[ABSTRAK
Penelitian 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.
ABSTRACT
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., 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.] |
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