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

  • Kadek Ayu Esa Pratiwi Fakultas Ekonomi dan Bisnis Universitas Udayana, Indonesia
  • I Wayan Gde Wahyu Purna Anggara Fakultas Ekonomi dan Bisnis Universitas Udayana, 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.

Downloads

Download data is not yet available.

References

Aldhepis, G., Priyarsono, D. S., & Andati, T. (2022). Capital Market Reaction to The Tax Amnesty Policy (Study on Banking Sector Share in Indonesia). Jurnal Riset Ekonomi Manajemen (REKOMEN), 5(2), 103–116. https://doi.org/10.31002/rn.v5i2.4843

Alexakis, C., Chantziaras, A., Economou, F., Eleftheriou, K., & Grose, C. (2023). Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic. North American Journal of Economics and Finance, 67. https://doi.org/10.1016/j.najef.2023.101946

Anggara, I. W. G. W. P., & Andari, N. M. P. (2022). Market Reaction to the Implementation of Coal Royalty Tariff Policy in Indonesia. E-Jurnal Akuntansi, 33(9), 2380–2393. https://doi.org/10.24843/EJA.2023.v33.i09.p10

Antoniuk, Y., & Leirvik, T. (2021). Climate Change Events and Stock Market Returns. Journal of Sustainable Finance and Investment. https://doi.org/10.1080/20430795.2021.1929804

Ardani, N. M. (2019). Studi Komparatif Reaksi Pasar Sebelum dan Sesuah Kenaikan Harga BBM atas Saham LQ-45 di BEI (Event Study pada Peristiwa Kenaikan BBM Tanggal 5 Januari 2017). Jurnal Pendidikan Ekonomi Undiksha, 10(2). https://doi.org/10.23887/jjpe.v10i2.20142

Bandawaty, E. (2020). Analisis Capital Asset Pricing Model (CAPM) dalam Memprediksi Tingkat Return Saham Kompas 100 yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2013-2017. Kinerja, 2(02). https://doi.org/10.34005/kinerja.v3i01.925

Boonvorachote, T., & Lakmas, K. (2016). Price Volatility, Trading Volume, and Market Depth in Asian commodity Futures Exchanges. Kasetsart Journal of Social Sciences, 37(1). https://doi.org/10.1016/j.kjss.2016.01.004

Borghesi, S., Castellini, M., Comincioli, N., Donadelli, M., Gufler, I., & Vergalli, S. (2022). European Green Policy Announcements and Sectoral Stock Returns. Energy Policy, 166. https://doi.org/10.1016/j.enpol.2022.113004

Ding, H., Jin, Y., Koedijk, K. G., & Wang, Y. (2020). Valuation Effect of Capital Account Liberalization: Evidence from the Chinese Stock Market. Journal of International Money and Finance, 107. https://doi.org/10.1016/j.jimonfin.2020.102208

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2). https://doi.org/10.2307/2325486

Fauziah, L., & Venusita, L. (2021). The Reaction of Capital Markets in Indonesia, Singapore, Malaysia, and Thailand Towards the Announcement of Lockdown Policy During the Beginning of the Covid-19. Journal of Accounting, Entrepreneurship and Financial Technology (JAEF), 2(2). https://doi.org/10.37715/jaef.v2i2.1831

Gani, E. A., Efni, Y., & Rokhmawati, A. (2021). Reaksi Pasar Modal atas Kebijakan Kenaikan Cukai di Indonesia. CURRENT: Jurnal Kajian Akuntansi Dan Bisnis Terkini, 2(2). https://doi.org/10.31258/jc.2.2.184-204

Gbanador, M. A. (2021). An Empirical Test for Semi-strong Form Efficient Market Hypothesis of the Nigeria Stock Market. Asian Journal of Economics, Business and Accounting. https://doi.org/10.9734/ajeba/2021/v21i2330532

Ghani, M., & Chaudhary, G. M. (2017). Stock Market Response to Policy Announcement : Evidence from Banking Sector of Pakistan. Journal of Advance Public Policy and International Affairs (JAPPIA), 4(1).

