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Vol. 4 No. 1 (2026): Article In Press
Articles

Market Reactions To Changes In Sri-Kehati Index Constituents In The Post-COVID-19 Period

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  • Louis Orlanda Tarigan,
  • Mandra Lazuardi Kitri
Louis Orlanda Tarigan
School of Business and Management, Institut Teknologi Bandung
Mandra Lazuardi Kitri
School of Business and Management Institut Teknologi Bandung
DOI: https://doi.org/10.58229/jims.v4i1.438

Published 2026-01-01

Keywords

  • SRI-KEHATI Index,
  • ESG investing,
  • event study,
  • index rebalancing,
  • post-COVID-19,
  • sustainable finance
    • ...More
    Less

How to Cite

Tarigan, L. O., & Kitri, M. L. (2026). Market Reactions To Changes In Sri-Kehati Index Constituents In The Post-COVID-19 Period. Journal Integration of Management Studies, 4(1), 41–54. https://doi.org/10.58229/jims.v4i1.438

Abstract

This study examines market reactions to the semi-annual rebalancing announcements of the SRI-KEHATI Index in Indonesia during the post-COVID-19 period (2022–2024). As environmental, social, and governance (ESG) investing gains increasing global relevance, understanding how investors in emerging markets respond to sustainability-related index changes is crucial. Using an event study methodology based on a single-index market model, this research analyzes abnormal returns and trading volumes around five rebalancing announcements involving 18 inclusions and 17 exclusions. The results reveal significant short-term positive abnormal returns and heightened trading volumes following stock inclusions, while exclusions trigger negative price reactions accompanied by increased trading activity. These findings support the price pressure hypothesis and, to some extent, the sustainability taste hypothesis, suggesting that short-term market reactions are driven by temporary demand shifts and growing ESG awareness among investors. However, no persistent long-term abnormal returns are observed, indicating that the Indonesian capital market remains only partially efficient in assimilating ESG-related information. This study contributes to the literature on sustainable finance by providing post-pandemic evidence from an emerging market context and offers practical implications for investors, regulators, and policymakers advancing ESG integration.

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