influence of investors’ attention on stock return,e-journal.uajy.ac.id/6059/1/emi018478.pdf ·...
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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
UNIVERSITAS ATMA JAYA YOGYAKARTA
2014
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
MMyy JJessus CChhrist
My Parents
(Bpk.Panji Susilo & Ibu Antinii))
My Sister and Brother
(Adelheid Fransiska W.I. S. & Claudio Adrian S.)
My SSppecial One
((YYoossaaffatt BBaayyuu PP.))
All of My FFriends
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)
YYoouu haavve to know that being wrong iss ppaarrtt ooff tthe process
(Peter Bernstein, one of the most prominent investment expererts))
SSuucccceessss iiss nnoott ffiinnaall,, ffaaiilluuree iiss nnoott ffaattaall:: iitt iiss tthhee ccoouurraage tto coonntinuue thhaatt couunnttss
(WWinston chuhurchill)
vii
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 aaand I can finish thththisss thththesesesisisis asaa thththe requirementt foff r the degree of
Sarjannaaa EEkonomi.
Thererere ae ae arerere manynyy ppepeoople who givive support, aadvdvdvici e, annnd td td timimime tee hat helelelp mpp e to
finishhh thththisisis ththt esisiss T. Thus,s, I would like too use this opporrtutunityy tototo delilil vevever mr mr my tyy hanknknkful
annnd ad ad appppppreciciiaaation for thosee whw 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
mem 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 lelelectctctuuurers whwhwho so so shahaharerereddd their knknknowowowllleddgd e a ddnd exxxpepeperiririeeenced
(e(e(esppeciaaalllllly My My Mr.Budi and MMMr. Maryyyaaatmo) and Mr A. A. Adidd t hwho aaalwlwlways helps
and guides me in my whooole study in International program
4. My lovely sisters, Geovannni Agnesiaaa S. and Bani Katalina S. thank you so
much for love that you guys gagg veee to me. Thank you for amazing four years
that full of unforgettable momene ts I love you so much
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 wririritititingngng thesis.
6. Tante Siskaaa aaand Pak Pri as my teachers, motivivivatata or, who always support
and eeennncourage me to finininishshshinining mg mg my sy sy stututudyyy.
7. AAAll of my frienenendsdsds ininin KKN 64 Nglinggo Bo Bo Barararatatat, t, t, thahh nks for giveee mem amazing
expepeperiririenenencecc d, 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
suppppppoort and care.
viiii
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 ...................................................................................................
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TITLE PAGE .....................................................................................................
APPROVAL PAGGEE .......................................................................................
COMMITTETEE’S APPROVALL PPAGAGEE .................. ............................. .................
AUTHHEENTICITY AACKCKNON WLEDGEMENTNT ........... ....................................
DEDEDICATITIONON PPAGE E .................................................... ...........................................
MOTTTTOO .....................................................................................................................
ACACKNKNOWWLLEDGEMENT ............................................................... ....................
TATABLB EE OF CONTENT ......................................................................................
LIST OOF TABLES .........................................................................................
LIST OF FIGURES ......................................................................................
LISTST OOF APPENDICICESES ........... ..............................................................................
ABA STRACT ........................................................................................................
CHCHAPAPTER I: INTRODUCTION ...................................................................
1.1.1.1. ReR sear hch BBacackgkgroround ................................................... ...... ..............................
1.2. PrP oblem m StStatements ...................................................................................
1.3. Research Scope ....................................................................................
1.4. Research Objectives .............................................................................
1.5. Research Benefits .................................................................................
1 6 Research Outline
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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 ............................................................
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2.1.2 Nature of Inveeststmment ................... .............................................
2.1.3 Capipitatall Market .............................................. .............................
2.1.44 Random Walk ThTheooryy andnd EEfff iccieient Market Hypopothesis ........
22.1.5 Asymmmemettricic Information ......................... ....................................
2.1.1.66 GoGoogle TTrerends ................................................................................
2.2.1.1.77 LiLiquidity .......................................................................................
2.1..88 Return and Risk ............................................................................
