Peran sentimen investor terhadap kinerja indeks dan saham individual di Bursa Efek Indonesia

Roselani, Martina (2017) Peran sentimen investor terhadap kinerja indeks dan saham individual di Bursa Efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini bertujuan untuk mencari sentimen investor terhadap pengaruh dan perubahan harga saham di Indoensia pada perusahaan yang tercatat di Bursa Efek Indonesia (BEI) dari Januari 2004 - Maret 2017. Sentimen investor ini menggunakan indikator variabel independen berupa 12 Indeks Harga Saham Gabungan dan sampel perusahaan selama 12 tahun 3 bulan dari Januari 2004 - Maret 2017 dengan total 20 perusahaan. Penelitian dilakukan dengan menggunakan regresi time series melalui pengujian Durbin Watson dan Breusch-Godfrey Serial Correlation LM Test. Hasil penelitian ini dengan menggunakan Principal Component Analysis ditemukan bahwa peran sentimen investor dapat menjelaskan kinerja indeks dan saham individual yang tercatat di Bursa Efek Indonesia (BEI) dari Januari 2004 – Maret 2017 / This study aims to determine the effect of investor sentiment and Trading Volume to the stock prices at the premises of companies listed on the Indonesian Stock Exchange (BEI) in 2004 until March 2017. Investor Sentiment of this study contains 12 indicators of independent variables such as the Composite Stock Price Index and stock of individual companies during 12 years 3 months from January 2004 to March 2017 with a total of 20 companies. Secondary data was taken from the monthly quantitative data of each company. By using time series regression through testing Durbin Watson and Breusch-Godfrey Serial Correlation LM Test. The results of this study, it is found that with The Principal Component Analysis has a significant effect, which is that investor sentiment can explains the Index and individual stock that listed on the Indonesia Stock Exchange (IDX) from January 2004 - March 2017

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