The role of foreign investments in fostering economic growth and creating prosperity gains importance as the world becomes more global. Earlier in Indonesia, a sovereign wealth fund (SWF); Indonesia Investment Authority (INA), Was set up to improve the investment climate by maximizing the value of state owned enterprises (SOEs') assets. The role of Indonesia investment authority (INA) is to pursue funds from outside to financially-support Indonesia's development through a value- added key sector, infrastructure. This quantitative study investigates how INA events give impacts on the performance of businesses' sector by enclosing dummy variables; SOEs and infrastructures as firm's specific factors. The dependent variables used is cumulative abnormal return (CAR) around the event windows of eleven-trading days.