Market Reaction to Sharia Securities Reclassification: Infrastructure Sector in Indonesia Stock Exchange

Authors

  • Chomank Zaitun Misbah De Parta Universitas Halu Oleo
  • Hasbudin Hasbudin Universitas Halu Oleo
  • Sulvariany Tamburaka Universitas Halu Oleo

DOI:

https://doi.org/10.37680/ijief.v6i2.10318

Keywords:

DES; Event Study; CAAR; Infrastructure Sector; Market Reaction

Abstract

The periodic reclassification of the Sharia Securities List (DES) by the OJK can theoretically trigger market reactions through buying and selling pressure from Sharia institutional investors. This study aims to analyze capital market reactions to DES reclassifications involving infrastructure sector stocks on the Indonesia Stock Exchange during the 2021–2025 period by comparing the CAAR between stocks added to and removed from the DES over an 11-day event window surrounding each reclassification announcement employing a quantitative event study method with a Market Model estimated over 120 trading day estimation window to calculate normal returns. The final sample consists of 45 observations after excluding those with insufficient historical data due to recent IPO’s or prolonged trading suspensions. The results show that the CAAR of both the inclusion and exclusion groups is not statistically significant and the direction of the market reaction is in fact opposite to the price pressure hypothesis commonly proposed in the index effect literature. A formal two-group difference test also indicates that the asymmetry between the inclusion and exclusion groups is not yet significant. The implications of this study suggest that investors cannot consistently obtain abnormal returns from trading strategies around DES announcements.

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Published

2026-09-16

How to Cite

De Parta, C. Z. M., Hasbudin, H., & Tamburaka, S. (2026). Market Reaction to Sharia Securities Reclassification: Infrastructure Sector in Indonesia Stock Exchange. Indonesian Journal of Islamic Economics and Finance, 6(2), 227–246. https://doi.org/10.37680/ijief.v6i2.10318

Issue

Vol. 6 No. 2 (2026)

Section

Articles

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Copyright (c) 2026 Chomank Zaitun Misbah De Parta, Hasbudin Hasbudin, Sulvariany Tamburaka

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