ANALISIS DAMPAK SENTIMEN INVESTOR TERHADAP RETURN SAHAM MENGGUNAKAN EGARCH: STUDI KASUS PADA BANK RAKYAT INDONESIA, TBK.
(1) Universitas Islam Batik Surakarta
(2) Universitas Islam Batik Surakarta
(3) Universitas Islam Batik Surakarta
(*) Corresponding Author
Abstract
Volatility reflects fluctuations in stock prices within a certain period. The purpose of this study was to examine the effect of market volatility and psychological sentiment on company stock return. This study uses a sample of PT Bank Rakyat Indonesia, Tbk as a company with good performance and a large number of investors on the Indonesia Stock Exchange. This study uses multiple regression based on daily data for 2015-2021 analyzed using Exponential GARCH. This study reveals that market volatility indicated by the LQ45 index has a significant effect on stock return volatility. Meanwhile, market sentiment as measured by index volatility has no effect on stock return.
Keywords: volatility; psychological sentiment; stock pricesFull Text:
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DOI: https://doi.org/10.24071/jpea.v16i2.7072
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