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"Tujuan dari penelitian ini adalah untuk menganalisis pola transaksi investor asing dan investor domestik di Bursa Efek Indonesia, menggunakan data harian pada periode 2013 hingga 2017. Metode yang digunakan dalam penelitian ini adalah vektor autoregresi (VAR). Variabel yang digunakan dalam penelitian ini adalah pergerakan return Indeks Harga Saham Gabungan (IHSG), nilai pembelian (penjualan) bersih investor asing pada saham yang diproksikan dalam Net Investment Flow (NIF) asing, dan nilai pembelian (penjualan) bersih investor domestik diproksikan dalam Net Investment Flow (NIF) domestik. Hasil VAR menunjukkan investor asing memiliki respon yang positif atas pergerakan return IHSG, sedangkan investor domestik memiliki respon negatif atas pergerakan return IHSG dalam perdagangan jangka pendek. Investor domestik memiliki respon negatif signifikan terhadap NIF asing, sedangkan NIF asing tidak terpengaruh oleh gerakan NIF domestik.

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The purpose of this study is to analyze characteristics of foreign investor and domestic investor transactions in Indonesia Stock Exchange, using daily data for the period 2013 until 2017. The method used in this study is the vector autoregresion (VAR). Variables used in this research is the movement of returns IHSG, payment of purchase (sale) net investors, and the net purchase (sales) of domestic investors. The VAR result shows that foreign investors have a positive response to JCI's return movement, while domestic investors have negative response to JCI movement. Domestic NIF has a significant negative response with foreign NIF, whereas foreign NIF are not affected by the domestic NIF movement."

"Tujuan penelitian ini adalah menganalisis penyebab dan konsekuensi perilaku herding oleh investor asing dan domestik di Bursa Efek Indonesia. Faktor-faktor penyebab perilaku herding difokuskan pada karakteristik saham, meliputi ukuran perusahaan, tingkat likuiditas, imbal hasil masa lalu, dan volatilitas imbal hasil. Teknik analisis yang digunakan adalah analisis data panel, yaitu model fixed effect dan model random effect. Hasil penelitian menunjukkan bahwa baik investor asing maupun investor domestik berperilaku herding, tetapi tingkat herding investor asing lebih tinggi dibandingkan investor domestik. Selain itu, tingkat sell-herding oleh investor asing dan domestik lebih tinggi dibandingkan tingkat buy-herding. Penelitian ini menemukan bukti signifikan bahwa perilaku herding oleh investor asing dan domestik sama-sama termasuk dalam kategori unintentional herding. Investor asing merupakan momentum trader, sedangkan investor domestik merupakan contrarian trader. Portofolio saham yang di-herd buy dan di-herd sell oleh investor asing menghasilkan imbal hasil positif di masa depan, menunjukkan bahwa buy-herding dan sell-herding oleh investor asing, secara terpisah, menguntungkan dan merugikan investor. Di lain pihak, buy-herding dan sell-herding oleh investor domestik merugikan investor. Hal ini ditunjukkan oleh imbal hasil negatif di masa depan untuk portofolio saham yang di-herd buy oleh investor domestik, sedangkan portofolio saham yang di-herd sell mempunyai imbal positif di masa depan. Terakhir, perilaku buy-herding investor asing tidak mendestabilisasi harga saham, tetapi tidak demikian dengan perilaku sell-herding investor asing. Baik perilaku buy-herding maupun sell-herding oleh investor domestik mendestabilisasi harga saham.

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This study investigates causes and consequences of foreign and domestic investor herding in Indonesia Stock Exchange. Causes of herding are focused on stock characteristics, such as size, stock liquidity, past returns, and volatility. The analysis technique used in this study is fixed effect and random effect panel regression model. Results show that both foreign and domestic herd, but foreign investors herding level is higher than domestic’s. Furthermore, sell-herding level of both foreign and domestic investors is higher than buy-herding level. This study find significant evidence of foreign and domestic investor herding is driven by past returns. Domestic investors tend to herd more on firms with bigger capitalization. Foreign investors are momentum traders, while domestic investors are contrarian trader. The portfolio that foreign investors herd buy and herd sell produce positive returns in the future, suggest buy-herding and sell-herding by foreign investors have a desirable and adverse effect on investors, respectively. By contrast, buy-herding and sell-herding by domestic investors incur losses. This is indicated by negative returns in the future for the portfolios that domestic investors herd buy, while the portfolios that domestic investors herd sell generate positive returns in the future. Lastly, foreign investors buy-herding behavior does not have potential to destabilize stock prices, but not so with foreign sell-herding behavior. Either domestic buy-herding or sell-herding destabilizes the stock prices."

