DOES INVESTOR SENTIMENT AFFECT LARGE-CAP AND SMALL-CAP STOCK RETURN? (Study on Companies Listed in Indonesia Stock Market Period 2012-2016)

Abstract

Penelitian ini bertujuan untuk menguji pengaruh sentimen investor terhadap return saham di pasar modal Indonesia. Pengujian dilakukan pada dua kelompok sampel yang dibedakan berdasarkan nilai kapitalisasi pasarnya, yakni kelompok large-cap dan small-cap. Sentimen investor diukur melalui tingkat perputaran saham, dividen premium, price earning ratio dan advance decline ratio. Penelitian ini menggunakan data time series bulanan dari Januari 2012 hingga Desember 2016. Data time series merupakan rata-rata perbulan dari seluruh individual saham pada tiap kelompok. Jumlah seluruh individual saham adalah 91 perusahaan kelompok large-cap dan 95 perusahaan kelompok small-cap. Hasil penelitian menunjukkan tiga temuan utama. Pertama, sentimen investor memiliki pengaruh yang signifikan terhadap return saham di kedua kelompok, namun sentimen investor menunjukkan pengaruh yang lebih kuat terhadap return saham kelompok small-cap. Kedua, secara parsial seluruh variabel sentimen investor memiliki pengaruh signifikan terhadap return saham kelompok small-cap. Akan tetapi, hanya dividen premium dan advance decline ratio yang memiliki pengaruh signifikan terhadap return saham large-cap. Terakhir, hasil penelitian menemukan bahwa dividen premium memiliki pengaruh positif yang signifikan terhadap return saham kelompok large-cap namun memiliki pengaruh negatif yang signifikan terhadap return saham kelompok small-cap.

Kata Kunci : Behavioral Finance, Emerging Market, Return Saham, Sentimen Investor.

ABSTRACT

This research aims to examine the effect of investor sentiment on monthly stock return in Indonesia Stock Market. The analysis was performed on two different group based on stock market capitalization which is large-cap and small-cap group. Each group consisted of 91 large-cap companies and 95 small-cap companies. Implicit proxies were used to measure investor sentiment, namely share turnover, dividend premium, price earning ratio and advance decline ratio. This study used monthly time series data from January 2012 to December 2016. Time series data was calculated from monthly average data of all individual stock on each group. The result shows three main findings. First, although investor sentiment have significant effect on stock return in both groups, investor sentiment exhibits stronger effect on small-cap stock return. Second, all of sentiment proxies denote a significant effect on small-cap stock return whereas only dividend premium and advance decline ratio which indicate significant effect on large-cap stock return. Finally, this study evidences that dividend premium shows positive effect on large-cap stock return while indicating negative effect on small-cap stock return.

Keywords: Behavioral Finance, Emerging Market, Investor Sentiment, Stock Return