Sentimen Investor terhadap Stock Return JII di Awal COVID-19
Abstract
The research objective is to obtain empirical evidence of the negative influence of investor sentiment on the Jakarta Islamic Index stock return at the beginning of Covid-19. The research contributes to the Islamic finance literature and its supports agency theory, behaviour finance and signaling theory. The research sample used 30 companies listed in the Jakarta Islamic Index for the first semester of 2020. The final sample is 180 observational data. Fourth classical assumption uses, and result show passed all the classical assumption. This study uses control variables such as firm size and firm age. Multiple linear regression as an analysis processed with SPSS version 23. Research findings show a significant negative effect of investor sentiment on Jakarta Islamic Index stock returns at the beginning of Covid-19. This study implicates to management, shareholders and investor.
Keywords: Investor Sentiment; Stock Return; COVID-19.
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References
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Fitri, R. (2017). Pengaruh Kebijakan Dividen, Leverage Perusahaan dan Profitabilitas terhadap Return Saham. Jurnal Ilmiah Bisnis dan Ekonomi Asia, 11(2), 32-37.
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He, Z., He, L., & Wen, F. (2019). Risk compensation and market returns: The role of investor sentiment in the stock market. Emerging Markets Finance and Trade, 55(3), 704-718.
Hudson, R., dan Muradoglu, Y. G. (2020). Personal routes into behavioural finance. Review of Behavioral Finance.
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Kusnandar, D. L., dan Bintari, V. I. (2020). Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19. Jurnal Pasar Modal dan Bisnis, 2(2), 195-202.
Laher, D. (2020). Conflicting goals in the management of microfinance institutions: an agency theory approach. Enterprise Development and Microfinance, 31(2), 113-125.
Lan, Y., Huang, Y., & Yan, C. (2020). Investor sentiment and stock price: Empirical evidence from chinese seos. Economic Modelling, 94, 703-714.
Machmuddah, Z., Utomo, S. D., Suhartono, E., Ali, S., & Ali Ghulam, W. (2020). Stock Market Reaction to COVID-19: Evidence in Customer Goods Sector with the Implication for Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(4), 99.
Made, I. L. (2020). Signifikansi Pengaruh Sentimen Pemberlakuan PSBB Terhadap Aspek Ekonomi: Pengaruh Pada Nilai Tukar Rupiah dan Stock Return (Studi Kasus Pandemi Covid-19). Jurnal Bina Akuntansi, 7(2), 223-239.
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Muhari, S. (2021). Kinerja Jakarta Islamic Index Dimasa Pandemi Covid-19 Tahun 2020. Al-Mizan: Jurnal Hukum dan Ekonomi Islam, 5(1), 60-76.
Mutiara, F. A., dan Wardhana, L. I. (2020). Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang. Performance: Jurnal Personalia, Financial, Operasional, Marketing dan Sistem Informasi, 27(2), 23-38.
Nambisan, S., Wright, M., & Feldman, M. (2019). The digital transformation of innovation and entrepreneurship: Progress, challenges and key themes. Research Policy, 48(8), 103773.
Nugroho, A. C. (2020). JII Anjlok Nyaris 6 Persen Pagi Ini, Seluruh Saham Merah. Retrieved from https://market.bisnis.com/read/20200323/7/1216766/jii-anjlok-nyaris-6-persen-pagi-ini-seluruh-saham-merah
Obeng, G. (2020). Behavioural finance; A concept or catalyst explaining distortions in investment decision. European Journal of Business and Management Research, 5(1).
Palepu, K. G., Healy, P. M., Wright, S., Bradbury, M., & Coulton, J. (2020). Business analysis and valuation: Using financial statements: Cengage AU.
Putra, P. G. A., dan Suaryana, I. G. N. A. (2019). Reaksi Pasar Atas Pengumuman Stock split. E-Jurnal Akuntansi, 27(2), 1448-1471.
Rahmawati, D. (2019). Pengaruh Laba Akuntansi dan Arus Kas Operasi Terhadap Return Saham pada Perusahaan yang Terdaftar di Jakarta Islamic Index. Akuntansi: Jurnal Akuntansi Integratif, 5(2), 109-128.
