INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN, LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN MANUFACTURE COMPANIES IN INDONESIA AND INDIA

Puspita Sari, Noviana Icha (2014) INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN, LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN MANUFACTURE COMPANIES IN INDONESIA AND INDIA. Jurnal Ekonomi Manajemen Internasional. p.1-15.

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Abstract

This research aims to examine the influence of investors’ attention of company stock on stock return, liquidity, and return volatility comparison between manufacture companies in Indonesia and India in the year of 2011-2013. Investors’ attention is measured by a direct proxy which is Google Search Volume Index from Google trends. This research uses secondary data and processed by regression analysis. The samples are gathered from Indonesia stock exchange and India stock exchange. The result of this research concludes that the investors’ attention measured using Google search volume index has significantly influenced the stock liquidity and return volatility of manufacture companies in Indonesia. Meanwhile the result for India shows that Investors’ attention has only significantly influenced the return volatility of manufactures companies

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