Analysis of Influence of Investor Sentiment and Their Relationship with Company Characteristics on Stock Returns on Jakarta Islamic Index for Period of 2017 – 2020

Authors : Chrisdian Sutanto; Dr. Sudjono, M.Acc

Volume/Issue : Volume 6 - 2021, Issue 7 - July

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In today's modern era, investment is no longer a foreign thing for everyone. This is due to the desire of each individual to be able to meet the needs of life in the future. When talking about investment, it will certainly be related to the level of return obtained as a return on investment and it is important for investors to know what factors affect the level of stock returns in order to obtain the maximum return. This study was conducted to test the effect of investor sentiment on stock returns by involving company characteristics factors in the Jakarta Islamic Index stock for the period 2017-2020. Investor sentiment was unique because it involves investors' financial behaviour which was represented by 4 components in technical analysis, namely the relative strength index (RSI), psychological line index (PLI), logarithm trading volume (LTV) and adjusted turnover rate (ATR). company characteristics are represented by stock prices as one of the sensitive factors for investors. This study used a sample of 13 companies listed on the Jakarta Islamic Index which were analysed using the purposive sampling method where the composition of the company sample was taken from companies that were consistently on the Jakarta Islamic Index. The analysis used in this study was logistic regression analysis. This analysis aimed to test whether there was an influence between investor sentiment (RSI, PLI, LTV, ATR) and the sentiment index on stock returns and the relationship between stock prices in influencing the strength and weakness of the influence between the sentiment index and stock returns. The results showed that there wasan influence between each component of investor sentiment (RSI and LTV) and the sentiment index on the probability of stock returns on the Indonesia Stock Exchange for the period 2017-2020. Meanwhile, the PLI and ATR components had no effect on the probability of stock returns. In addition, stock prices also affected the strength and weakness of the influence between investor sentiment and the probability of stock returns.

Keywords : Investor Sentiment; Stock Returns; RSI; PLI; LTV; ATR


Paper Submission Last Date
31 - October - 2023

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