"Telah banyak penelitian dilakukan untuk mempelajari perilaku investor dalambertransaksi di bursa-bursa dunia. Penelitian dalam tesis ini mempelajari polatransaksi dan kinerja investasi instrumen Efek saham berdasarkan berbagai tipeinvestor di Bursa Efek Indonesia. Dengan menggunakan data transaksi harianyang dibagi ke dalam tipe investor lokal detail dan asing, untuk periode bulanFebruari 2012 hingga bulan April 2013, didapatkan hasil bahwa, untuk kategoritipe investor Lokal dan tipe investor Asing, tipe investor Asing mempunyaiperilaku herding lebih kuat dibandingkan tipe investor Lokal. Pada kategori tipeinvestor Lokal detail dan tipe investor Asing, tipe investor Lainnya Lokal (OTD)mempunyai perilaku herding paling kuat dibanding tipe investor yang lain, dantipe investor Individu Lokal (IDD) mempunyai perilaku herding paling lemah.Perilaku positive feedback trading dilakukan oleh tipe investor Asing (F). Tipeinvestor Asing (F) memiliki pola investasi information-based models dan tidakditemukan tipe investor dengan pola investasi behavioral-based models.

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A lot of studies have been performed to find out the presences of foreign investor,

institutional investor, and individual investor behavior when trading in the stock

exchange worldwide. This thesis studies the trading patterns and investment

performance of investor groups in Indonesia Stock Exchange. This study employs

the daily transaction data of local investor details dan foreign investor, covering

the period February 2012 up until April 2013. The results of this study

demonstrate that for investor domestic and investor foreign categories, foreign

investor had stronger herding than domestic investor. For investor domestic

details dan investor foreign categories, show that Others Domestic (OTD) investor

had the strongest herding meanwhile Individual Domestic (IDD) investor had the

weakest herding. Positive feedback trading associated with investor type Foreign

(F). Investor type Foreign (F) consistent with information-based models."

"Penelitian ini menguji secara empiris pengaruh transaksi investor asing (Foreign Net Buy (Sell))terhadap tingkatunderpricing(initial return) saham IPO pada emiten BUMN, Anak BUMN, dan Non-BUMN (swasta). Penelitian dilakukan pada 119data sampleyang terdiri dari 4 sample saham BUMN, 3 Anak BUMN, dan 112Non-BUMN (swasta). Selain transaksi investor asing pada vaiabel bebas ditambahkan juga ukuran perusahaan sebagai variabel kontrol untuk analisa regresinya. Analisa dilakukan dengan melakukan regresi data panel. Hasil penelitian adalah (1) Transaksi investor asing berpengaruh terhadap underpricingkecuali pada emiten BUMN(2) Adanya pengaruh ukuran perusahaan terhadap underpricinghanya ditemukan pada emiten Anak BUMN.

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This research empirically examines the influence of foreign investor (Net Buy (Sell) ) and size of company (Assets) on IPO’s stock underpricing for State Owned Enterprise (SOE), SOE Affiliates Company, and Non-SOE. The study was conducted on 119 data samples consisting of 4 samples in the SOE company, 3 samples in the SOE Affiliates Company, and 112 samples in the Non-SOE. The researcher also add a size of company as a control variable for the regression analysis. The analysis is carried out by conducting data panel regression. The results of the research are (1) The influence of foreign investors on underpricing is found except on the SOE (2) The influence of size of company on underpricing is found only on SOE Affiliates Company."

