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PENGARUH GOOGLE SEARCH TRAFFIC TERHADAP RETURN, LIKUIDITAS DAN VOLATILITAS RETURN SAHAM STUDI EMPIRIS: PERUSAHAAN SEKTOR MANUFAKTUR DI BURSA EFEK INDONESIA

Penulis

Berto Usman

Pembimbing: Prof. Dr. Eduardus Tandelilin, M.B.A.


ABSTRACT: Does the online retrieval using Google’s Search engine relevant in explaining returns, liquidity and volatility of stock return in Indonesia stock exchange? The results of this study aim to answer that question. Based on the results of the analysis, the variabel of investor attention represented by Google insight had positive and significant impact on returns, liquidity and volatility of stock returns on manufacturing firms in Indonesian Stock Exchange during the period from 2009 to 2011. The hypothesis testing in this study was performed three times by using panel data regression analysis. The test result revealed that the search of online information through Google is one of the efforts to reduce the asymmetry information between informed investors and the un-informed investors. Ultimately, these results lead us to a conclusion, that the high search of information will help investors in making investment decisions that impact on liquidity improvement. Therefore, the increasing of the liquidity of a stock will affect the volatility returns of share traded.

INTISARI: Apakah pencarian informasi online dengan menggunakan Search Engine Google, relevan dalam menjelaskan return, likuiditas dan volatilitas return saham di Bursa Efek Indonesia? Hasil penelitian ini bertujuan untuk untuk menjawab pertanyaan tersebut. Berdasarkan hasil analisis yang telah dilakukan, variabel perhatian investor (investor attention) yang diproksi dengan (Google insight) berpengaruh positif dan signifikan terhadap return, likuiditas dan volatilitas return saham perusahaan sektor manufaktur di Bursa Efek Indonesia pada kurun waktu dari tahun 2009 sampai dengan 2011. Pengujian hipotesis dalam penelitian ini dilakukan sebanyak tiga kali dengan menggunakan analisis regresi data panel. Hasil pengujian secara statistik mengungkapkan bahwa upaya mencari informasi secara online yang dilakukan investor melalui Google, merupakan salah satu upaya yang dilakukan untuk mengurangi asimetri informasi yang terjadi antara informed investor dan un-informed investor. Pada akhirnya, Hasil penelitian ini mengantarkan kita pada sebuah konklusi, dimana pencarian informasi yang tinggi akan membantu investor untuk mengambil keputusan investasi yang berdampak pada peningkatan likuiditas, sehingga dengan meningkatnya likuiditas suatu saham, maka akan berimplikasi pada volatilitas return saham yang diperdagangkan.

Sumber: http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=56141&obyek_id=4

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