Impact of Social Media-Based Retail Investor Activity and Sentiment on Small-Cap Stock Behavior in Bali
Abstract
The growing participation of retail investors in social media communities highlights the need to understand how their activities and sentiments influence stock market dynamics. This study aims to examine the effect of investor activity and sentiment on social media on trading volume and price volatility of small-cap stocks. A quantitative approach was employed, using a survey of 200 respondents actively involved in online investment communities. Data were analyzed using multiple linear regression. The results indicate that both investor activity and sentiment have a positive relationship with trading volume and price volatility. The regression models explain more than half of the variation in the dependent variables. This study concludes that social media plays a critical role as a space for shaping the behavior and investment decisions of retail investors in the digital stock market environment.
Keywords: Retail Investor, Social Media, Sentiment, Trading Volume, Price Volatility
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References
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Zhang, R., Xiong, X., & Zhang, Y. (2019). Social informedness and investor behavior: Evidence from online stock forums. Journal of Economic Behavior & Organization, 158(1), 269–289. https://www.researchgate.net/publication/370990582_Social_informedness_and_investor_sentiment_in_the_GameStop_short_squeeze
Ajzen, I. (1991). The Theory Of Planned Behavior. Organizational Behavior and Human Decision Processes, 50(2), 179–211. https://doi.org/10.1016/0749-5978(91)90020-T
Allen, F., Haas, M., Nowak, E., Pirovano, M., & Tengulov, A. (2022). Squeezing shorts through social news platforms. https://bit.ly/3K8SfT2
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129–152. https://doi.org/10.1257/jep.21.2.129
Barber, B. M., Odean, T., & Zhu, N. (2022). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors. The Review of Financial Studies, 35(3), 895–934. https://doi.org/10.1093/rfs/hhaa137
Bollen, J., Mao, H., & Zeng, X. (2011). Twitter mood predicts the stock market. Journal of Computational Science, 2(1), 1–8. https://doi.org/10.1016/j.jocs.2010.12.007
Caron, M., Gulenko, M., & Muller, O. (2021). To the moon! Analyzing the community of degenerates engaged in the surge of the GME stock. Proceedings of the 2021 International Conference on Information Systems.
Caron, W. N., He, Z., & Wang, Y. (2021). Retail investor activity and market response: Evidence from online discussion forums. Journal of Behavioral Finance, 33(1).
Dahar, U. T., Nurfitriana, & Aristi, M. D. (2024). Determinan Minat Mahasiswa Berinvestasi Saham di Pasar Modal. EKOMA:Jurnal Ekonomi, Manajemen, Akuntansi, 3(6), 533–543. https://doi.org/10.56799/ekoma.v3i6.4934
Dixit, D. K. (2024). Investor Psychology and Market Volatility: Unpacking Behavioral Finance Insights. Journal of Informatics Education and Research, 4(2), 1707–1715. https://www.researchgate.net/publication/386364082_Investor_Psychology_and_Market_Volatility_Unpacking_Behavioral_Finance_Insights
Gao, Y., Zhao, C., Sun, B., & Zhao, W. (2022). Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets. Financial Innovation, 8(77), v. https://doi.org/10.1186/s40854-022-00381-2
Ghozali, I. (2016). Aplikasi analisis Multivariete dengan program IBM SPSS 23 (edisi 8). Cetakan ke VIII. Semarang: Badan Penerbit Universitas Diponegoro, 96.
