The Influence of Investor Sentiment on Returns in the Indonesian Stock Market

Zaida Rizqi Zainul, Khaira Amalia Fachrudin, Nisrul Irawati () and Syahyunan Syahyunan
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Zaida Rizqi Zainul: Universitas Sumatera Utara
Khaira Amalia Fachrudin: Universitas Sumatera Utara
Nisrul Irawati: Universitas Sumatera Utara
Syahyunan Syahyunan: Universitas Sumatera Utara

A chapter in Proceedings of the 8th International Research Conference on Economic and Business (IRCEB 2024), 2025, pp 167-175 from Springer

Abstract: Abstract This study aims to analyze sentiment towards stocks and the market in influencing stock returns. Panel data regression analysis is used to test the research hypothesis. The sample consists of 93 companies listed on the IDX during the period 2013–2023. The results of the study indicate that stock and market sentiment have a significant positive effect on stock returns in Indonesia. This finding supports the behavioral finance theory which states that emotional and psychological factors contribute to market dynamics. The results of this study enrich the theoretical under-standing of stock market behavior, especially in emerging markets such as Indonesia. Investors can use market sentiment analysis in their investment strategy, especially in short-term decision-making. Sentiment has been shown to positively affect stock returns, investors can time their investments based on changes in market sentiment to maximize potential profits. Investors also need to pay more attention to information that influences market sentiment, such as economic news, government policies, or global developments that can increase optimism or pessimism in the stock market.

Keywords: Stock Returns; Sentiment; Market behavior; Investment (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-722-9_15

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DOI: 10.2991/978-94-6463-722-9_15

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