THE IMPACT OF INVESTOR SENTIMENT ON EXCESS RETURNS IN INDONESIA STOCK EXCHANGE

Ramadhani, Rafidha Pramudya (2018) THE IMPACT OF INVESTOR SENTIMENT ON EXCESS RETURNS IN INDONESIA STOCK EXCHANGE. S1 thesis, UAJY.

Text (Rafidha Pramudya Ramadhani) EM21464.pdf Restricted to Repository staff only Download (1MB)

Abstract

The change in trading volume can reflect the sentiment of investor. When the change in trading volume is positive indicates a bullish change investor sentiment and negative change in trading volume implies a bearish change in sentiment. The main purpose of the research to analyze the impact of investor sentiment (measured by change in trading volume) on excess returns in Indonesia Stock Exchange with monthly data in period August 2008 to October 2017. This research using GARCH (1.1) model test as analysis tool. The result shows that investor sentiment which is measured by change in trading volume is affecting the excess returns. For future research can use the other proxy of investor sentiment such as mutual fund flows, investor moods, IP first-day returns, or IPO volume. The result of this research can help investor in making consideration and decision to get capital gain and excess returns in their investment action.

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