Ratnawati, T., dan Moehaditoyo, S. H. (2019). Influence Of Makro Economic, Investment Decisions, Ownership, To Risk Management, Financial Decisions, And Stock Return, Moderated By Good Financial Governance In Lq 45 Index Indonesia Stock Exchange. Archives of Business Research, 7(12), 108-115.
Ryu, D., Kim, H., & Yang, H. (2017). Investor sentiment, trading behavior and stock returns. Applied Economics Letters, 24(12), 826-830.
Ryu, D., Ryu, D., & Yang, H. (2020). Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market. Emerging Markets Finance and Trade, 56(8), 1804-1816.
Shefrin, H. (2005). A Behavioral Approach to Asset Pricing: Elsevier Academic Press.
Shrestha, N. (2020). Detecting multicollinearity in regression analysis. Am J Appl Math Stat, 8(2), 39-42.
Sugiyanto, S., dan Candra, A. (2019). Good Corporate Governance, Conservatism Accounting, Real Earnings Management, And Information Asymmetry On Share Return. Jiafe (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 4(1), 9-18.
Suharto, dan Atmoko, C. (2021). COVID-19 concerns drag down IHSG. Retrieved from https://en.antaranews.com/news/166732/covid-19-concerns-drag-down-ihsg
Ting, D. S. W., Carin, L., Dzau, V., & Wong, T. Y. (2020). Digital technology and COVID-19. Nature medicine, 26(4), 459-461.
Trichilli, Y., Abbes, M. B., & Masmoudi, A. (2020). Predicting the effect of Googling investor sentiment on islamic stock market returns. International Journal of Islamic and Middle Eastern Finance and Management.
Utami, Y. (2019). Indeks Saham Syariah Indonesia: Pergerakan Harga dari Perspektif Asimetri Informasi. Jurnal Inovasi Ekonomi, 4(02).
Uyanto, S. S. (2020). Power comparisons of five most commonly used autocorrelation tests. Pakistan Journal of Statistics and Operation Research, 119-130.
Wang, C.-C., dan Lee, W.-C. (2020). Evaluation of the normality assumption in meta-analyses. American journal of epidemiology, 189(3), 235-242.
WHO. (2020). WHO Timeline - COVID-19. Retrieved from https://www.who.int/news/item/27-04-2020-who-timeline---covid-19
Xie, F., Anderson, H. D., Chi, J., & Liao, J. (2019). Does residual state ownership increase stock return volatility? Evidence from China's secondary privatization. Journal of Banking & Finance, 100, 234-251.
Xiong, X., Meng, Y., Li, X., & Shen, D. (2020). Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence. Journal of International Financial Markets, Institutions and Money, 64, 101173.
Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38, 101872.
Yasar, B., Martin, T., & Kiessling, T. (2020). An empirical test of signalling theory. Management Research Review.
Yasmita, N. P. L., dan Widanaputra, A. A. G. P. (2018). Pengaruh Asimetri Informasi Pada Kebijakan Dividen Dengan Investment Opportunity Set Sebagai Variabel Pemoderasi. E-Jurnal Akuntansi, 22(3), 2040-2064.
Zhang, X.-q., Yuan, X.-g., & Zhang, D.-l. (2020). Research on closed-loop supply chain with competing retailers under government reward-penalty mechanism and asymmetric information. Discrete Dynamics in nature and Society, 2020.
Zhao, R. (2020). Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US. Physica A: Statistical Mechanics and its Applications, 538, 122629.
Ángeles López-Cabarcos, M., M Pérez-Pico, A., & López Perez, M. L. (2020). Investor sentiment in the theoretical field of behavioural finance. Economic research-Ekonomska istraživanja, 33(1), 0-0.
Anusakumar, S. V., Ali, R., & Wooi, H. C. (2017). The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets. Asian Academy of Management Journal of Accounting & Finance, 13(1).
Baker, M., dan Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
Bennani, H. (2020). Central bank communication in the media and investor sentiment. Journal of Economic Behavior & Organization, 176, 431-444.
Chuang, W.-J., Ouyang, L.-Y., & Lo, W.-C. (2010). The impact of investor sentiment on excess returns: A Taiwan stock market case. International Journal of Information and Management Sciences, 21(1), 13-28.
Chue, T. K., Gul, F. A., & Mian, G. M. (2019). Aggregate investor sentiment and stock return synchronicity. Journal of Banking & Finance, 108, 105628.
