INVESTOR SENTIMENT AND STOCK RETURNS DURING COVID-19 PANDEMIC IN INDONESIA

Pertiwi, Dewi and Kusumawardhani, Adhityawati and Basana, Sautma Ronni (2021) INVESTOR SENTIMENT AND STOCK RETURNS DURING COVID-19 PANDEMIC IN INDONESIA. [UNSPECIFIED]

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Abstract

The Covid-19 pandemic had an impact on financial markets, included Indonesian capital market. In addition, the capital market gave benefits to investor and contributed to economic development in Indonesia. The COVID-19 pandemic has caused concern for stock market investors. However, companies had a high interest to enter the stock market. Therefore, the factor that affected investor sentiment need to identified as the causes of stock price fluctuations. This study aimed to predict investor sentiment, and macroeconomics (interest rates, and inflation) on stock returns during the COVID-19 pandemic in Indonesia. Investor sentiment interpreted as the tendency of investors to speculate. Investors were overly optimistic or pessimistic about an investment risk could influence stock prices for a significant period of time. The Covid-19 pandemic made investors pessimistic about the future of companies in Indonesia. This study used stock return variable measured by the monthly Jakarta Composite return index data. Investor sentiment variable proxied by monthly consumer confidence index data. Macroeconomics variables measured by monthly interest rates, and monthly inflation during March 2020 � April 2021. This research used the Classical Linier Regression Model (CLRM) with Augmented Dickey-Fuller (ADF) Test and Wald Test. Results revealed, investor sentiment had a significant impact on the stock returns during the covid-19 pandemic. However, interest rate and inflation had not a significant effect on the stock returns during this period. The government, financial institutions, and investors could consider the results of this study before made a decision. However, this study was limited by its short period.

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