INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN, LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN
MANUFACTURE COMPANIES IN INDONESIA AND INDIA
THESIS
Presented as Partial Fulfillment of the Requirements for the Degree of Sarjana Ekonomi (S1)
in International Business Managemnet Program Faculty of Economics Universitas Atma Jaya Yogyakarta
Compiled by:
Noviana Icha Puspita Sari Student ID Number: 10 12 18478
FACULTY OF ECONOMICS
v
This thesis is dedicated to:
My Jesus Christ
My Parents
(Bpk.Panji Susilo & Ibu Antini)
My Sister and Brother
(Adelheid Fransiska W.I. S. & Claudio Adrian S.)
My Special One
(Yosafat Bayu P.)
All of My Friends
M
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sus C
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My Parents
(Bpk.Panji S
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My Sister and Brother
(Adelheid Fra
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W.I. S. & Claudio Adrian
S.)
My S
S
p
pecial One
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(Y
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P.)
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vi
Everything you can imagine is real
(Pablo picasso)
You have to know that being wrong is part of the
process
(Peter Bernstein, one of the most prominent investment experts)
Success is not final, failure is not fatal: it is the courage
to continue that counts
(Winston churchill)
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know that being wrong is
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process
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ACKNOWLEDGEMENT
First, I praise my Lord, Jesus Christ; for all that He gave to me, His
blessing, love, guidance, and opportunity so I can finish my study in Atma Jaya
Yogyakarta and I can finish this thesis as the requirement for the degree of
Sarjana Ekonomi.
There are many people who give support, advice, and time that help me to
finish this thesis. Thus, I would like to use this opportunity to deliver my thankful
and appreciation for those who encourage me:
1. My parents (Bpk. Panji Susilo and Ibu Antini), My sister and brother
(Siska and Dio), and My special one (Bayu) who always support and
encourage me, thank you for your endless love, patience, and prayers for
me-I love you
-2. My advisor, Mr. A. Jatmiko Wibowo, SE., SIP., MSF. who has given his
time, support, advice, and guidance for me to finishing this thesis
3. All of the lecturers who shared their knowledge and experienced
(especially Mr.Budi and Mr. Maryatmo) and Mr. Adit who always helps
and guides me in my whole study in International program
4. My lovely sisters, Geovani Agnesia S. and Bani Katalina S. thank you so
much for love that you guys gave to me. Thank you for amazing four years
that full of unforgettable moments. I love you so much
-5. My Second Family, all the students in international program especially
IBMP and IFAP 2010 (Nyenyes, Bani, Tasha, Elin, Yeye, Yeffi, Tegar, First, I praise my Lorororddd, Jesus Chrhh isisist;t;t; for all that He gave to me, His
blessing, love, guidddananance, and opportunity so I can finisisish mhh y study in Atma Jaya
Yogyakarta aand I can finisha thththisss thththesesesisisis asaa thththe requirementt foff r the degree of
SarjannaaaEEkonomi.
Thererere ae ae arereremanynyyppepeoople who givive support, aadvdvdvici e, annnd td td timimime tee hat helelelp mpp e to
finishhhthththisisistththesisiss T. Thus,s,I would like toouse this opporrtutunityytototodelililvevever mr mr my tyy hanknknkful
annnd ad ad appppppreciciiaaation for thoseewhw o encourarage me:
1. 1.
1. MMyMy paparents (Bpk. PPananjij Susiiloo and IIbubu Antini), Myy sisiststererer annnd bd bd brororotherr
(Siska and Dd Dioio),), and MMyy sppecciall onne (Bayuyu)) whwho always support anannddd
encourage me, thank yk youu fof r yourr enendldlesess love, patience, andd prayererrs fooro
me
m --I lI love ye ye yououou--
-2.
2 My advisor, Mr. A. Jatmikko Wo Wo Wibibiboowo, SE., SIP., MSF. who has giveeen hn hn hiisi
time, support, advice, and guidance for me to finishing this theesisisisss
3. 3.
3. AlAlAllll of tf tf thhe lelelectuctctuurers whwhwho so so shahaharerereddd their knknknowowowllleddgd e and exdd xxpepeperiririeeenced
(e (e
(esppeciaaalllllly My My Mr.Budi and MMMr. Maryyyatmo) and Mraa . A. AAdiddt who ah aalwlwlways helps
and guides me in my whooole study inInternational program
4. My lovely sisters, Geovannni Agnesiaaa S. and Bani Katalina S. thank you so
much for love that you guysgagg veee to me. Thank you for amazing four years
-viii
Manggala, Bion, Adis, Gupta, Ragil, etc.) and special thanks to cc Joane
NG who always encourage me in my hard time, Kak Yoana and kak Karin
for shared their experienced about writing thesis.
