DEVELOPMENT OF LEAD-LAG RELATIONSHIP BETWEEN INVESTOR SENTIMENT, INVESTOR ATTENTION, AND RETURN ON FIVE BANKING STOCK

• Main Author: RIZKIANA NIM 23416040, ALDILA
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/25310
• Institution: Institut Teknologi Bandung

The capital market is an alternative investment place that attracts more and more investors in Indonesia. There are two common approaches commonly used by investors to analyze stocks to be bought, namely fundamental analysis and technical analysis. However, both approaches have not considered that the capital market is also influenced by investor sentiment in taking stock decisions, though investor sentiment has a significant role in driving stock prices. One source of data that can be used to measure investor sentiment due to the development of information technology is data in social media. Although many previous studies have shown that investor sentiment in social media can be used to predict stock movements, there are some gaps that still need to be investigated further. <br /> <br /> First is related to the investor's attention variable which also influences the prediction ability of stock movement and can interact with investor's sentiment to influence stock price movement, but not yet included in the stock prediction model using investor sentiment as its predictor variable. Second is related to the lead-lag effect between investor sentiment, investor attention, and stock return as some research indicates that the three variables can influence each other. Therefore, the problem to be answered in this research is "How to develop lead-lag relationship between investor sentiment, investor attention, and stock return in five banking stocks of Indonesia?". The purpose of this study is to determine the effect of lead-lag between the three variables as well as the interaction that occurs between investor sentiment and investor attention in predicting stock price movements. <br /> <br /> The steps taken to answer the research problem are calculate investor sentiment based on comments in social media Stockbit, calculate investor's attention based on search volume obtained from google trend, then using Granger causality analysis and vector autoregression to test the influence of lead-lag and interaction between variables. The results showed that there was no significant lead-lag effect between investor attention and stock returns, between investor attention and investor sentiment, and there was no significant interaction effect between investor sentiment and investor attention to stock returns. Significant lead-lag effects presents only in between investor sentiment and stock returns, i.e. stock returns influence the investor sentiment in social media, and not vice versa. <br /> <br /> These results indicate that investor sentiment in Indonesia, especially in social media stockbit is a reaction of stock returns so it can not be used to predict stock returns in the future. In addition, investor attention measured by search volume in Google trends in Indonesia can not be used to <br /> <br /> predict future stock return movement. The four reasons that caused investor sentiment have no significant effect on stock returns are related to the speed of information diffusion on stock prices, the sources of data used, the size of the stock capitalization, as well as the selection of investor sentiment measurement. While two reasons causing investor attention have no significant effect on stock return are related to stock capitalization size and google search volume that can not be used to reflect investor attention in Indonesia. The insignificant influence of investor sentiment variable and investor attention to stock returns cause interaction between the two is not significant.