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"Disertasi ini menginvestigasi apakah investor individual sadar akan adanya stock split dan apakah rasio split yang lebih tinggi (sinyal informasi privat yang lebih kuat) menurunkan tingkat disposition effect. Penelitian ini menggunakan data kejadian stock split dan data transaksi investor di Bursa Efek Indonesia dari Januari 2004 hingga Desember 2017. Kami mengukur kesadaran investor individual menggunakan seberapa banyak transaksi diinisiasi oleh pembeli. Untuk menguji pengaruh sinyal stock split terhadap disposition effect, kami melakukan regresi atas tingkat imbal hasil masa lalu terhadap seberapa banyak transaksi diinisiasi oleh penjual. Kami menemukan bahwa investor individual sadar akan adanya stock split, terlebih saat rasio split-nya tinggi. Selain itu, stock split menurunkan tingkat disposition effect. Semakin tinggi rasio split, maka tingkat disposition effect akan semakin lemah.

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This dissertation investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition effect. This study employs stock split events and transaction data in the Indonesia Stock Exchange (IDX) from January 2004 to December 2017. We measure individual investors’ attention using buy-initiated trades. To test the effect of split signal on disposition effect, we regress individual investors’ sell-initiated trades on past stock returns. We find that individual investors are attentive to stock splits, especially when stock split ratios are high. In turn, stock splits tend to weaken the disposition effect. The higher the stock split ratios, the weaker the disposition effect."

"[ABSTRAKPenelitian ini bertujuan untuk menguji pengaruh perhatian investor terhadaplikuiditas dan volatilitas saham di ASEAN-5. Perhatian investor di proksikandengan menggunakan aplikasi Google Trends dan ditampilkan dalam bentukGoogle Search Volume (GSV). Pengujian dilakukan dengan menggunakananalisis regresi data panel dengan model Fixed Effect dan pemilihan panel optionSeemingly Unrelated Regression (SUR) selama periode 2010 sampai dengan2014. Hasil penelitian ini membuktikan bahwa perhatian investor berpengaruhsecara signifikan terhadap likuiditas serta volatilitas saham di ASEAN-5. Padaakhirnya penelitian ini mengantarkan kita pada sebuah konklusi dimana pencarianinformasi yang tinggi mampu menurunkan illikuiditas suatu saham dikarenakandapat mengurangi asimetri informasi yang terjadi antara informed investor danun-informed investor. Sehingga dengan meningkatnya likuiditas suatu sahammaka akan berimplikasi pada volatilitas saham yang diperdagangkan.

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ABSTRACTThe objective of this research is to analyze the effect of investor attention on stockliquidity and volatility in ASEAN-5. Investor attention exclusively provided byGoogle Search Volume in the Google Trends application. This research uses paneldata regression analysis with Fixed Effect model and uses panel option SeeminglyUnrelated Regression (SUR) during the period from 2010 to 2014. The result ofthis research shows that investor attention significantly influence stock liquidityand volatility in ASEAN-5. Ultimately, these results lead us to a conclusion, thatthe high search of online information can reduce stock illiquidity because investorattention is one of the efforts to reduce the asymmetry information betweeninformed investor and un-informed investor. Therfore, the increasing of theliquidity on a stock will affect the volatility of share trade.;The objective of this research is to analyze the effect of investor attention on stockliquidity and volatility in ASEAN-5. Investor attention exclusively provided byGoogle Search Volume in the Google Trends application. This research uses paneldata regression analysis with Fixed Effect model and uses panel option SeeminglyUnrelated Regression (SUR) during the period from 2010 to 2014. The result ofthis research shows that investor attention significantly influence stock liquidityand volatility in ASEAN-5. Ultimately, these results lead us to a conclusion, thatthe high search of online information can reduce stock illiquidity because investorattention is one of the efforts to reduce the asymmetry information betweeninformed investor and un-informed investor. Therfore, the increasing of theliquidity on a stock will affect the volatility of share trade., The objective of this research is to analyze the effect of investor attention on stockliquidity and volatility in ASEAN-5. Investor attention exclusively provided byGoogle Search Volume in the Google Trends application. This research uses paneldata regression analysis with Fixed Effect model and uses panel option SeeminglyUnrelated Regression (SUR) during the period from 2010 to 2014. The result ofthis research shows that investor attention significantly influence stock liquidityand volatility in ASEAN-5. Ultimately, these results lead us to a conclusion, thatthe high search of online information can reduce stock illiquidity because investorattention is one of the efforts to reduce the asymmetry information betweeninformed investor and un-informed investor. Therfore, the increasing of theliquidity on a stock will affect the volatility of share trade.]"

