PERHATIAN INVESTOR DAN LIKUIDITAS SAHAM PERUSAHAAN PUBLIK DI BURSA EFEK INDONESIA
DOI:
https://doi.org/10.21009/JRMSI.013.1.05Keywords:
Perhatian investor, Likuiditas, Google, Trading volume, Asimetri informasiAbstract
Signifikannya geliat internet di Indonesia membuat kontribusi internet (Google) sebagai media perantara penyampaian informasi ke publik menjadi sarana yang semakin diminati. Hal ini menjadi relevan karena andil internet terhadap perkembangan ekonomi Indonesia juga tercatat sebagai determinan yang penting. Oleh sebab itu, penelitian ini bermaksud menguji peran Internet yang dapat dianalogikan sebagai representasi dari perhatian investor, dan menghubungkannya dengan likuiditas saham perusahaan publik yang diperdagangkan di Bursa Efek Indonesia (BEI). Dengan menggunakan basis teori asimetri informasi, penelitian ini juga mengkaji secara empiris upaya mitigasi terhadap kesenjangan informasi antara investor terinformasi (informed) vs. investor tidak terinformasi (uninformed). Secara operasional, penelitian ini menggunakan sampel dari 82 perusahaan publik di BEI dengan periode waktu pengamatan bulanan dari bulan Januari 2013 sampai dengan Desember 2017. Dengan karakteristik dan struktur data panel, maka penelitian ini menggunakan analisis regresi panel dengan jumlah data sebesar 4,920 observasi (perusahaan-bulan). Analisis yang digunakan juga menerapkan fixed-effect model (FEM) pada level perusahaan (firm-FE) dan tahun (Month-FE), yang disertai dengan clustered SE guna mengantisipasi potensi overestimasi pada nilai standard error (SE). Hasil penelitian menunjukkan bahwa terdapat asosiasi yang positif antara perhatian investor yang diwakili oleh GSV (Google Search Volume) dengan likuiditas saham perusahaan, TV (Trading Volume). Implikasi dari temuan ini menunjukkan bahwa stakeholder (investor) dapat mempergunakan informasi publik yang tersedia dan didistribusikan melalui internet untuk mereduksi tingkat asimetri informasi yang terjadi antara informed vs. uninformed investor di pasar modal.
References
Aouadi, A., Arouri, M., & Teulon, F. (2013). Investor attention and stock market activity: evidence from France. Economic Modelling, 35, 674–681. https://doi.org/10.1016/j.econmod.2013.08.034
Baltagi, B. H. (2008). Econometric analysis of panel data. Econometric Theory, 13(05), 351. https://doi.org/10.1017/S0266466600006150
Bank, M., Larch, M., & Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial Markets and Portfolio Management, 25(3), 239–264. https://doi.org/10.1007/s11408-011-0165-y
Benbunan, R., & Fich, E. (2004). Effects of Web Traffic Announcement of Firm Value. International Journal of Electric Commerce Summer, 8, 161–182.
Brown, W. G., & Hartzell, C. J. (2001). Market Reaction to Public Information: The Atypical Case of The Boston Celtics. Journal of Financials Economics, 60, 333–370.
Da, Z, Engleberg, J., & Gao, P. (2011). In search of attention. Journal of Finance, 66, 1461–1499.
Da, Zhi, Engelberg, J., & Gao, P. (2011). In Search of Attention. Journal of Finance, 66(5), 1461–1499. https://doi.org/10.1111/j.1540-6261.2011.01679.x
Ding, R., & Hou, W. (2015). Retail investor attention and stock liquidity. Journal of International Financial Markets, Institutions and Money, 37, 12–26. https://doi.org/10.1016/j.intfin.2015.04.001
Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, Breadth of Ownership and Liquidity. Review of Financial Study, 17, 439–461.
Gujarati, D. N., & Porter, D. C. (2010). Econometria. In McGraw-Hill. New-York.
Gündüz, L., & Hatemi, A. (2005). Stock price and volume relation in emerging markets. Emerging Markets Finance & Trade, 41(1), 29–44. Retrieved from http://www.jstor.org/stable/27750428
Joseph, K., Wintoki, B. M., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: evidence from online search. International Journal of Forecasting, 27(4), 1116–1127. https://doi.org/10.1016/j.ijforecast.2010.11.001
Kenneth, J. A. (1963). Uncertainty and the Welfare Economics of Medical Care. The American Economic Review, 53(5), 941–973.
Kiymaz, H. (2001). The Effect of Stocks Market Rumors on Stock Prices: Evidence From Emerging Market. Journal of Multinational Financial Management, 11, 105–115.
Nurazi, R, Kananlua, P. S., & Usman, B. (2015). The effect of google trend as determinant of return and liquidity in Indonesia Stock Exchange. Jurnal Pengurusan (UKM Journal of
Management), 45.
Nurazi, R, & Usman, B. (2019). Does search engine query data contribute to returns and liquidity? Serbian Journal of Management, 14(1), 1–26. https://doi.org/10.5937/sjm14-14992
Nurazi, R, Usman, B., & Kananlua, P. S. (2016). Does bid/ask spread react to the increase of internet search traffic? International Research Journal of Business Studies, 8(3), 181–196.
Nurazi, Ridwan, & Usman, B. (2015). Public attention and financial information as determinant of firms performance in the telecommunication sector. Jurnal Keuangan Dan Perbankan, 19(2), 235–251.
Rajgopal, S., Shevlin, T., & Venkatachalam, M. (2003). Does the stock market fully appreciate the implications of leading indicators for future earnings? Evidence from order backlog. Review of Accounting Studies, 8(1), 461–492.
Scheitle, C. P. (2011). Google Insight for Search: A Note Evaluating The Use of Search Engine Data in Social Research. Social Science Quarterly, 92, 2870295.
Trueman, B., Wong, M. H., & Zhang, X. (2003). Anomalous Stock Return Arround InternetFirms Earning Announcements. Journal of Accounting and Economics, 34, 249–271.
Turmakin, R., & Whitelaw, R. F. (2001). News or Noise? Internet Message Board Activity and Stock Prices. Financial Analyst Journal, 57, 41–51.
Usman, B. (2019). Ownership structures, control mechanism and related party transaction: An empirical study of the Indonesian public listed companies. International Journal of Economics and Management, 13(1).
Usman, Berto. (2016). The phenomenon of bearish and bullish in the Indonesian stock exchange. Esensi: Jurnal Bisnis Dan Manajemen, 6(2), 181–198. https://doi.org/10.15408/ess.v6i2.3750
Usman, Berto, & Tandelilin, E. (2014). Internet search traffic and its influence on liquidity and returns of Indonesian stocks: An empirical study. Journal of Indonesian Economy and Business, 29(3), 203–221.
Usman, Berto, & Yennita, Y. (2018). CSR Practice and asymmetry information of Indonesian public listed companies. International Research Journal of Business Studies, 11(1), 45–66. https://doi.org/https://doi.org/10.21632/irjbs
Wang, J. (1993). A Model of Intertemporal Asset Prices Under Asymetric Information. Review of Economic Studies, 60, 249–282.
Downloads
Published
How to Cite
Issue
Section
License
Articles in Jurnal Riset Manajemen Sains Indonesia are Open Access articles published under the Creative Commons CC BY-NC-SA License. This license permits use, distribution and reproduction in any medium for non-commercial purposes only, provided the original work and source is properly cited. Any derivative of the original must be distributed under the same license as the original.