6. Tante Siska and Pak Pri as my teachers, motivator, who always support
and encourage me to finishing my study.
7. All of my friends in KKN 64 Nglinggo Barat, thanks for give me amazing
experienced, and sweet memories
-8. For all people that I could not mention one by one. Thank you for your
support and care.
for shared their experiienenencced about wririritititingngngthesis.
6. Tante Siskaaa aaand Pak Pri as my teachers, motivivivatataor, who always support
and eeennncourage me to finininishshshinining mg mg my sy sy stututudyyy.
7. AAAll of my frienenendsdsdsinininKKN 64 Nglinggo Bo Bo Barararatatat, tha, t, thh nks for giveee mem amazing
expepeperiririenenenccced, annd sd sd swweet memoriries
-8. FoFoFor arr ll pepepeople ththat I could noott mention one bby onenee. T.. hanknkk yoyoyou fuu or yyoy ur
ix
TABLE OF CONTENTS
TITLE PAGE ...
APPROVAL PAGE ...
COMMITTEE’S APPROVAL PAGE ...
AUTHENTICITY ACKNOWLEDGEMENT ...
DEDICATION PAGE ...
MOTTO ...
ACKNOWLEDGEMENT ...
TABLE OF CONTENT ...
LIST OF TABLES ...
LIST OF FIGURES ...
LIST OF APPENDICES ...
ABSTRACT ...
CHAPTER I: INTRODUCTION ...
1.1. Research Background ...
1.2. Problem Statements ...
1.3. Research Scope ...
1.4. Research Objectives ...
1.5. Research Benefits ...
1.6. Research Outline ...
CHAPTER II: THEORETICAL BACKGROUND AND PREVIOUS
RESEARCH ... i ii iii iv v vi Vii ix xii xiv xv Xviii 1 1 6 7 7 8 9 10 TITLE PAGE ..............
APPROVAL PAGGEE .......
COMMITTETEE’S APPROVALLPPAGAGEE ......................
AUTHHEENTICITY AACKCKNON WLEDGEMENTNT .................
DE
DEDICATITIONONPPAGE E .........................................
MOTTTTOO .........................................................
AC
ACKNKNOWWLLEDGEMENT ........................................
TA
TABLB EEOF CONTENT ........................................
LIST OOF TABLES .....................................
LIST OF FIGURES .................
LISTST OOF APPENDICICESES ......................................
AB
A STRACT .................
CH
CHAPAPTER I: INTRODUCTION ............
1.
1.1.1. ReR searchhBBacackgkgroround ...
1.2. PrP oblem m StStatements ...
1.3. Research Scope ...
1.4. Research Objectives ...
1.5. Research Benefits ...
1 6 Research Outline
i ii iii iv v vi V Vii ixx xi xii
xiivv
x
2.1 Theoretical Background ...
2.1.1 Investor ...
2.1.2 Nature of Investment ...
2.1.3 Capital Market ...
2.1.4 Random Walk Theory and Efficient Market Hypothesis ...
2.1.5 Asymmetric Information ...
2.1.6 Google Trends ...
2.1.7 Liquidity ...
2.1.8 Return and Risk ...
2.1.9 Relation between Investors’ Attention with Liquidity ...
2.1.10 Relation between Investors’ Attention with Return and Risk..
2.1.11 Indonesia Stock Exchange ...
2.1.12 India Stock Exchange ...
2.2 Previous Research ...
2.3 Hypotheses ...
CHAPTER III: RESEARCH METHODOLOGY ...
3.1. Population and Sample ...
3.2. Data ...
3.2.1 Data Collection method ...
3.3. Research Variables ...
3.3.1 Type of Variable ...
3.3.2 Variable Measurement ... 10 10 16 18 21 22 25 26 28 29 30 32 33 37 40 40 41 41 42 42 42 2.1.2 Nature of Inveeststmment ...
2.1.3 Capipitatall Market ...
2.1.44 Random Walk ThTheooryy andndEEfff iccieient Market Hypopothesis ...
2
2.1.5 Asymmmemettricic Information ...
2.1.1.66 GoGoogle TTrerends ...
2.
