Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)

Google Search, News, and Stock Market Return in Indonesian Stock Market

Authors
Aditya Firmansyah1, *, Zaafri Ananto Husodo1
1Universitas Indonesia
*Corresponding author. Email: j.aditya.f@gmail.com
Corresponding Author
Aditya Firmansyah
Available Online 23 November 2021.
DOI
10.2991/aebmr.k.211117.029How to use a DOI?
Keywords
Asset Pricing; Investor Attention; Google Search; News Headline; Abnormal Stock Return
Abstract

This study investigates the effect of internet search and news headline on explaining abnormal return of 425 non-financial companies listed on Indonesia Stock Exchange from 2015 to 2019. Investor attention is measured by internet search volume from Google Trend. Market news is gathered from free online news publisher, Bisnis Indonesia. Panel data regression results show that while the probability is not high, daily internet search and news can consistently explain today’s abnormal return and can be associated with higher abnormal return; this effect can be better observed on smaller companies and when company’s ticker code is not ambiguous.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
23 November 2021
ISBN
10.2991/aebmr.k.211117.029
ISSN
2352-5428
DOI
10.2991/aebmr.k.211117.029How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Aditya Firmansyah
AU  - Zaafri Ananto Husodo
PY  - 2021
DA  - 2021/11/23
TI  - Google Search, News, and Stock Market Return in Indonesian Stock Market
BT  - Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)
PB  - Atlantis Press
SP  - 9
EP  - 15
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.211117.029
DO  - 10.2991/aebmr.k.211117.029
ID  - Firmansyah2021
ER  -