Umi Murtini, Victor Frannata F Saha

Abnormal Return: Sentimen Investor Saat Bearish dan Bullish di Bursa Efek Indonesia

Introduction

Abnormal return: sentimen investor saat bearish dan bullish di bursa efek indonesia. Telusuri pengaruh sentimen investor terhadap abnormal return saham saat pasar bearish dan bullish di Bursa Efek Indonesia. Riset behavioral finance menganalisis perusahaan big cap di IDX.

Abstract

Penelitian ini bertujuan untuk menguji pengaruh sentimen investor terhadap abnormal return saham dengan kondisi pasar sebagai variabel moderasi. Obyek penelitian digunakan perusahaan berkapitalisasi besar yang terdaftar di Bursa Efek Indonesia periode 2021–2025. Pengujian dilakukan menggunakan regresi moderasi dengan data panel. Data diperoleh dari Yahoo Finance. Sentimen investor diproksi menggunakan volume perdagangan saham, kondisi pasar diukur menggunakan variabel dummy. Abnormal return dihitung menggunakan selisih return aktual dan return pasar. Hasil penelitian menunjukkan bahwa sentimen investor berpengaruh positif terhadap abnormal return, sedangkan kondisi pasar berpengaruh negatif terhadap abnormal return. Ko`ndisi pasar terbukti mampu memoderasi pengaruh sentimen investor terhadap abnormal return. Pengaruh sentimen investor bersifat dinamis dan bergantung pada fase pasar yang sedang berlangsung. Penelitian ini memberikan kontribusi empiris dalam literatur behavioral finance pada pasar berkembang dengan menunjukkan bahwa pembentukan abnormal return saham dipengaruhi oleh interaksi antara faktor perilaku investor dan dinamika kondisi pasar.

Review

This study investigates the intricate relationship between investor sentiment and abnormal stock returns, specifically examining how market conditions (bearish versus bullish) moderate this influence within the Indonesian Stock Exchange. Utilizing a panel data approach with moderated regression, the authors analyze large capitalization companies from 2021 to 2025, employing stock trading volume as a proxy for investor sentiment and a dummy variable for market conditions. The core findings indicate a positive direct effect of investor sentiment on abnormal returns, a negative effect of market conditions, and crucially, that market conditions significantly moderate the sentiment-return relationship, suggesting the dynamic nature of investor behavior's impact across different market phases. The research offers a valuable contribution to the growing body of behavioral finance literature, particularly in the context of emerging markets like Indonesia. By explicitly incorporating market conditions as a moderating variable, the study moves beyond simple linear relationships, providing a more nuanced understanding of how investor sentiment translates into abnormal returns under varying market environments. This methodological choice to use moderated regression with panel data is appropriate for capturing the hypothesized dynamic interplay. The focus on large-cap firms in an emerging market offers specific insights for investors and policymakers in such economies, where behavioral biases might be more pronounced or interact differently with market structures compared to developed markets. While the abstract presents a compelling study design and significant findings, the full paper would benefit from further clarification on certain aspects. Specifically, a more detailed explanation of how "large capitalization companies" are defined and selected would enhance replicability. Additionally, the operationalization of the "dummy variable" for market conditions (i.e., the precise criteria for classifying bullish versus bearish phases) is crucial for understanding the precision of the moderation analysis. The stated research period extending to 2025 implies either a forecasting component or a specific data collection strategy that requires elaboration. Nevertheless, this study provides a strong empirical foundation, and its findings are highly relevant for understanding the complex drivers of abnormal returns in emerging markets.

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