2.1.1.77 LiLiquidity ...
2.1..88 Return and Risk ...
2
2.1.9 Relation between Investors’ Attention with Liquidity ............
2.1.10 Relation between Investors’ Attention with Return and Risk..
2.1.11 Indonesia Stock Exchange ...
2.1.12 India StStocockk ExExchchange ...
2.
22 Previous Research ...
2.
2.33 HyHypop theses ...
CH
CHAPA TEERR IIIIII:RRESESEAEARRCH MEMETHTHODODOLOLOGGYY ........................
3.1. PoP pup latiion and Sample ...on ...
3.2. Data ...
3.2.1 Data Collection meethod ...
3.3. Research Variables ...
3 3 1 Type of Variable
xi
3.4 Method of Analysis ...
CHAPTER IV: DATA ANALYSIS ...
4.1 Descriptive Statistic ...
4.2 Hypothesis Testing ...
4.3 Interpretations of Hypothesis Testing ...
4.3.1 Result for Hypothesis number 1 ...
4.3.2 Result for Hypothesis number 2 ...
4.3.3 Result for Hypothesis number 3 ...
4.3.4 Result for Hypothesis number 4 ... 86
CHAPTER V: CONCLUSION ... 88
5.1. Conclusion ... 88
5.2. Managerial Implication ... 90
5.3. Limitation and Suggestion for Further Research ... 90
SELECTED BIBLIOGRAPHY APPENDICES 45 51 51 66 83 83 84 85 4.1 Descriptive Statistic ... 4.2 Hypothesis TTeesting ... 4.3 Interprprretations of Hypottheh sisis TeTeststining g ... 4 4.3.1 Resultlt fororHHypothesis number 11 ... 4.3.3.22 ReResult ffororHHypothesis number 2 ... 4. 4.3.3.33 ReResult for Hypothesis number 3 ... ... 4.3..44 Result for Hypothesis number 4 ... 8686 CH CHAPA TETER V: CONCLUSION ............................... 88
5.1. Conclusion ... 8888
5.2. Managerial Implication ... 900
5.3. Limitation andndSSuguggegeststioion for Further r ReReseseararchch ... 9090
SELECTED BIBLIOGRAPHY
A
APPEPENDICES
51
66
83
83
84
xii
LIST OF TABLES
Table 1 Three Forms of Market Efficiency...
Table 2 Indonesia Stock Exchange Trading Hours ...
Table 3 India Stock Exchange Trading Hours ...
Table 4 Summary of Previous Research ...
Table 5 Durbin Watson Decision Rules ...
Table 6 Sample List of India Manufacture Companies ...
Table 7 Sample List of Indonesia Manufacture Companies ...
Table 8 Number of Manufacturing Companies in Indonesia ...
Table 9 Number of Manufacturing Companies in India ...
Table10 Descriptive Statistic Table of Dependent Variables in Indonesia...
Table 11 Descriptive Statistic Table of Independent Variable and Control
Variables in Indonesia ...
Table 12 Descriptive Statistic Table of Dependent Variables in India ...
Table 13 Descriptive Statistic Table of Independent Variables and control
Variable in India ...
Table 14 Google Search Volume Index of Manufacture Companies
Indonesia vs. India ...
Table 15 Trading Volume of Manufacture Companies Indonesia vs. India ...
Table 16 Standard Deviation of Manufacture Companies Indonesia vs.
India ...
Table 17 Return of Manufacture Companies Indonesia vs. India ... 20 31 33 36 47 48 49 51 52 52 54 56 57 59 60 61 62 Table 1 Three Forms of Markekett EfEfficiency...
Table 2 Indonesia StStoock Exchange Trading Hours ...
Table 3 India a SStock Exchange TTrar didngn HHouoursrs ...
Table 4 4 Summary off PPreeviviouo s Research ...
Taabble 5 DuurbrbininWWatson n DeDecision Rules ...
Table 6 6 SaSammpleeLList of India Manufacture Companies ... ...
Taablble77 Sammple List of Indonesia Manufacture Companies ...
Ta
Tablble 8 NNumber of Manufacturing Companies in Indonesia ...
Table 99 Number of Manufacturing Companies in India ...
Table110 Descriptive Statistic Table of Dependent Variables in Indonesia...
Tabllee 111 DescriptiveeSStatatitiststicicTTable of Indepependndenentt VaVaririable and Contrtrolol
Va
V riables in Indonesia ...
