Retail investor attention impact on Indonesia stock market return
List of Authors
  • William Kenneth , Zaafri A. Husodo

Keyword
  • Investor Attention, Search Volume, Stock Price, Google Trends, Information

Abstract
  • This study investigates the relationship between investor attention, measured by Google Search Volume (GSV), and stock market return in Indonesia from April 2020 to February 2021. During this period, the Indonesia stock market was recovering from March 2020 crash, and at the same time, there is a massive increase in the number of retail investors in Indonesia. We observed 57 stocks during the 219 trading days using Panel Regression method with Newey West Estimator. Using five different time lags, we found that GSV significantly has a negative impact on stock return for lag 10, lag 15, and lag 20 days. This finding is broadly consistent with the previous researcher (Bijl et al., 2016), which found a negative relationship between lag GSV and stock return post-2008 market crisis.

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