THE IMPACT OF IDXCARBON LAUNCH ON ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY OF STOCKS IN THE SRI-KEHATI IN 2025

Abstract

The capital market can be influenced by any event that occurs, especially if it contains information that triggers movement in the capital market. One such event is the international carbon trading through IDXCarbon in Indonesia on January 20, 2025. This research explores the market's response to this event, focusing on companies in the SRI-KEHATI Index, which emphasizes principles of sustainability, social responsibility, and corporate governance (ESG). Using an event study approach, this research assesses the impact on abnormal returns (AR) and abnormal trading volume (TVA) for 25 selected companies through purposive sampling. Processed using Microsoft Excel and SPSS version 27. In this research, the Kolmogorov-Smirnov technique is used for normality testing, One Sample Kolmogorov-Smirnov for the signed rank test, and Wilcoxon signed-rank to compare the pre- and post-event periods. The results of this study show a difference in abnormal returns (AR) on day H+2. However, despite this difference, it does not indicate that the announcement of international carbon trading on IDXCarbon directly influenced investors’ decisions. Meanwhile, TVA shows overall stability with averages between 0.0008 and 0.0012, although there is a temporary spike at D+2. The Wilcoxon test results indicate that there is no significant change in general, with a p-value of 1.000. The results of this research show that the information about the launch of international carbon trading through IDXCarbon is not highly responded to by investors.