ANALISIS PERUBAHAN NILAI PASAR PERUSAHAAN SETELAH PENGHAPUSAN SAHAM DARI MSCI INDONESIA

Abstract

This study analyzes Market Capitalization changes of six companies removed from MSCI Indonesia on May 13, 2026. Using a descriptive approach with observation period H−30 to H+30, the study measures Market Value Loss and Recovery Ratio. Results show*. Results show average Market Capitalization decline of −30.08% from H−5 to H+30. TPIA experienced the steepest decline (−66.35%), while AMRT was most moderate (−7.09%). Information leakage detected since H−30, with peak selling pressure at H+10. Largest Market Value Loss recorded by AMMN (Rp6.708 trillion). Recovery Ratio at H+30 varied from 33.65% (TPIA) to 92.91% (AMRT), confirming heterogeneous and persistent impacts. Findings support price pressure theory post-index exclusion (Harris & Gurel, 1986; Beneish & Whaley, 2002) and the moderating role of liquidity and institutional ownership.