CNBC Indonesia. (2020). Ekonomi Terkontraksi 5,32 persen, Indonesia Resmi Resesi Teknikal. Retrieved from https://www.cnbcindonesia.com/news/20200805112627-8-177534/ekonomi-terkontraksi-532-indonesia-resmi-resesi-teknikal
Dang, H. N., dan Tran, D. M. (2019). Relationship between accrual anomaly and stock return: The case of Vietnam. The Journal of Asian Finance, Economics and Business (JAFEB), 6(4), 19-26.
Ding, W., Mazouz, K., & Wang, Q. (2019). Investor sentiment and the cross-section of stock returns: new theory and evidence. Review of Quantitative Finance and Accounting, 53(2), 493-525.
Fitri, R. (2017). Pengaruh Kebijakan Dividen, Leverage Perusahaan dan Profitabilitas terhadap Return Saham. Jurnal Ilmiah Bisnis dan Ekonomi Asia, 11(2), 32-37.
Graciela, E., Laia, M., & Munawarah, M. (2021). Pengaruh Analisis Fundamental terhadap Harga Saham Syariah Yang Tergabung di Jakarta Islamic Index (JII). Owner: Riset dan Jurnal Akuntansi, 5(1), 196-207.
Harianto, T. S. N. S., dan Andayani, A. (2017). Pengaruh Karakteristik Perusahaan Dan Good Corporate Governance Terhadap Return Saham. Jurnal Ilmu dan Riset Akuntansi (JIRA), 6(2).
He, Z., He, L., & Wen, F. (2019). Risk compensation and market returns: The role of investor sentiment in the stock market. Emerging Markets Finance and Trade, 55(3), 704-718.
Hudson, R., dan Muradoglu, Y. G. (2020). Personal routes into behavioural finance. Review of Behavioral Finance.
Jensen, M. C., dan Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of financial economics, 3(4), 305-360.
Kusnandar, D. L., dan Bintari, V. I. (2020). Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19. Jurnal Pasar Modal dan Bisnis, 2(2), 195-202.
Laher, D. (2020). Conflicting goals in the management of microfinance institutions: an agency theory approach. Enterprise Development and Microfinance, 31(2), 113-125.
Lan, Y., Huang, Y., & Yan, C. (2020). Investor sentiment and stock price: Empirical evidence from chinese seos. Economic Modelling, 94, 703-714.
Machmuddah, Z., Utomo, S. D., Suhartono, E., Ali, S., & Ali Ghulam, W. (2020). Stock Market Reaction to COVID-19: Evidence in Customer Goods Sector with the Implication for Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(4), 99.
Made, I. L. (2020). Signifikansi Pengaruh Sentimen Pemberlakuan PSBB Terhadap Aspek Ekonomi: Pengaruh Pada Nilai Tukar Rupiah dan Stock Return (Studi Kasus Pandemi Covid-19). Jurnal Bina Akuntansi, 7(2), 223-239.
Mahenthiran, S., Cademartori, D., & Gjerde, T. (2020). Mandatory Dividend Policy, Growth, Liquidity and Corporate Governance: Evidence from Chile. Review of Pacific Basin Financial Markets and Policies, 23(03), 2050025.
Muhari, S. (2021). Kinerja Jakarta Islamic Index Dimasa Pandemi Covid-19 Tahun 2020. Al-Mizan: Jurnal Hukum dan Ekonomi Islam, 5(1), 60-76.
Mutiara, F. A., dan Wardhana, L. I. (2020). Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang. Performance: Jurnal Personalia, Financial, Operasional, Marketing dan Sistem Informasi, 27(2), 23-38.
Nambisan, S., Wright, M., & Feldman, M. (2019). The digital transformation of innovation and entrepreneurship: Progress, challenges and key themes. Research Policy, 48(8), 103773.
Nugroho, A. C. (2020). JII Anjlok Nyaris 6 Persen Pagi Ini, Seluruh Saham Merah. Retrieved from https://market.bisnis.com/read/20200323/7/1216766/jii-anjlok-nyaris-6-persen-pagi-ini-seluruh-saham-merah
Obeng, G. (2020). Behavioural finance; A concept or catalyst explaining distortions in investment decision. European Journal of Business and Management Research, 5(1).
Palepu, K. G., Healy, P. M., Wright, S., Bradbury, M., & Coulton, J. (2020). Business analysis and valuation: Using financial statements: Cengage AU.
