Authors :
Chrisdian Sutanto; Dr. Sudjono, M.Acc
Volume/Issue :
Volume 6 - 2021, Issue 7 - July
Google Scholar :
http://bitly.ws/9nMw
Scribd :
https://bit.ly/3jH42MI
Abstract :
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
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