"Penelitian ini bertujuan untuk menelaah pengaruh investor attention dan variansi investor attention terhadap tingkat abnormal return pasar modal Indonesia untuk kasus indeks Bisnis-27 dan LQ-45 pada periode 2010 sampai dengan 2017, dan untuk menelaah hubungan Granger causality antara investor attention dan tingkat abnormal return . Penelitian ini menggunakan Google SVI sebagai proksi untuk investor attention. Analisis OLS digunakan pada 41 sampel saham yang terdaftar di indeks Bisnis-27 dan LQ-45 dari periode 2010 sampai dengan periode 2017. Penelitian ini menghasilkan 4 empat temuan. Yang pertama, investor attention teruji signifikan mempengaruhi tingkat secara positif untuk sampel saham yang terdaftar di indeks Bisnis 27-dan indeks LQ-45. Yang kedua, dengan membandingkan peningkatan adjusted R-squared pada indeks Bisnis-27 dan LQ-45, didemonstrasikan bahwa investor attention dapat lebih menjelaskan abnormal return pada saham-saham yang terdaftar di indeks Bisnis-27. Yang ketiga, dengan menguji pengaruh variansi investor attention terhadap abnormal return sampai dengan minggu keempat, ditunjukkan adanya tren penurunan yang sangat signifikan untuk nilai R-squared dan jumlah saham yang signifikan dari minggu pertama ke minggu-minggu setelahnya. Terakhir, dari pengujian hubungan granger causality antara variabel SVI dan variabel abnormal return terdapat hubungan granger causality yang bervariasi.

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This paper aims to investigate the impact of investor attention and the variations of investor attention on the level of abnormal return in the Indonesian stock market and the Granger causality relationship between investor attention and abnormal return. The OLS method is applied to a sample of 41 stocks that are registered on the Bisnis 27 dan LQ 45 index during the period of 2010 2017. This paper have four important findings. Firstly, investor attention positively impacts abnormal return significantly for the stocks that are registered on the Bisnis 27 and LQ 45 index. Secondly, by comparing the increase of adjusted R squared between the two index, it is found that investor attention can explain the abnormal return of stocks that are listed on the Bisnis 27 index more than it explains the stocks that are listed in the LQ 45 index. Thirdly, by investigating the impact of variations of investor attention on abnormal return up until the four week interval, it is shown that there is a significant downward trend for both the R squared and the number of significant stocks that are influenced by investor attention. Lastly, the granger causality test between investor attention and abnormal return resulted in a varying result."

"Penelitian ini bertujuan untuk melihat pengaruh dari perhatian investor dalam transaksi merger dan akuisisi dengan metode stock-swap pada saham perusahaan pengakuisisi dari perusahaan Indonesia di periode 2008 ndash; 2017. Metode stock-swap banyak mengindikasikan adanya kerugian pengakuisisi pada periode pengumuman, hal ini terutama dipengaruhi perhatian investor terhadap saham pengakuisisi yang menggunakan sahamnya yang mengalami overvaluasi dalam transaksi.Temuan dari penelitian ini yang dilakukan menggunakan 128 merger dan akuisisi atas perusahaan di Indonesia selama periode 2008 2017 yang menggunakan metode pembayaran kas dan saham menunjukkan bahwa perusahaan yang menggunakan sahamnya yang terpapar oleh perhatian investor yang rendah, tidak mengalami kerugian di periode pengumuman dibandingkan dengan yang terpapar perhatian investor tinggi atau menggunakan kas sebagai metode pembayaran.Penggunaan saham, penggunaan saham dengan perhatian investor yang rendah, dan penggunaan saham dengan perhatian investor yang rendah dan mengalami overvaluasi memiliki pengaruh yang positif terhadap return abnormal dari saham pengakusisi di periode pengumuman yang mengurangi biaya transaksi terhadap target. Hasil penelitian ini juga dipengaruhi oleh fakta bahwa nilai return abnormal di pasar saham di negara negara Asia lebih tinggi dibandingkan pasar saham di negara negara di Amerika dan Eropa.

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This study aims to investigate the effects of Investor Attention in Stock Swap Mergers and Acquisition on Acquirers Stock in Acquiring Indonesian Firms for Periods 2008 2017. Stock financed mergers and acquisition or stock swap mergers and acquisition indicates significant announce period losses for acquirers.

The findings in this research done with 128 mergers and acquisitions of Indonesian firms done in the period of 2008 ndash 2017 which uses cash or stock as payment shows that acquirers using their overvalued stock that are subject to limited investor attention do not experience significant announce period losses compared to those that are subject to higher investor attention and done with cash as payment.

The use of stock, stock with limited investor attention, and overvalued stock with limited investor attention has a positive effect on announcement period abnormal returns of acquirer stock therefore lessening the amount paid to its target. The findings in this research is also effected by the fact that abnormal returns in Asian stock markets are higher than those in American and European markets."