"Penelitian ini membandingkan model CAPM dan Fama-French tiga faktor model untuk melihat dampak net Trading, order imbalace, dan likuiditas premium investor asing dan domestik di pasar modal Indonesia. Portofolio net trading dan order imbalance diestimasi dengan pendekatan quoted spread (Roll, 1984). Adapun likuikitas premium dihitung berdasarkan Amihud (2002). Hasil penelitian menunjukan bahwa market risk premium, size effect dan value effect secara konsisten berpengaruh positif terhadap return saham di pasar modal Indoensia. Net trading investor asing maupun domestik berpengaruh signifikan positif terhadap return saham. Pengaruh order imbalance ditemukan hanya pada investor asing. Selain itu, transaksi asing cenderung mampu mendapatkan return lebih besar pada saham-saham yang ilikuid sedangkan transaksi domestik cenderung mampu menghasilkan return lebih tinggi pada saham yang likuid.

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This study compares the CAPM and Fama-French three factor models to estimates the impact of Net Trading, Order Imbalace, and premium liquidity of foreign and domestic investors in the Indonesian Capital Market. Net trading portfolios and imbalance orders are estimated using the quoted spread Roll (1989) approach. The premium liquidity is calculated based on Amihud (2002). The results showed that the market risk premium, size effect and value effect consistently had a positive effect on stock returns in the Indonesian Capital Market. Net trading by foreign and domestic investors has a significant positive effect on stock returns. The influence of imbalance orders is found only on foreign investors. In addition, foreign transactions tend to be able to get greater returns on iliquid stocks, while domestic transactions tend to produce higher returns on liquid stocks.

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"[Tesis ini membahas mengenai analisis pengaruh kepemilikan saham investor asing di masa lalu, likuiditas, ukuran perusahaan, imbal hasil indeks harga sektoral dan rasio nilai buku dengan nilai pasar terhadap Kepemilikan Saham Investor Asing pada Perusahaan Sektor Transportasi yang Terdaftar di Bursa Efek Indonesia. Berdasarkan data volume perdagangan dan harga saham sektor transportasi, pergerakan grafik atas kedua hal tersebut cenderung stagnan, sehingga peneliti berasumsi bahwa saham-saham di sektor transportasi kurang likuid sehingga investor asing tidak memiliki kesempatan untuk melepaskan kepemilikannya untuk menghindati kerugian investasi. Hasil dari penelitian ini adalah bahwa variabel kepemilikan saham investor asing di masa lalu memiliki hubungan positif dan signifikan terhadap kepemilikan saham investor asing, Return Indeks Harga Sektoral Transportasi dan Likuiditas yang diukur dengan Current Ratio memiliki hubungan negatif dan signifikan terhadap kepemilikan saham investor asing. Size yang diukur dengan volume perdagangan saham memiliki hubungan negatif tetapi tidak signifikan terhadap kepemilikan saham investor asing sedangkan Book to Market Ratio memiliki hubungan positif tetapi tidak signifikan terhadap kepemilikan saham investor asing.

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This thesis discusses previous foreign investor?s ownership, liquidity, size, sectorial price index return and book to market ratio have influence to foreign investor ownership. Based on data from the trading volume and share price the transport sector, the graphic movement on both side tend to stagnate, so researcher assumes that stocks are not liquid in the transport sector so that foreign investors do not have the opportunity to divest their holdings to avoid investment losses. Results from this study are that the foreign investor previous ownership has positive relationship and significant to foreign investor ownership, Sectorial Price Index Return and Liquidity have negative relationship and significant to foreign investor ownership. Size which measure by trading volume has negative relationship but insignificant to foreign investor ownership and book to market ratio has positive relationship but insignificant to foreign investor ownership, This thesis discusses previous foreign investor’s ownership, liquidity, size, sectorial

price index return and book to market ratio have influence to foreign investor

ownership. Based on data from the trading volume and share price the transport

sector, the graphic movement on both side tend to stagnate, so researcher assumes

that stocks are not liquid in the transport sector so that foreign investors do not have

the opportunity to divest their holdings to avoid investment losses. Results from this

study are that the foreign investor previous ownership has positive relationship and

significant to foreign investor ownership, Sectorial Price Index Return and Liquidity

have negative relationship and significant to foreign investor ownership. Size which

measure by trading volume has negative relationship but insignificant to foreign

investor ownership and book to market ratio has positive relationship but

insignificant to foreign investor ownership]"

