ANALISA PENGARUH SENTIMEN INVESTOR TERHADAP TINGKAT PENGEMBALIAN SAHAM PADA PASAR AMERIKA SERIKAT
DOI:
https://doi.org/10.35590/jeb.v9i2.4921Keywords:
Sentimen Investor, Pengembalian Saham, S&P 500, Indeks Sentimen Baker-Wurgler, CCIAbstract
Di tengah pandemi, banyak orang kehilangan pekerjaan, berada dalam posisi untuk diberhentikan, atau tidak dapat melanjutkan aktivitas yang berupa sumber pendapatan mereka. Ditambah lagi faktor dimana masyarakat diwajibkan untuk tetap tinggal di rumah dalam daya memperlambat tingkat penyebaran virus, tentunya mereka akan mencoba mencari sumber pendapatan alternatif. Investasi adalah salah satu alternatif yang dapat dilakukan dari kenyamanan rumah seseorang. Dikarenakan popularitasnya baru-baru ini, terdapat gelombang investor baru yang memasuki pasar saham. Investor baru diketahui rentan terhadap pengambilan keputusan berbasis sentimen. Sentimen investor sulit diukur karena merupakan konsep yang cukup abstrak. Penelitian ini mendekonstruksi proksi indeks sentimen Baker-Wurgler menjadi variabel individual yaitu closed-end fund discount, Number IPO, IPO first-day return, equity issues, dan dividend premium bersama dengan indeks kepercayaan konsumen untuk menentukan signifikansinya terhadap return saham, dimana regresi ini dikontrol oleh variabel spesifik perusahaan seperti ukuran perusahaan, rasio book to market, leverage, ROE dan ROA. Studi ini menemukan jumlah IPO dan diskon dana tertutup memiliki korelasi yang signifikan dengan return saham, serta premi dividen berkorelasi negatif dengan return saham. Sementara masalah ekuitas, return hari pertama IPO dan indeks kepercayaan pelanggan sebagian besar tidak signifikan terhadap return saham.
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