22.1.9 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 ...................................................................
2.2 2 Previous Research .......................................................................................
2.2.33 HyHypop theses .................................................................................................
CHCHAPA TEERR IIIIII: RRESESEAEARRCH MEMETHTHODODOLOLOGGYY.............................................
3.1. PoP pup latiionon and Sample ...................................................... .......................
3.2. Data ......................................................................................................
3.2.1 Data Collection meethod ............................................................
3.3. Research Variables ...............................................................................
3 3 1 Type of Variable
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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
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4.1 Descriptive Statistic ................................................................................
4.2 Hypothesis TTeesting ...............................................................................
4.3 Interprprretations of Hypottheh sisis TeTeststining g ....................................................
44.3.1 Resultlt foror HHypothesis number 11 ....................................................
4.3.3.22 ReResult fforor HHypothesis number 2 .....................................................
4.4.3.3.33 ReResult for Hypothesis number 3 ............................................. ........
4.3..44 Result for Hypothesis number 4 .................................................... 8686
CHCHAPA TETER V: CONCLUSION .......................................................................... 88
5.1. Conclusion ........................................................................................... 8888
5.2. Managerial Implication ........................................................................ 900
5.3. Limitation andnd SSuguggegeststioion for Further r ReReseseararchch .................................. 9090
SELECTED BIBLIOGRAPHY
AAPPEPENDICES
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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 ...................
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Table 1 Three Forms of Markekett EfEfficiency........................................................
Table 2 Indonesia StStoock Exchange Trading Hours ............. .............................
Table 3 India a SStock Exchange TTrar did ngn HHouoursrs ...................................................
Table 4 4 Summary off PPreeviviouo s Research ......................... ....................................
Taabble 5 Duurbrbinin WWatson n DeDecision Rules ...................................................................
Table 6 6 SaSammplee LList of India Manufacture Companies ................................ ........
Taablble 77 Sammple List of Indonesia Manufacture Companies .............. ....................
TaTablble 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 Descriptivee SStatatitiststicic TTable of Indepependndenentt VaVaririable and Contrtrolol
VaV riables in Indonesia .........................................................................................
TaTablble e 121 Descriptive Statistic Table of Dependent Variables in India ..............
TaTablble 13 DDescriiptitiveve SStatatitistic TTabablele oof f InIndedeppendentt VaVaririabablles andd controoll
Variabablele in Indiiaa ............................................................................ .......................
Table 14 Google Search Volumee Index 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
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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 ...............................
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India........................................................................ .............................................
Table 20 Price Earnininngs ratio of Manufacture Companiieses Indonesia vs.
India .................................................................................... ............................. .................
Table 2121 Ages of Mananufufacactut re Companies Inddonnesesiaia vvss. India ......................
Taabble 22 CCororrerelalattion MMatatririx for Manufacture Comppananies in IIndndononese ia ..........
Table 2323 CCorrelalattion Matrix for Manufacture Companies in IIndn ia ......................
Taablble 224 CChhow test result for hypothesis 1a ..................................... ...................
TaTablble 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 hyhypopoththesesisis 11b using fixed d efeffefectct ..........................................
TaT ble 29 Result for hypothesis 2a ussining g ccommon model ...............................
TaTablble e 303 Chow test result for hypothesis 2b ......................................................
TaTablble 31 HHausman ttesest t fofor hypoththesesisis 22b b ..............................................................
Tablle e 3232 Result t fofor hypothesis 2b b usu 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
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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 ...................................................
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Figure 1 Development of Interneet t uusers in Indonesia and Indndiaia In the year 1990-2010122 .......................................................................................
Figure 2 Patttetern of internet usersrs in n InIndodonenesisia...................................................
Figuree 33 Graph of GoGoogoglele Trends for ASII stockck tticickekerr in Indonesia iin n theyearr 22012 ................. ..................................................................................................... ....
