Author(s): Chistiana Noviolla, Supramono Supramono, Sunardi Sunardi
This study aims to test (a) the market's response to the announcement of the Domestic Market Obligation which regulates the selling price of coal and (b) test the occurrence of overreaction for coal sector shares ?. This study analyzes daily stock returns for 21 days of the observation period, which are 10 days before, during and 10 days after the DMO announcement on shares of companies engaged in coal and listed on the Stock Exchange in 2018. The analysis uses one sample t-test . The study results show that the market gave a negative response to the announcement of the Domestic Market Obligation and even a negative abnormal return has occurred since 8 days before the announcement. In addition, this study also found a significant price reversal process shortly after the DMO announcement that led to short-term overreaction.