes whether state ownership influences firm performance following this institutional reform. Two key information events are analyzed: the legal establishment of Danantara on 24 February 2025 and the announcement of its Board of Directors on 24 March 2025. Using an event study methodology combined with cross-sectional regression analysis, market reactions are measured through cumulative abnormal returns (CAR) over an event window of T−5 to T+5, which is further decomposed into pre-event (T−5 to T−1) and post-event (T+1 to T+5) periods. The sample comprises 69 firms listed on the Indonesia Stock Exchange (IDX) Main Board, of which 17 are state-owned enterprises (SOEs). Expected returns are estimated using the Market Model, while regression analysis assesses the effect of state ownership (SOE), measured as government shareholding percentage, controlling for leverage (DER), profitability (ROE), growth potential (PEG), and stock illiquidity (ILLIQ). The results indicate that the stock market reacted significantly to both the legal establishment of Danantara and the announcement of its Board of Directors, as reflected in abnormal return behavior across the overall, pre-event, and post-event windows. Market responses to the legal establishment are volatile and mixed, whereas the Board of Directors announcement is interpreted as a stronger governance signal, leading to more favorable market reassessment. Regression outcomes further indicate that state ownership shows a negative association with CAR in the overall and pre-event windows of the legal establishment and continues to display a negative pattern in the post-event window. In contrast, for the Board of Directors announcement, state ownership displays a negative pattern before the announcement, shifts to a positive pattern after the announcement, and shows an overall positive association with cumulative abnormal returns. These findings suggest that state ownership is valued by the market primarily after governance structure and managerial credibility become clearly visible.

Item Type: Thesis (Undergraduate)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Thesis > Bachelor of Business Administration
Depositing User: sandra margaretha
Date Deposited: 05 Feb 2026 06:43
Last Modified: 05 Feb 2026 06:45
URI: http://repository.ipmi.ac.id/id/eprint/2944

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