Electronic Theses and Dissertation

Penelitian ini bertujuan untuk mengkaji pengaruh kinerja keuangan terhadap rebalancing indeks MSCI dan perbedaan kinerja saham perusahaan-perusahaan yang mengalami rebalancing indeks MSCI dan terdaftar di Bursa Efek Indonesia (BEI) pada periode 2020-2024. Populasi dalam penelitian ini adalah seluruh saham yang tercatat di BEI dan mengalami rebalancing indeks MSCI selama periode tersebut. Sampel dipilih dengan teknik purposive sampling. Hasil penelitian menunjukkan bahwa kinerja keuangan tidak berpengaruh terhadap rebalancing indeks MSCI, mengindikasikan bahwa faktor-faktor lain seperti kapitalisasi pasar dan likuiditas lebih diutamakan dalam proses seleksi perubahan komposisi indek MSCI. Analisis kinerja saham dengan menggunakan cumulative abnormal return (CAR) dan trading volume activity (TVA) mengungkapkan adanya perbedaan signifikan sebelum dan sesudah pengumuman masuk atau keluar indeks MSCI. Saham yang masuk indeks mengalami peningkatan CAR dan TVA, sementara saham yang keluar indeks menunjukkan penurunan CAR namun peningkatan TVA. Temuan ini konsisten dengan teori sinyal, menunjukkan bahwa pasar merespon secara efisien terhadap informasi pengumuman indeks MSCI melalui perubahan harga saham, return, dan aktivitas perdagangan. Penelitian ini memberikan wawasan baru tentang dinamika pasar modal Indonesia dalam merespons perubahan komposisi indeks internasional.

Kata kunci: Rebalancing Indeks MSCI, Kinerja Keuangan, Kinerja Saham, Cumulative Abnormal Return, dan Trading Volume Activity.
 

This study aims to examine the effect of financial performance on MSCI index rebalancing and differences in stock performance of companies that experience MSCI index rebalancing and are listed on the Indonesia Stock Exchange (IDX) in the 2020-2024 period. The population in this study were all stocks listed on the IDX and experienced MSCI index rebalancing during that period. The sample was selected using purposive sampling technique. The results showed that financial performance has no effect on rebalancing the MSCI index, indicating that other factors such as market capitalization and liquidity are preferred in the selection process for changes in the composition of the MSCI index. Analysis of stock performance using cumulative abnormal return (CAR) and trading volume activity (TVA) revealed significant differences before and after the announcement of MSCI index entry or exit. Stocks that entered the index experienced an increase in CAR and TVA, while stocks that exited the index showed a decrease in CAR but an increase in TVA. These findings are consistent with signaling theory, suggesting that the market responds efficiently to MSCI index announcement information through changes in stock prices, returns, and trading activity. This study provides new insights into the dynamics of the Indonesian capital market in responding to changes in the composition of international indices. Keywords: MSCI Index Rebalancing, Financial Performance, Stock Performance, Cumulative Abnormal Return, and Trading Volume Activity.