Event Study of the Announcement of the Government Fund Placement Policy on Abnormal Returns of State-Owned Banking Sector Stocks on the Indonesia Stock Exchange

This study examines the Indonesian capital market’s reaction to the government’s Rp200 trillion fund placement policy announced in September 2025. An event study was conducted on four state-owned bank stocks BBRI, BMRI, BBNI, and BBTN using a seven-day event window and a 120-day estimation period. Expected returns were estimated using the market model. The results show a significant positive average abnormal return on the announcement day (AAR = 3.6692%; p = 0.022), whereas the cumulative average abnormal return was positive but insignificant (CAAR = 2.2966%). These findings indicate an immediate market reaction and support semi-strong-form market efficiency. Keywords: Event Study; Abnormal Return; Cumulative Abnormal Return; Government Fund Placement Policy; State-Owned Banking; Market Efficiency; Indonesia Stock Exchange