"ABSTRAKPenelitian ini bertujuan untuk mengidentifikasi pengaruh perhatian aktif investor ritel terhadap basis investor breadth of ownership dan likuiditas relative spread perusahaan yang tergabung di Indeks LQ45 Bursa Efek Indonesia Periode 2012-2016. Penelitian ini menggunakan Google search volume index SVI sebagai proksi pengukuran atensi aktif investor. Dengan menggunakan analisis data panel, hasil penelitian ini menunjukkan bahwa atensi aktif investor berpengaruh positif terhadap ukuran basis investor perusahaan namun tidak berpengaruh signifikan terhadap likuiditas.

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ABSTRACTThis study aims to identify the effect of ritel investor active attention on breadth of ownership and liquidity relative spread of LQ45 firms listed in Indonesia Stock Exchange in period 2012 2016. This study use Google SVI to measure investor rsquo s active attention. Using panel data analysis, this study finds that investor active attention has a significant positive relationship with breadth of ownership but does not have significant relationship with liquidity."

"Pengumuman dividen yang dilakukan oleh perusahaan memberikan sinyal kepada investor yang mengakibatkan adanya imbal hasil abnormal yang terjadi di sekitar hari pengumuman dividen. Penelitian ini menganalisis apakah terdapat reaksi berupa imbal hasil abnormal yang ditimbulkan oleh pengumuman dividen pada perusahaan-perusahaan yang terdaftar di Bursa Efek Indonesia periode 2010 - 2013. Adapun variabel yang dianalisis pada penelitian adalah imbal hasil abnormal rata-rata dan imbal hasil abnormal rata-rata kumulatif dengan metode model pasar untuk menghitung imbal hasil abnormal yang kemudian diuji dengan uji t satu sampel. Penelitian ini dilakukan dengan menggunakan data sekunder dan teknik pengambilan sampel yang digunakan adalah purposive sampling, dimana sampel diambil sesuai dengan tujuan penelitian yang ditetapkan. Jumlah sampel dalam penelitian ini sebanyak 54 perusahaan.Hasil dari penelitian ini menunjukkan bahwa terdapat imbal hasil abnormal rata-rata yang positif setelah perusahaan mengumumkan pembagian dividen tunai naik. Sementara itu untuk pengujian terhadap dividen tunai turun terlihat adanya imbal hasil abnormal rata-rata yang negatif beberapa hari setelah pengumuman dividen. Dan untuk pengujian terhadap dividen tunai tetap terlihat adanya imbal hasil abnormal yang positif dan negatif baik sebelum maupun sesudah pengumuman dividen. Hasil penelitian juga membuktikan adanya kebocoran informasi sebelum pengumuman dividen yang ditandai dengan adanya imbal hasil abnormal yang signifikan sebelum perusahaan melakukan pengumuman dividen.

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Dividend announcement made by companies give signals to investors which results in abnormal returns around the dividend announcement. This study analyzes whether there is reaction caused by dividend announcements on companies listed in Indonesian Stock Exchange for the period of 2010 - 2013. The variables analyzed in this study are average abnormal return and cumulative abnormal return. More specifically, this study employs the market model in generating abnormal returns surrounding subsequent dividend announcements. The abnormal returns are then tested with one sample t test. This research was conducted by using secondary data and the sampling technique used in this study was purposive sampling, where samples were taken in accordance with the research objectives set. The number of samples in this study are 54 companies which listed in Indonesian Stock Exchange for the period of 2010 - 2013.

The results from this study indicates that there are positive abnormal returns after companies announced increased cash dividend. Meanwhile for decreased dividend announcements, investors react negatively which was characterized by a negative average abnormal returns a few days after the announcements was made. And for dividend no change announcements, there are positive and negative abnormal returns both before and after the dividend announcements. The results also prove the existence of leakage of information prior to the dividend announcements which is characterized by several significant abnormal returns dividend announcements was made."

