THE IMPACT OF CREATIVE INNOVATION PUBLICATION ON ABNORMAL STOCK RETURNS ON THE IDX: EVENT STUDY ON FINANCIAL AND TECHNOLOGY ISSUERS

Muhammad Zulfa Minachul Falichin; Mahirun Mahirun; Wenty Ayu Sunarjo

Muhammad Zulfa Minachul Falichin Universitas Pekalongan
Mahirun Mahirun Universitas Pekalongan
Wenty Ayu Sunarjo Universitas Pekalongan

Keywords: Event Study, Abnormal Return, Cumulative Abnormal Return, Inoveation, Indonesia Stock Exchange

Abstract

Introduction/Main Objectives: This study tests whether the publication of innovations by issuers on the Indonesia Stock Exchange (IDX) has a collective impact on abnormal stock returns. Background Problems: There are not many studies that measure market response to creative innovation strategies of public companies in Indonesia. Novelty: This article brings together data from eight innovation events at issuers across sectors and analyzes them collectively within an event study framework, an approach that is still rarely applied in the Indonesian context. Research Methods: This study uses a quantitative approach with the event study method. Abnormal return data is calculated based on the difference between stock returns and IHSG returns in the event window t–5 to t+5. All abnormal returns are averaged into AAR, and accumulated into CAR. One-sample t-test is used to test statistical significance. Findings/Results: The highest Average Abnormal Return (AAR) value occurred on day 0 at 1.781%, and the Cumulative Abnormal Return (CAR) value reached 6.740% until the 5th day after publication. The t-test produced a t value = 4.687 with a p-value = 0.00086 (p < 0.05) indicating that the market reacted significantly to the publication of innovation. Conclusion: The publication of creative innovation collectively has a significant impact on the stock market, indicated by a positive AAR and significant statistical test. This study confirms the importance of innovation strategy as a market signal in the context of the IDX.

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