Gursida, H., & Indrayono, Y. (2019). Understanding Capital Market Responses to Government Economic Policy Announcements: An Event Study on Indonesia’s Economic Policy Package. Management Science Letters, 9(11). https://doi.org/10.5267/j.msl.2019.6.004

Hanindipto, F. A., Suroso, A. I., & Andati, T. (2022). Respons Pasar Modal Indonesia terhadap Pengumuman Insentif Fiskal Biaya R&D Korporat. Jurnal Aplikasi Bisnis Dan Manajemen. https://doi.org/10.17358/jabm.8.1.133

Indrayuda, A. A. G. A., & Sukartha, I. M. (2019). Reaksi Pasar Modal atas Kenaikan The Federal Funds Rate pada Tanggal 26 September 2018. E-Jurnal Akuntansi, 29(2). https://doi.org/10.24843/eja.2019.v29.i02.p27

Intergovernmental Panel on Climate Change. (2022). IPCC Sixth Assessment Report. Www.Ipcc.Ch. https://www.ipcc.ch/report/ar6/wg3/

International Energy Agency. (2023). Electric Vehicles. Www.Iea.Org. https://www.iea.org/energy-system/transport/electric-vehicles

Jones, S. J. (2019). If Electric Cars are the Answer, What was the Question? British Medical Bulletin, 129(1). https://doi.org/10.1093/bmb/ldy044

Lelengboto, A. L. P., & Suwena, K. F. (2022). Reaksi Pasar Modal atas Pemberlakuan Peraturan Menteri Perhubungan No. 25 Tahun 2020. Jurnal Riset Akuntansi Dan Keuangan, 10(3).

Li, Z., Ling, Z., Sun, J., & Yun, C. (2022). Starts and Refutations of the Covid-19 Rumors: Evidence from the Reaction of the Stock Market. China Journal of Accounting Research, 15(4). https://doi.org/10.1016/j.cjar.2022.100272

Liu, F., Kong, D., Xiao, Z., Zhang, X., Zhou, A., & Qi, J. (2022). Effect of Economic Policies on the Stock and Bond Market Under the Impact of COVID-19. Journal of Safety Science and Resilience, 3(1). https://doi.org/10.1016/j.jnlssr.2021.10.006

Peraturan Menteri Keuangan Nomor 38 Tahun 2023, Pub. L. No. 38 Tahun 2023, 1 (2023). https://jdih.kemenkeu.go.id/download/4b0582e7-2280-43bf-8197-4c2fa426d853/2023pmkeuangan038.pdf

Milev, G., Hastings, A., & Al-Habaibeh, A. (2021). The Environmental and Financial Implications of Expanding the Use of Electric Cars - A Case Study of Scotland. Energy and Built Environment, 2(2). https://doi.org/10.1016/j.enbenv.2020.07.005

Nerlinger, M., & Utz, S. (2022). The Impact of the Russia-Ukraine Conflict on Energy Firms: A Capital Market Perspective. Finance Research Letters, 50. https://doi.org/10.1016/j.frl.2022.103243

Nirajenani, C. I. P., & Merkusiwati, N. K. L. A. (2018). Faktor-faktor yang Mempengaruhi Kepatuhan Wajib Pajak dalam Membayar Pajak Kendaraan Bermotor Fakultas Ekonomi dan Bisnis Universitas Udayana ( Unud ), Bali , Indonesia email : coknira64@yahoo.com / Telp : + 6285737795768 Fakultas Ekonomi dan Bisnis Unive. E-Jurnal Akuntansi, 24, 339–369.

Petrakis, N., Lemonakis, C., Floros, C., & Zopounidis, C. (2022). Eurozone Stock Market Reaction to Monetary Policy Interventions and Other Covariates. Journal of Risk and Financial Management, 15(2). https://doi.org/10.3390/jrfm15020056

Pham, L., Hao, W., Truong, H., & Trinh, H. H. (2023). The Impact of Climate Policy on U.S. Environmentally Friendly Firms: A Firm-Level Examination of Stock Return, Volatility, Volume, and Connectedness. Energy Economics, 119. https://doi.org/10.1016/j.eneco.2023.106564

Plananska, J., Wüstenhagen, R., & de Bellis, E. (2023). Perceived Lack of Masculinity as a Barrier to Adoption of Electric Cars? An Empirical Investigation of Gender Associations with Low-Carbon Vehicles. Travel Behaviour and Society, 32. https://doi.org/10.1016/j.tbs.2023.100593