Putra, P. G. A., dan Suaryana, I. G. N. A. (2019). Reaksi Pasar Atas Pengumuman Stock split. E-Jurnal Akuntansi, 27(2), 1448-1471.
Rahmawati, D. (2019). Pengaruh Laba Akuntansi dan Arus Kas Operasi Terhadap Return Saham pada Perusahaan yang Terdaftar di Jakarta Islamic Index. Akuntansi: Jurnal Akuntansi Integratif, 5(2), 109-128.
Ratnawati, T., dan Moehaditoyo, S. H. (2019). Influence Of Makro Economic, Investment Decisions, Ownership, To Risk Management, Financial Decisions, And Stock Return, Moderated By Good Financial Governance In Lq 45 Index Indonesia Stock Exchange. Archives of Business Research, 7(12), 108-115.
Ryu, D., Kim, H., & Yang, H. (2017). Investor sentiment, trading behavior and stock returns. Applied Economics Letters, 24(12), 826-830.
Ryu, D., Ryu, D., & Yang, H. (2020). Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market. Emerging Markets Finance and Trade, 56(8), 1804-1816.
Shefrin, H. (2005). A Behavioral Approach to Asset Pricing: Elsevier Academic Press.
Shrestha, N. (2020). Detecting multicollinearity in regression analysis. Am J Appl Math Stat, 8(2), 39-42.
Sugiyanto, S., dan Candra, A. (2019). Good Corporate Governance, Conservatism Accounting, Real Earnings Management, And Information Asymmetry On Share Return. Jiafe (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 4(1), 9-18.
Suharto, dan Atmoko, C. (2021). COVID-19 concerns drag down IHSG. Retrieved from https://en.antaranews.com/news/166732/covid-19-concerns-drag-down-ihsg
Ting, D. S. W., Carin, L., Dzau, V., & Wong, T. Y. (2020). Digital technology and COVID-19. Nature medicine, 26(4), 459-461.
Trichilli, Y., Abbes, M. B., & Masmoudi, A. (2020). Predicting the effect of Googling investor sentiment on islamic stock market returns. International Journal of Islamic and Middle Eastern Finance and Management.
Utami, Y. (2019). Indeks Saham Syariah Indonesia: Pergerakan Harga dari Perspektif Asimetri Informasi. Jurnal Inovasi Ekonomi, 4(02).
Uyanto, S. S. (2020). Power comparisons of five most commonly used autocorrelation tests. Pakistan Journal of Statistics and Operation Research, 119-130.
Wang, C.-C., dan Lee, W.-C. (2020). Evaluation of the normality assumption in meta-analyses. American journal of epidemiology, 189(3), 235-242.
WHO. (2020). WHO Timeline - COVID-19. Retrieved from https://www.who.int/news/item/27-04-2020-who-timeline---covid-19
Xie, F., Anderson, H. D., Chi, J., & Liao, J. (2019). Does residual state ownership increase stock return volatility? Evidence from China's secondary privatization. Journal of Banking & Finance, 100, 234-251.
Xiong, X., Meng, Y., Li, X., & Shen, D. (2020). Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence. Journal of International Financial Markets, Institutions and Money, 64, 101173.
Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38, 101872.
Yasar, B., Martin, T., & Kiessling, T. (2020). An empirical test of signalling theory. Management Research Review.
Yasmita, N. P. L., dan Widanaputra, A. A. G. P. (2018). Pengaruh Asimetri Informasi Pada Kebijakan Dividen Dengan Investment Opportunity Set Sebagai Variabel Pemoderasi. E-Jurnal Akuntansi, 22(3), 2040-2064.
Zhang, X.-q., Yuan, X.-g., & Zhang, D.-l. (2020). Research on closed-loop supply chain with competing retailers under government reward-penalty mechanism and asymmetric information. Discrete Dynamics in nature and Society, 2020.
Zhao, R. (2020). Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US. Physica A: Statistical Mechanics and its Applications, 538, 122629.
Published
2021-05-25
How to Cite
ISTIQOMAH, Istiqomah et al.
Sentimen Investor terhadap Stock Return JII di Awal COVID-19.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 5, p. 1277-1288, may 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/70295>. Date accessed: 24 apr. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i05.p15.
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