The stock market reaction to Perusahaan Gas Negara (PGN)’s stock price, case of forming holding company for oil and gas sector in Badan Usaha Milik Negara (BUMN) was analyzed by the correlation between the investors’ reaction on PGN’s stock when the announcement of holding company happened on 25 January 2018. Using the method of event study, daily abnormal return (AR) and daily cumulative abnormal return (CAR) were analyzed under the different event windows (-5, +5, -10, +10, and 15, +15 from the event) for analyzing PGN’s stock market reaction during the holding company event. Furthermore, the significant difference in PGN’s stock market reaction (CAR) compared during the event windows was statistically analyzed using t-test analysis and the influence between CAR and external factor, for example macroeconomic factor (gold price, gas price, oil price, and exchange rate) was determined through regression analysis. Based on the results of this research, market gave a reaction during the event window. Event had a significant and positive influence on CAR both before and after event. Meanwhile, external (macroeconomic) factors generally had no significant influence on CAR during the event window, except gold and gas price at the event window (-5, +5). It can be concluded that PGN’s stock price reaction was caused by the holding event and the external factor did not have any influence on market reaction.
Keywords: Event Study, Stock Price, event window, holding company, market reaction
