Investor sentiment based on search engine data for predicting stock returns in Indonesia industrial sector

IF 1.6 Q3 BUSINESS

Journal of Eastern European and Central Asian Research Pub Date : 2023-11-05 DOI:10.15549/jeecar.v10i6.1500

Yusuf Murtadlo Hidayat, Nugraha Nugraha, Disman Disman, Maya Sari, Muhammad Rayhan Bustam

引用次数: 0

Abstract

This study aims to investigate investor sentiment and its effect on the industrial sector in Indonesia. In the study, investor sentiment was extracted from data obtained from search engines. Then the data were used to see how the sentiment affected the stock return in each listed industrial company. Fifteen industrial sector companies listed on the stock exchange were selected; each was analyzed for their search volume and the effect on stock returns using panel data regression from March 2020 to April 2022. The result shows that investor sentiment affects the level of stock returns in the industrial sector in Indonesia. This result indicates that with the increase in search volume on search engines, which reflects positive sentiment, there will be an increase in stock trading transactions and vice versa. This study's findings will help investors make investment decisions, especially in the industrial sector.

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投资者情绪基于搜索引擎数据预测印尼工业板块股票回报

本研究旨在调查投资者情绪及其对印尼工业部门的影响。在这项研究中，投资者情绪是从搜索引擎获得的数据中提取出来的。然后使用这些数据来观察情绪如何影响每个上市工业公司的股票回报。选取了15家在证券交易所上市的工业板块公司;利用2020年3月至2022年4月的面板数据回归分析了每一个搜索量和对股票回报的影响。结果表明，投资者情绪影响印尼工业部门股票收益水平。这一结果表明，随着搜索引擎上反映积极情绪的搜索量的增加，股票交易量也会增加，反之亦然。这项研究的发现将有助于投资者做出投资决策，特别是在工业部门。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Eastern European and Central Asian Research Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

2.50

自引率

43.80%

发文量

审稿时长

8 weeks

期刊介绍： Journal of Eastern European and Central Asian Research (JEECAR) is a multi-disciplinary journal related to the Eurasia regional economics, finance, management, marketing, international affairs, and other business-related disciplines. By Eastern Europe and Central Asia, the IEECA refers to Russia, Ukraine, Belarus, Moldova, Armenia, Azerbaijan, Estonia, Latvia, Lithuania, Poland, Slovakia, Hungary, Serbia, Montenegro, Bosnia and Herzegovina, Albania, Kosovo, Macedonia, and five post-Soviet Central Asian states: Kazakhstan, Kyrgyzstan, Tajikistan, Turkmenistan, and Uzbekistan. The JEECAR Journal is committed to the editorial principles of all aspects of publication ethics and publication malpractice as assigned by the Committee on Public Ethics. Any paper submitted to the journal must be original, previously unpublished, and currently not under consideration for publication elsewhere. All articles in the printed version of the journal are peer-reviewed. The review process is a double-blind process. Neither the authors nor the reviewers know who wrote or reviewed the article. Per standard practice, only the Editor assigned to handle a paper knows the identity of the authors and the reviewers.