FFigure 44 GGraraphph of GoGoogle Trends for “Ades” keywords inin Indononesesiaia in theyear 2200005-5-220122.........................................................................................................
Fiigugure 5 GGrraph of Google Trends for “Ades” regional interest ses archch iinn InIndodonnesia a in the year 2005-2012 ...........................................................................
FiFiggure 66 Graph of Google Trends for “Ades” related searches termms inn Indoneesia in the year 2005-2012 .....................................................................
Figuree 7 Indonesia Capital Market Structure ...................................................
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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: Sampplele LList of Indonesia Manufacturing CComompanies
Appendix 3:: NNumber of Manufafactc uru ining g CoCompm ananies Sample in InIndod nesia
Appendndiix 4: Numberr of f MaM nufacturing Compannieies s SaSammple in India
ApAppendix 55:: DeDescs riptivvee StStatistic Table of Dependedentnt Variablbleses iin n Indonesisia
Appendndixix 66: Deesscriptive Statistic Table of Dependent Variablbles in InIndidiaa
ApAppep dndix 77: Descriptive Statistic Table of Dependent Variables iin n Indodonenesia
ApAppep 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 VoVolulumeme oof Manufacturree CoCompmpananieies Indonesia vsvs. IIndia
ApA pendix 11: Standard Deviation ofof MMananufacture Companies Indonesia vs. IIndndiaia
ApAppeendndix 12: Return of Manufacture Companies Indonesia vs. India
ApAppependix 1133: SSiize ofof MMananufacturere CComompapaninies Inddononesesiaia vs. II dndiia
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 Manufacture CCommppanies Indonesia vs. India
Appendix 17: Correlation Matrix for MaM nufacture Companies in Indonesia
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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 hyhypothesis 11bb
Appendix 23: Resulultt ffor hypothesis 1b using fixed effectct
Appendix 24:4: Result for hypothheesisis 22a ususining g coommm on model
Appendndiix 25: Chow tetestst rese ult for hypothesis 22bb
ApAppendix 226:6: HHaua smann tteest for hypothesis 2b
Appendndixix 227: RReesult for hypothesis 2b using fixed effect
ApAppep dndix 2288: Chow test result for hypothesis 3a
ApAppep 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: Googlg ee seseararchch vvololume index mamanunufafactctururee companies inn IIndndia
ApA pendix 33: Trading volume of mananuffacacture companies in India
ApAppeendndix 34: Return volatility of manufacture companies in India
ApAppependix 3355: RR teturrnn ofof mmanufacctuturere ccomompapanies 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 ratioo of manuffacture companies in India
Appendix 39: Age of manufacturing g commpanies in India
Appendix 40: Google search volume innddex of manufacture companies in Indonesia
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: Pricee eearnings ratio of manufacture compapanin es in Indonesia
Appendix 47:7: Age of manufacturure cocompmpananieies inn 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 IIchaha PPusu pip taa SSari
SStudent ID Number: 10 1212 11848 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 beb 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 volummeeindex ffrom Gooooglglee ttrends. Thhisis rresearch ususes secondad ryry ddata a and processed d byby regression analysis. The samples araree gaththerer ded from Indonesia stock exchangee aandnd InIndia stock exchange. The result off ththis research concludes that the inveveststororss’ ata tetentn ion that measured using Google search volume index is signgniificicananttly ininflflueu ncceded tthehe sstotockck lliqiquiuididityty and return volatitililityty ooff mamanunuffacactuturere commpapaninieses inffffInIndodonenesisia.a. MeMeananwhwhililee ththe e reresusultlt fforor IInddiaia sshohowsws tthahat InInveveststorors’s’ aattttenentitioon hhaas only sisigngnifificicantly influeuencnceded thehe rreteturn vovolalatitililitty of mamanunufactcturureses companieses.
Keywords: Investors’ attention, rreturn, liquuidity, return volatility, Google trends