Giglio, S., Maggiori, M., Stroebel, J., & Utkus, S. (2020). Inside the Mind of a Stock Market Crash. General Economics, 1(1), 1–22. https://doi.org/10.48550/arXiv.2004.01831
Hoang, A. P., & Kauffman, R. J. (2018). Content sampling, household informedness, and the consumption of digital information goods. Journal of Management Information Systems, 35(2), 575–609. https://doi.org/10.1080/07421222.2018.1451958
Istiqomah, I., Wardhani, D. K., Supratiwi, W., & Ratnawati, T. (2021). Investor sentiment and stock price: Empirical evidence from Chinese SEOs. E-Jurnal Akuntansi, 31(5), 1277–1288. https://doi.org/10.24843/EJA.2021.v31.i05.p15
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
Kim, K., Lee, S.-Y. T., & Kauffman, R. J. (2023). Social informedness and investor sentiment in the GameStop short squeeze. Electronic Markets, 33(1), 1–25. https://doi.org/10.1007/s12525-023-00632-9
Li, T., Kauffman, R. J., Heck, E. van, Vervest, P., & Dellaert, B. G. C. (2014). Consumer Informedness and Firm Information Strategy. Information Systems Research, 25(2), 345–363. https://doi.org/10.1287/isre.2014.0521
Nurjanah, A., Zamzam, I., & Zainuddin, Z. (2024). Mengungkap Gejolak Pasar: Analisis Volatilitas Saham dan Volume Perdagangan LQ45 Sebelum dan Selama Pandemi Covid-19. Jurnal Ekonomi Bisnis, Manajemen Dan Akuntansi (Jebma), 4(1), 130–140. https://doi.org/10.47709/jebma.v4i1.3533
Nurlaily, L., Yulian, F., & Fertha, F. (2023). Faktor yang mempengaruhi Harga Saham pada Perusahaan Sektor Teknologi di Bursa Efek Indonesia. Jurnal Ilmiah Fokus Ekonomi Manajemen Bisnis & Akuntansi (EMBA), 2(2), 168–178. https://doi.org/10.34152/emba.v2i02.819
Pedersen, L. H. (2022). Game on: Social networks and markets (3794616). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3794616
Pradana, M. G., Nurcahyo, A. C., & Saputro, P. H. (2020). Pengaruh Sentimen Di Sosial Media Dengan Harga Saham Perusahaan. Jurnal Ilmiah Edutic, 6(2), 67–77. https://doi.org/10.21107/edutic.v6i2.6992
Rao, T., & Srivastava, S. (2012). Twitter Sentiment Analysis: How To Hedge Your Bets In The Stock Markets. Computational Engineering, Finance, and Science, 1(1), 1–22. https://doi.org/10.48550/arXiv.1212.1107
Riski, T. R., Sulistianingsih, H., & Maivalinda, M. (2024). Literasi Keuangan, Media Sosial dan Perilaku investasi Instrument Keuangan Syariah Generasi Muda dikota Padang. Jurnal Ekonomi Dan Bisnis Dharma Andalas, 26(1), 176–189. https://doi.org/10.47233/jebd.v26i1.1244
Shiller, R. J. (2020). Narrative Economics: How Stories Go Viral and Drive Major Economic Events. https://doi.org/10.3386/w23075
Smith, H. J., Dinev, T., & Xu, H. (2011). Information privacy research: an interdisciplinary review. MIS Quarterly, 35(4), 989–1016. https://doi.org/10.2307/41409970
Soedarbe, A. P., Ma’arif, M. R., Murdiyanto, A. W., & Badawi, M. A. A. Al. (2021). Analisis Sentimen Pergerakan Harga Saham Sebuah Perusahaan di Media Sosial Twitter. Teknomatika: Jurnal Informatika & Komputer, 14(2), 64–68. https://doi.org/10.30989/teknomatika.v14i2.1129
Sugiyono. (2017). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta, CV.
Surowiecki, J. (2004). The Wisdom of Crowds: Why the Many Are Smarter Than the Few and How Collective Wisdom Shapes Business, Economies, Societies and Nations.
Zhang, R., Xiong, X., & Zhang, Y. (2019). Social informedness and investor behavior: Evidence from online stock forums. Journal of Economic Behavior & Organization, 158(1), 269–289. https://www.researchgate.net/publication/370990582_Social_informedness_and_investor_sentiment_in_the_GameStop_short_squeeze
Published
2025-07-11
How to Cite
DANANJAYA, I Gusti Ngurah Agung; PRAYUDI, Made Aristia; WIGUNA, I Gd Nandra Hary.
Impact of Social Media-Based Retail Investor Activity and Sentiment on Small-Cap Stock Behavior in Bali.
E-Jurnal Akuntansi, [S.l.], v. 35, n. 7, july 2025.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/128652>. Date accessed: 14 oct. 2025.
doi: https://doi.org/10.24843/EJA.2025.v35.i07.p19.
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