PENGARUH SENTIMEN INVESTOR TERHADAPRETURNPADA VALUE DAN GROWTH STOCKS

Suchi, Gamella Putri (2023) PENGARUH SENTIMEN INVESTOR TERHADAPRETURNPADA VALUE DAN GROWTH STOCKS. Masters thesis, Universitas Andalas.

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Abstract

PENGARUH SENTIMEN INVESTOR TERHADAP RETURNPADA VALUE DAN GROWTH STOCKS Thesis oleh: Suchi Gamella Putri Pembimbing: Prof. Dr. Tafdil Husni, SE, MBA dan Dr. Rida Rahim, SE, ME ABSTRAK Penelitian ini bertujuan untuk menguji pengaruh sentimen investor terhadap return padavalue dan growth stocks. Variabel independen pada penelitian ini menggunakan indeks volatilitas VIX dan indeks sentimen sebagai indikator sentimen investor. Indeks sentimen dibentuk berdasarkan proksi teknikal (relative strength index, psychological line index, volume perdagangandanadjusted turnover rate) yang disederhanakan dengan analisis komponen utama. Variabel dependen penelitian adalah return saham portofolio value dan growth stocks yang dibentuk berdasarkan rasio book to market. Tiga faktor Fama-French dipakai sebagai variabel kontrol untuk mengisolasi dampak sentimen investor dari pengaruh faktor risiko sistematis dan faktor fundamental perusahaan. Populasi pada penelitian ini adalah emiten yang terdaftar di Indeks Kompas 100 Indonesia periode Februari 2017-Januari 2023. Pengambilan sampel dilakukan dengan menggunakan metode purposive sampling sehingga didapatkan 45 emiten sampel. Penelitian ini menggunakan analisis regresi linear berganda dengan pengolahan 1.385 data harian dibantu Microsoft Excel danStata versi 13. Hasil regresi menunjukkan bahwa indeks volatilitas VIX berpengaruh negatif signifikan terhadap returnvalue dan growth stocks. Variabel indeks sentimen berpengaruh positif signifikan terhadap returnvalue stocks, namun tidak berpengaruh signifikan terhadap returngrowth stocks. Sentimen investor memiliki pengaruh signifikan lebih besar terhadap returnvalue stocks dibandingkan dengan growth stocks. Kata Kunci: Sentimen Investor, Return Saham, Indeks Volatilitas VIX, Indeks Sentimen THE IMPACT OF INVESTOR SENTIMENT ON VALUE AND GROWTH STOCKS RETURN Thesis by: Suchi Gamella Putri Advisors: Prof. Dr. Tafdil Husni, SE, MBA dan Dr. Rida Rahim, SE, ME ABSTRACT The aim of this research is to investigate the impact of investor sentiment on value and stocks return. Two investor sentiment indicators, volatility index VIX and sentiment index are used as independent variables. Technical proksies (relative strength index, psychological line index, trading volumesand adjusted turnover rate) are used to construct sentiment index using principal component analysis. The dependent variable is value and growth stocks return formed based on the book to market ratio. Three Fama-French factors are used as control variables to isolate the impact of investor sentiment from systematic risk and fundamental factors. We use companies listed on Kompas 100 index over the sample period February 2017-January 2023. The sampling technique was carried out by purposive sampling and obtained 45 companies as the research samples. The empirical analysis employs multiple regression analysis using 1.385 daily time series computed by Microsoft Excel and Stata 13. The regression results indicate that volatility index VIX has a negative significant effect on value and growth stocks return. Sentiment index has a positive and significant effect on value stocks return but does not have a significant effect on growth stocks return. Investor sentiment has a greater effect on value stocks than growth stocks. Keywords: Investor Sentiment, Stocks Return, Volatility Index VIX, Sentiment Index

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