ANALISIS DAMPAK SENTIMEN INVESTOR TERHADAP RETURN SAHAM MENGGUNAKAN EGARCH: STUDI KASUS PADA BANK RAKYAT INDONESIA, TBK.

Suhendro Suhendro (Universitas Islam Batik Surakarta)
Purnama Siddi (Universitas Islam Batik Surakarta)
Yuli Chomsatu Samrotun (Universitas Islam Batik Surakarta)

Jurnal Pendidikan Ekonomi dan Akuntansi
Vol 16, No 2 (2023)

Volatility reflects fluctuations in stock prices within a certain period. The purpose of this study was to examine the effect of market volatility and psychological sentiment on company stock return. This study uses a sample of PT Bank Rakyat Indonesia, Tbk as a company with good performance and a large number of investors on the Indonesia Stock Exchange. This study uses multiple regression based on daily data for 2015-2021 analyzed using Exponential GARCH. This study reveals that market volatility indicated by the LQ45 index has a significant effect on stock return volatility. Meanwhile, market sentiment as measured by index volatility has no effect on stock return.Keywords: volatility; psychological sentiment; stock prices