"Penelitian ini mempelajari pengaruh dari perhatian investor dalam menjelaskan imbal hasil abnormal dari 425 perusahaan non-finansial yang tergabung dalam Bursa Efek Indonesia pada 2015 – 2019. Perubahan tingkat perhatian investor diukur melalui tingkat pencarian di internet dari Google Trend. Regresi data panel menunjukkan bahwa tingkat pencarian harian di internet jumlah berita dapat secara konsisten menjelaskan imbal hasil abnormal dan dapat diasosiasikan dengan peningkatan imbal hasil abnormal. Pemodelan dilakukan dengan menggunakan variabel perhatian lain sebagai variabel kontrol, seperti imbal hasil ekstrim hari sebelumnya, jumlah berita, tingkat perdagangan abnormal, dan volatilitas saham. Meskipun secara umum menunjukkan hasil yang konsisten, hasil pengukuran pada regresi data panel dengan model fixed effect menunjukkan probabilitas yang cukup rendah.

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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. Panel data regression results show that daily internet search can consistently explain today’s abnormal return and can be associated with higher abnormal return. The model includes other proxies of attention: yesterday’s abnormal return, number of news, abnormal trading activity, and stock volatility. The model shows consistent result, but the probability is not high.

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"ABSTRAKFenomena market efficiency masih menjadi perdebatan sampai saat ini. Penelitian tentang apakah market sudah efisien atau tidak masih terus dilakukan. Para analis terbagi menjadi dua untuk menganalisis fenomena ini dimana kelompok pertama pendukung traditional finance yang menganggap investor bertindak rasional serta kelompok kedua pendukung behavioral finance yang menganggap investor tidak rasional. Penelitian ini bertujuan untuk menganalisis kejadian overreaction, underreaction, serta sentimen investor yang terdapat di Bursa Efek Indonesia pada tahun 2010 sampai 2014 yang mengacu pada metode yang dilakukan oleh Barberish, Vishny dan Shleifer (1998) dalam melihat ada tidaknya anomali yang terjadi di Bursa Efek Indonesia dengan menguji abnormal return dan cumulative abnormal return dari tiap-tiap saham yang masuk sebagai objek penelitian serta sentimen investor untuk memprediksi future earning. Perhitungan terhadap abnormal return dan cumulative abnormal return kemudian dikaitkan dengan fenomena behavioral finance. Market overreaction mengacu kepada teori overconfidence dan representative heuristic sedangkan market underreaction mengacu kepada teori underconfidence dan conservatism.Pada penelitian ini ditemukan bahwa terdapat indikasi overreaction pada saham winners namun tidak signifikan secara statistik dan tidak ada overreaction pada saham losers. Selain itu, ditemukan adanya indikasi underreaction pada saham losers namun tidak signifikan secara statistik dan tidak ada underreaction pada saham winners. Dari penelitian ini dapat disimpulkan bahwa sentimen investor untuk menghitung future earning tidak bisa digunakan karena market tidak mengalami overreaction dan underreaction.

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ABSTRACT

Efficiency market hypothesis is still debating at this time. Researching to prove eficiency market is still carry on. Analist divided into two groups to analyze this hypothesis, which is the first group is support traditional finance who assume investor is rational and the second group is support behavioral finance who assume investor is irational. The objective of this study is to analyze overreaction, underreaction and sentiment investor in Indonesia Stock Exchange that occured from 2010 until 2014. The method that used in this study is similiar with a research conducted by Barberish, Vishny and Shleifer (1998) in order to prove anomalies that occured in Indonesia Stock Exchange by testing abnormal return and cumulative abnormal return from stocks as research object and also sentiment investor to calculate future earning. Calculating abnormal return and cumulative abnormal return then connected with behavioral finance phenomena. Market overreaction relate to overconfidence and representative heuristic theory, while market underreaction relate to underconfidence and conservatism theory.

The result of this study shows indication for overreaction in winners stock category but statistically insignificant and there is no overreaction in losers stock category. On the other hand, there is indication for underreaction in losers stock category but statistically insignificant and there is no underreaction in winners stock category. The research conclude that sentiment investor to calculate future earning can not be conducted due to market not run into overreaction and underreaction"