Ta
Tablble e121 Descriptive Statistic Table of Dependent Variables in India ...
Ta
Tablble 13DDescriiptitiveveSStatatitistic TTabablele oof f InIndedeppendentt VaVaririabablles andd controoll
Variabablelein Indiiaa ...
Table 14 Google Search VolumeeIndex of MManufacture Companies
Indonesia vs. India ...
Table 15 Trading Volume of Manuffaca turre Companies Indonesia vs. India ...
Table 16 Standard Deviation of Manuffacture Companies Indonesia vs
xiii
Table 18 Size of Manufacture Companies Indonesia vs. India ...
Table 19 Market to Book ratio of Manufacture Companies Indonesia vs.
India...
Table 20 Price Earnings ratio of Manufacture Companies Indonesia vs.
India ...
Table 21 Ages of Manufacture Companies Indonesia vs. India ...
Table 22 Correlation Matrix for Manufacture Companies in Indonesia ...
Table 23 Correlation Matrix for Manufacture Companies in India ...
Table 24 Chow test result for hypothesis 1a ...
Table 25 Result for hypothesis 1a using common model ...
Table 26 Chow test result for hypothesis 1b ...
Table 27 Hausman test for hypothesis 1b ...
Table 28 Result for hypothesis 1b using fixed effect ...
Table 29 Result for hypothesis 2a using common model ...
Table 30 Chow test result for hypothesis 2b ...
Table 31 Hausman test for hypothesis 2b ...
Table 32 Result for hypothesis 2b using fixed effect ...
Table 33 Chow test result for hypothesis 3a ...
Table 34 Hausman test for hypothesis 3a ...
Table 35 Result for hypothesis 3a using fixed effect ...
Table 36 Result for hypothesis 3b using common model ... 63 64 64 65 66 67 68 69 70 71 72 74 75 76 76 78 79 79 82 India...
Table 20 Price Earnininngs ratio of Manufacture Companiieses Indonesia vs.
India ...
Table 2121 Ages of Mananufufacactut re Companies Inddonnesesiaiavvss. India ...
Taabble 22 CCororrerelalattion MMatatririx for Manufacture Comppananies in IIndndononese ia ...
Table 2323CCorrelalattion Matrix for Manufacture Companies inIIndn ia ...
Taablble 224 CChhow test result for hypothesis 1a ...
Ta
Tablble 255 Result for hypothesis 1a using common model ...
Table 226 Chow test result for hypothesis 1b ...
Table 27 Hausman test for hypothesis 1b ...
Tabllee 228 Result for hyhypopoththesesisis11b using fixed d efeffefectct ...
Ta
T ble 29 Result for hypothesis 2a ussining g ccommon model ...
Ta
Tablble e303 Chow test result for hypothesis 2b ...
Ta
Tablble 31HHausmanttesest t fofor hypoththesesisis 22b b ...
Tablle e3232Result t fofor hypothesis 2b busu ing fixexed effect ...
Table 33 Chow test result for hyppothesis 3a ...
Table 34 Hausman test for hypothhesis 3a ...
Table 35 Result for hypothesis 3a ussing fifixed effect ...
Table 36 Result for hypothesis 3b usinng common model
xiv
LIST OF FIGURES
Figure 1
Development of Internet users in Indonesia and India
In the year 1990-2012 ...
Figure 2 Pattern of internet users in Indonesia...
Figure 3 Graph of Google Trends for ASII stock ticker in Indonesia in the year 2012 ...
Figure 4 Graph of Google Trends for “Ades” keywords in Indonesia in the year 2005-2012...
Figure 5 Graph of Google Trends for “Ades” regional interest search in Indonesia in the year 2005-2012 ...
Figure 6 Graph of Google Trends for “Ades” related searches terms in Indonesia in the year 2005-2012 ...
Figure 7 Indonesia Capital Market Structure ... 5
5
24
24
24
25
31 Figure 1
Development of Interneet t uusers in Indonesia and Indndiaia
In the year 1990-2010122 ...
Figure 2 Patttetern of internet usersrs in nInIndodonenesisia...
Figuree33 Graph of GoGoogoglele Trends for ASII stockck tticickekerr in Indonesiaiin nthe yearr22012 ...
F
Figure 44GGraraphph of GoGoogle Trends for “Ades” keywords inin Indononesesiaia in the year 2200005-5-220122...
Fiigugure 5 GGrraph of Google Trends for “Ades” regional interest ses archch iinn In
Indodonnesia a in the year 2005-2012 ...
