Market Reactions to Divestiture Announcements: An Empirical Study on the Indonesia Stock Exchange

Muhammad Gifari Muzafar, Prof. Dr. Tandelilin Eduardus, M.B.A.

2026 | Skripsi | MANAJEMEN

Divestasi memungkinkan perusahaan untuk merestrukturisasi operasinya, mengalokasikan ulang sumber daya, dan memfokuskan kembali pada aktivitas bisnis intinya. Namun, bukti empiris mengenai bagaimana pasar modal Indonesia menilai pengumuman tersebut masih terbatas. Penelitian ini mengisi kesenjangan tersebut dengan menguji reaksi pasar terhadap pengumuman divestasi serta mengidentifikasi karakteristik tingkat perusahaan yang berkaitan dengan perbedaan besaran abnormal return (AR). Sampel penelitian terdiri atas 26 perusahaan yang terdaftar di Bursa Efek Indonesia yang mengumumkan divestasi antara tahun 2018 hingga 2025. Dua pendekatan metodologis digunakan dalam penelitian ini. Pertama, event study dilakukan untuk menilai reaksi pasar dalam periode jendela peristiwa (event window) selama 21 hari, dengan expected return diestimasi menggunakan market model. Kedua, regresi cross-sectional dilakukan untuk menguji apakah ukuran divestasi, ukuran perusahaan, profitabilitas, dan tingkat hutang dapat menjelaskan variasi abnormal return (AR). Hasil penelitian menunjukkan average abnormal return (AAR) negatif yang signifikan pada beberapa hari di sekitar tanggal pengumuman, mengindikasikan investor di pasar modal Indonesia cenderung menginterpretasikan pengumuman divestasi sebagai sinyal negatif. Selain itu, hasil regresi cross-sectional menunjukkan bahwa ukuran perusahaan berpengaruh negatif terhadap abnormal return (AR), sementara profitabilitas berpengaruh positif terhadap abnormal return (AR). Dua variabel lainnya, yaitu divestiture size dan leverage, tidak menunjukkan pengaruh yang signifikan secara statistik.

Divestiture enables firms to restructure their operations, reallocate resources, and refocus on their core business activities. However, the empirical evidence on how the Indonesian capital market evaluates these announcements remains limited. This study addresses this gap by examining market reactions to divestiture announcements and identifying the firm-level characteristics associated with differences in the magnitude of abnormal return (AR). The sample consists of 26 companies listed on the Indonesia Stock Exchange that announced divestitures between 2018 and 2025. Two methodological approaches are employed. An event study is conducted to assess market reaction over a 21-day event window, with expected returns estimated using the market model. While a cross-sectional regression is conducted to examine whether divestiture size, firm size, profitability, and leverage explain variations in abnormal return (AR). The results reveal significant negative average abnormal return (AAR) on several days surrounding the announcement, suggesting that investors in the Indonesian capital market tend to interpret divestiture announcements as unfavorable information. Additionally, the cross-sectional regression results show that firm size is negatively associated with abnormal return (AR), while profitability is positively associated with abnormal return (AR). The remaining two variables, divestiture size and leverage, are not statistically significant.

Kata Kunci : Divestiture, market reaction, abnormal return, event study, firm characteristics