Putra, R. E. P., & Wirawati, N. G. P. (2019). Reaksi Pasar terhadap Pelemahan Nilai Rupiah pada Nilai Tukar US Dollar. E-Jurnal Akuntansi. https://doi.org/10.24843/eja.2019.v28.i01.p09

Putri, A. A. (2023). Penjualan Mobil Listrik Terus Melonjak Setiap Tahunnya. Goodstats.Id. https://goodstats.id/article/penjualan-mobil-listrik-terus-melonjak-setiap-tahunnya-61goQ

Safitri, E., Utami, D., & Intan Sari, P. (2019). Perbandingan Keakuratan Capital Assets Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Menentukan Pilihan Berinvestasi pada Saham Jakarta Islamic Index (JII). Jurnal Ilmu Manajemen, 8(1). https://doi.org/10.32502/jimn.v8i1.1557

Shafiq, S., & Qureshi, S. S. (2022). Impact of Budget Announcement on Stock Returns: An Event Study in Pharmaceutical and Automobile Sector. GMJACS, 12(1). https://doi.org/10.59263/gmjacs.12.01.2022.219

Sindhuarta, S. J., Husni, R. A., & Samosir, T. (2023). Comparison Analysis Between Accuracy of CAPM and APT Models in Predicting Return of IDX-30 Stocks during Covid-19 Pandemic. Indikator: Jurnal Ilmiah Manajemen Dan Bisnis, 7(1). https://doi.org/10.22441/indikator.v7i1.15992

Sri Utami, N. K. M., & Purbawangsa, I. B. A. (2021). Dampak Pengumuman Penurunan Harga BBM Terhadap Abnormal Return Pada Perusahaan yang Tergabung dalam IDX30. E-Jurnal Manajemen Universitas Udayana, 10(8). https://doi.org/10.24843/ejmunud.2021.v10.i08.p01

Suryani, A. M., & Noviari, N. (2023). Reaksi Pasar Modal terhadap Pengumuman Kebijakan Insentif Pajak Penjualan atas Barang Mewah. E-Jurnal Akuntansi, 33(2). https://doi.org/10.24843/eja.2023.v33.i02.p02

Susanti, L., & Ery Setiawan, P. (2019). Pengaruh Layanan Samsat Corner, Kesadaran Wajib Pajak, Sosialisasi Perpajakan dan Kualitas Pelayanan pada Kepatuhan Wajib Pajak Kendaraan Bermotor. E-Jurnal Akuntansi, 29(2). https://doi.org/10.24843/eja.2019.v29.i02.p11

Tanza, A., Maulidya, R. P., Junita, T. P., & Widodo, E. (2023). Analisis Pengaruh Kenaikan Harga BBM terhadap Pergerakan Saham Sektor Transportasi dan Logistik. Dialektika : Jurnal Ekonomi Dan Ilmu Sosial, 8(1). https://doi.org/10.36636/dialektika.v8i1.2044

Vinod, S., Scaria, R., & Girish, S. (2020). Monetary Policy Announcement and Stock Price Behaviour: An Event Study with Respect to India. International Journal of Scientific and Technology Research, 9(2).

Wicki, M., Brückmann, G., & Bernauer, T. (2022). How to Accelerate the Uptake of Electric Cars? Insights from a Choice Experiment. Journal of Cleaner Production, 355. https://doi.org/10.1016/j.jclepro.2022.131774

Yulane Talumewo, C., Van Rate, P., & Untu, V. N. (2021). Reaksi Pasar Modal Indonesia Sebelum dan Sesudah Pengumuman Pemberlakuan New Normal (Event Study pada Perusahaan BUMN yang Terdaftar di Bursa Efek Indonesia). Jurnal EMBA : Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 9(4).

Zhao, Y. (2022). Applicability Analysis of CAPM Model in the Context of Epidemic. BCP Business & Management, 30. https://doi.org/10.54691/bcpbm.v30i.2513
Published
2024-09-12
How to Cite
PRATIWI, Kadek Ayu Esa; ANGGARA, I Wayan Gde Wahyu Purna. Market Response to Policy Announcements: An Analysis of Capital Market Reactions to the Introduction of Battery Electric Vehicle Incentives in Indonesia. E-Jurnal Akuntansi, [S.l.], v. 34, n. 8, sep. 2024. ISSN 2302-8556. Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/112833>. Date accessed: 21 nov. 2024.
Section
Artikel