Fi
Figgure 66 Graph of Google Trends for “Ades” related searches termms inn Indoneesia in the year 2005-2012 ...
Figuree 7 Indonesia Capital Market Structure ... 5
5
24
24
244
25 25
xv
LIST OF APPENDICES
Appendix 1: Sample List of India Manufacturing Companies
Appendix 2: Sample List of Indonesia Manufacturing Companies
Appendix 3: Number of Manufacturing Companies Sample in Indonesia
Appendix 4: Number of Manufacturing Companies Sample in India
Appendix 5: Descriptive Statistic Table of Dependent Variables in Indonesia
Appendix 6: Descriptive Statistic Table of Dependent Variables in India
Appendix 7: Descriptive Statistic Table of Dependent Variables in Indonesia
Appendix 8: Descriptive Statistic Table of Dependent Variables in India
Appendix 9: Google Search Volume Index of Manufacture Companies Indonesia
vs. India
Appendix10: Trading Volume of Manufacture Companies Indonesia vs. India
Appendix 11: Standard Deviation of Manufacture Companies Indonesia vs. India
Appendix 12: Return of Manufacture Companies Indonesia vs. India
Appendix 13: Size of Manufacture Companies Indonesia vs. India
Appendix 14: Market to Book ratio of Manufacture Companies Indonesia vs.
India
Appendix 15: Price Earnings ratio of Manufacture Companies Indonesia vs. India
Appendix 16: Ages of Manufacture Companies Indonesia vs. India
Appendix 17: Correlation Matrix for Manufacture Companies in Indonesia
Appendix 18: Correlation Matrix for Manufacture Companies in India
Appendix 19: Chow Test Result for Hypothesis 1a
Appendix 1: Sample List of Indndiaia Manufactuturiringng Companies
Appendix 2: SamppleleLList of Indonesia Manufacturing CComompanies
Appendix 3::NNumber of Manufafactcuru ing ing CoCompm ananies Sample in InIndod nesia
Appendndiix 4: Numberrof f MaM nufacturing Compannieies s SaSammple in India
Ap
Appendix 55::DeDescs riptivvee StStatistic Table of Dependedentnt Variablblesesiin n Indonesisia
Appendndixix 66: Deesscriptive Statistic Table of Dependent Variablbles in InIndidiaa
Ap
Appep ndix 7d 7:Descriptive Statistic Table of Dependent Variablesiin nIndodonenesia
Ap
Appep ndixix 8: Descriptive Statistic Table of Dependent Variables in Inndia
Appenddix 9: Google Search Volume Index of Manufacture Companiess Indonesiaa
vs. India
Appeendndix10: Trading g VoVolulumemeof Manufacturo ree CoCompmpananieies Indonesia vsvs. IIndia
Ap
A pendix 11: Standard Deviation ofofMMananufacture Companies Indonesia vs. IIndndiaia
Ap
Appeendndix 12: Return of Manufacture Companies Indonesia vs. India
Ap
Appependix1133:SSiize ofofMMananufacturereCComompapaninies Inddononesesiaia vs.IIndidia
Appeendndixi 14: MMaarkket to Book raratio of MManufacture CComompapanies IIndndonesia vs.
