THE IMPACT OF INVESTOR SENTIMENT-BASED EQUITY MUTUAL FUND ON EXCESS RETURN AND VOLATILITY PERIOD JANUARY 2011 – DECEMBER 2014

Rehulina Sembiring, Yessica (2015) THE IMPACT OF INVESTOR SENTIMENT-BASED EQUITY MUTUAL FUND ON EXCESS RETURN AND VOLATILITY PERIOD JANUARY 2011 – DECEMBER 2014. . pp. 1-17.

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Abstract

The objective of this research is to analyze the impact of investor sentiment-based equity mutual fund on excess returns and volatility in Indonesia Stock Exchange (IDX) from January 2011 to December 2014. Stationarity test of Augmented Dickey-Fuller is used as basic test for a non-stationarity of each variable used, the mean model developed by Autoregressive Moving Average (ARMA) model with using Least Square method will result of mean model will be used to get the residual value to examine the homogeneity of residual variability, and to check there is non-homogeneity variance of mean model through time series plot of the residual data, the researcher will use ARCH-Effect Test. The final step is GARCH (1,1) Model Test to indicate the behavior of time series data has inconstant residual variance from time to time and contaminated by heterokedasticity because there are error variance that depend on previous error volatility. The result of GARCH (1,1) conclude that the data used the measure excess returns significantly contains ARCH and GARCH elements. Higher volatility in the markets does seem to have a positive effect on the returns since there is significant proof of positive volatility feedback which is for excess return. It is observed that there is a strong relationship between investor sentiment and market returns. This result is according to the probability value RESID(-1)^2 and GARCH(-1) are less than 5%, which are the probability value of RESID(-1)^2 and GARCH(-1) as much as 0.0000.

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