Microblogging Sentiment Investor, Return and Volatility in the COVID-19 Era: Indonesian Stock Exchange

• 발행기관: 한국유통과학회
• 저자명: Putri FARISKA Nugraha NUGRAHA Ika PUTERA Mochamad Malik Akbar ROHANDI Putri FARISKA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 61~67쪽, 전체 7쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

The covid-19 pandemic scenario caused the most extensive economic shocks the world has experienced in decades. Maintaining financial performance and economic stability is essential during the pandemic period. In these conditions, where movement is severely restricted, media consumption is considered to be increasing. The social media platform is one of the media online used by the public as a source of information and also expressing their sentiment, including individual investors in the capital market as social media users. Twitter is one of the social media microblogging platforms used by individual investors to share their opinion and get information. This study aims to determine whether microblogging sentiment investors can predict the capital market during pandemics. To analyze microblogging sentiment investors, we classified sentiment using the phyton text mining algorithm and Naïve Bayesian text classification into level positive, negative, and neutral from November 2019 to November 2020. This study was on 68 listed companies on the Indonesia stock exchange. A Vector Autoregression and Impulse Response is applied to capture short and long-term impacts along with a causal relationship. We found that microblogging sentiment investor has a significant impact on stock returns and volatility and vice-versa. Also, the response due to shocks is convergent, and microblogging investors in Indonesia are categorized as a “news-watcher” investor.

목차

1. Introduction

2. Literature Review

3. Research Method

4. Results and Discussion

5. Conclusions

References

키워드

Microblogging Investor Sentiment Volatility Return VAR Naï ve Bayesian