CAPITAL MARKET REACTION TO GOVERNMENT REGULATION NO.19 OF 2025: EVIDENCE FROM NICKEL COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE

This study analyses the capital market’s response to the publication of Government Regulation No. 19 of 2025 concerning non-tax state revenues and royalty rates in Indonesia’s mineral sector. It specifically evaluates whether the regulation resulted in abnormal returns and changes in return volatility for nickel companies listed on the Indonesia Stock Exchange. The research adopts an event study approach, utilising a sample of nine nickel companies selected through saturated sampling. The event window encompasses eleven trading days (t-5 to t+5), and a 100-day estimation window is used to estimate expected returns via the Market Model. Return volatility is measured over the 35-day periods preceding and following the event. Data analysis involves descriptive statistics and a one-sample t-test. A Wilcoxon signed-rank test is employed to assess changes in return volatility. The results indicate that average abnormal returns were negative during the event window, and no significant changes occurred in either abnormal returns or volatility returns following the policy announcement. These findings suggest that the regulation did not provide sufficient information to alter investor expectations.