India
Appendix 15: Price Earnings ratioo of Manufufacture Companies Indonesia vs. India
Appendix 16: Ages of ManufactureCCommppanies Indonesia vs. India
xvi
Appendix 20: Result for hypothesis 1a using common model
Appendix 21: Chow test result for hypothesis 1b
Appendix 22: Hausman test for hypothesis 1b
Appendix 23: Result for hypothesis 1b using fixed effect
Appendix 24: Result for hypothesis 2a using common model
Appendix 25: Chow test result for hypothesis 2b
Appendix 26: Hausman test for hypothesis 2b
Appendix 27: Result for hypothesis 2b using fixed effect
Appendix 28: Chow test result for hypothesis 3a
Appendix 29: Hausman test for hypothesis 3a
Appendix 30: Result for hypothesis 3a using fixed effect
Appendix 31: Result for hypothesis 3b using common model
Appendix 32: Google search volume index manufacture companies in India
Appendix 33: Trading volume of manufacture companies in India
Appendix 34: Return volatility of manufacture companies in India
Appendix 35: Return of manufacture companies in India
Appendix 36: Size of manufacturing companies in India
Appendix 37: Market to book ratio of manufacturing companies in India
Appendix 38: Price earnings ratio of manufacture companies in India
Appendix 39: Age of manufacturing companies in India
Appendix 40: Google search volume index of manufacture companies in Indonesia
Appendix 41: Trading volume of manufacture companies in Indonesia
Appendix 42: Return volatility of manufacture companies in Indonesia Appendix 22: Hausman test foforr hyhypothesis11bb
Appendix 23: Resulultt ffor hypothesis 1b using fixed effectct
Appendix 24:4: Result for hypothheesisis22a ususining g coommm on model
Appendndiix 25: Chow tetestst rese ult for hypothesis22bb
Ap
Appendix 226:6:HHaua smanntteest for hypothesis 2b
Appendndixix 227: RReesult for hypothesis 2b using fixed effect
Ap
Appep ndix 2d 288: Chow test result for hypothesis 3a
Ap
Appep ndixix 29: Hausman test for hypothesis 3a
Appenddix 30: Result for hypothesis 3a using fixed effect
Appenndix 31: Result for hypothesis 3b using common model
Appeendndix 32: Googlgeeseseararchchvvololume index mamanunufafactctururee companies innIIndndia
Ap
A pendix 33: Trading volume of mananuffacacture companies in India
Ap
Appeendndix 34: Return volatility of manufacture companies in India
Ap
Appependix3355:RReturt rnn ofofmmanufacctuturereccomompapanies in InIndidiaa
Appeendndixi 36: SSizizee of manufacturiringn compapanies in India
Appendix 37: Market to book rattio of manuffacturing companies in India
Appendix 38: Price earnings ratiooof manuffacture companies in India
Appendix 39: Age of manufacturing g commpanies in India
xvii
Appendix 43: Return of manufacture companies in Indonesia
Appendix 44: Size of manufacture companies in Indonesia
Appendix 45: Market to book ratio of manufacture companies in Indonesia
Appendix 46: Price earnings ratio of manufacture companies in Indonesia
Appendix 47: Age of manufacture companies in Indonesia
Appendix 45: Market to book k raratitio of manufufacactuture companies in Indonesia
Appendix 46: Priceeeearnings ratio of manufacture compapanines in Indonesia
xviii
INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN,
LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN MANUFACTURE COMPANIES IN INDONESIA AND INDIA
Compiled by:
Noviana Icha Puspita Sari
Student ID Number: 10 12 18478
Supervisor A. Jatmiko Wibowo, SE., SIP., MSF.
ABSTRACT
This research aims to examine the influence of investors’ attention of
company stock on stock return, liquidity, and return volatility comparison between manufacture companies in Indonesia and India in the year of 2011-2013.
Investors’ attention is measured by direct proxy which is Google search volume index from Google trends. This research uses secondary data and processed by regression analysis. The samples are gathered from Indonesia stock exchange and India stock exchange. The result of this research concludes that the investors’
attention that measured using Google search volume index is significantly influenced the stock liquidity and return volatility of manufacture companies in Indonesia. Meanwhile the result for India shows that Investors’ attention has only significantly influenced the return volatility of manufactures companies.
Keywords: Investors’ attention, return, liquidity, return volatility, Google trends Compiled by:
Novivianana IIchahaPPusu piptaaSSari
S
Student ID Number: 10 121211848 78
Supeervrvisisor A. Jatmiko Wibowo,SSE., SISIP.P.,,MMSF.
ABSTRACT
This research aims to examine the influence of investors’ attention of compaany stock on stock return, liquidity, and return volatility comparriisonn be
b tweeen manufacture companies in Indonesia and India in the year of 20111-2-20133.
Invevestoors’ attention is measured by direct proxy y which is Google seaarchch volummee index ffrom Gooooglglee ttrends. Thhisis rresearch ususes secondad ryry ddataa and processed d byby regression analysis. The samples arareegaththerered from Indonesia stock exchanged eaandnd In
India stock exchange. The result off ththis research concludes that the inveveststororss’
at
atetentnion that measured using Google search volume index is signgniificicananttly in
inflflueu ncceded tthehe stostockck lliqiquiuididityty and return volatitililityty ooff mamanunuffffffacactuturere commpapaninieses in In
Indodonenesisia.a. MeMeananwhwhililee the the reresusultltffororIInddiaia sshohowswstthahat InInveveststorors’s’aattttenentitioon hhaas only si
signgnifificicantly influeuencnceded theherreteturn vovolalatitililitty of mamanunufactcturureses companieses.
