INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN, LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN, LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN MANUFACTURE COMPANIES IN INDONESIA AND INDIA.
INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN,
LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN
MANUFACTURE COMPANIES IN INDONESIA AND INDIA
THESIS
Presented as Partial Fulfillment of the Requirements for the Degree of Sarjana
Ekonomi (S1)
in International Business Managemnet Program
Faculty of Economics Universitas Atma Jaya Yogyakarta
Compiled by:
Noviana Icha Puspita Sari
Student ID Number: 10 12 18478
FACULTY OF ECONOMICS
UNIVERSITAS ATMA JAYA YOGYAKARTA
2014
This thesis is dedicated to:
M
yJ
essus Christ
Christ
My
Jesus
My Parents
(Bpk.Panji Susilo & Ibu Antini)
Antinii)
My Sister and Brother
(Adelheid Fransiska W.I. S. & Claudio Adrian S.)
My Special
Special One
Bayu
P.)
((Yosafat
Yosafatt B
ayu P
.))
Friends
All of My F
riends
v
Everything you can imagine is real
(Pablo picasso)
You
Y
ou have
ha
ave to know that being wrong iss part
part ooff tthe
he
process
(Peter Bernstein, one of the most prominent investment experts)
exper
erts))
Success is
is not
not ffinal,
inal, ffailure
ailuree iiss nnot
ot fatal:
fatal: iitt iiss tthe
he ccourage
ourage
Success
ttoo continue
coontinu
ue that
thhat counts
cou
unts
(W
Winston churchill)
chu
hurchill)
(Winston
vi
ACKNOWLEDGEMENT
First, I praise my Lord,
Lor
ordd, Jesus Chr
or
h is
ist;
t; for all that He gave to me, His
Christ;
blessing, love, guidance,
guid
dan
ance, and opportunity so I can finis
finish
ishh m
is
my
y study in Atma Jaya
Yogyakarta aand
nd I can finish th
thiss th
thes
thesis
esis
es
is as
a th
the requirementt fo
fforr the degree of
Sarjana
Sarjan
na E
Ekonomi.
konomi.
There
Ther
eree are
er
are many
ny
y peo
ppeople
eople who giv
give
ive support, advice,
adv
dvic
i e, an
and
nd tim
ttime
imee tthat
im
hat hel
help
elpp m
el
mee to
finishh th
this
is thesis.
t esis
th
iss. Thus,
T s, I would like too use this opportunity
opporrtu
tunity
y to deliver
deli
l ve
li
verr my
my thankful
thank
nkful
nk
and
an
nd app
aappreciation
ppreci
pp
ciiation for thosee who
w o encourage
wh
encoura
rage me:
1.
My parents
My
pa
(Bpk. P
Panji
anji
an
j Susi
Susilo
ilo
o and IIbu
bu Antini), Myy sister
sist
si
ster
er and
an
nd brother
bro
bro
rotherr
(Siska andd Dio),
Dio),
Dio
), and My
My special
sppecciall on
one
ne (Bayu
(Bayu)
yu)) wh
who always support an
and
nd
encourage me, thankk you
y u fo
fforr yourr endless
endl
en
dles
ess love, patience, andd prayer
prayers
errs fo
for
or
m - I love
me
l e you
you -
2.
2
My advisor, Mr. A. Jatmik
Jatmiko
ko Wib
W
Wibowo,
iboowo, SE., SIP., MSF. who has given
ib
giveen his
his
hi
time, support, advice, and guidance for me to finishing this the
thesis
esi
siss
3.
All
All off the
the lecturers
th
lect
le
ctuurers who
ct
who shared
sha
sha
hare
redd their kn
re
know
knowledge
owlleddge and
ow
andd experienced
ex
xpe
peri
rieenced
ri
(especially
(esp
(e
peciaall
llyy Mr.Budi
M
and M
Mr.
r. Mary
Maryatmo)
yatmo) and Mr
Mr.. A
Adi
Adit
d t who
h aalways
lways helps
lw
and guides me in my who
whole
ole study in International program
4.
My lovely sisters, Geovani
Geovan
ni Agnesiaa S. and Bani Katalina S. thank you so
much for love that you guys gave
g vee to me. Thank you for amazing four years
ga
that full of unforgettable moments.
momen
e ts I love you so much -
5.
My Second Family, all the students in international program especially
IBMP and IFAP 2010 (Nyenyes, Bani, Tasha, Elin, Yeye, Yeffi, Tegar,
vii
Manggala, Bion, Adis, Gupta, Ragil, etc.) and special thanks to cc Joane
NG who always encourage me in my hard time, Kak Yoana and kak Karin
for shared their experienced
experiien
encced about wri
writing
riti
ri
ting
ti
ng thesis.
6.
Tante Siskaa and
and Pak Pri as my teachers, motivator,
motiv
ivat
iv
a or, who always support
at
ncourage me to fini
nish
ni
shin
sh
ingg my
in
my stu
sstudy.
tudyy.
tu
and eencourage
finishing
7.
All of my friends
frien
ends
en
ds in KKN 64 Nglinggoo Barat,
Bar
Bar
arat
at,, tha
at
tthanks
h nks for givee me
m amazing
All
expe
peri
pe
rien
ri
ence
en
c d, and
an
nd sweet
sweet memories
sw
memori
ries experienced,
8.
For
For all
all people
pe
that
th I could no
not
ot mention one by
by one.
one
nee. T
Thank
hank
nkk yo
youu ffor
or yyour
our
support
supp
ppoort and care.
pp
viii
viiii
TABLE OF CONTENTS
TITLE PAGE ................................................................................................
......................
...............................
................................................
i
PAGE
......................................................................................
APPROVAL PAG
GE ........................................................
...............................
ii
COMMITTE
TEE’S APPROVAL
L PAGE
PAG
AGE
E .........................................................
....
..
.........
. ............................
. .................
COMMITTEE’S
iii
AUTH
HENTICITY ACKNOWLEDGEMENT
ACK
CKNO
N WLEDGEMENT
NT ...........................................
.........
. ....................................
AUTHENTICITY
iv
DE
DEDICATI
TION
ON P
AGE
E ...............................................
....
. ..............
......
....
................
...
DEDICATION
PAGE
...................................................................................
v
MOTT
TTO
O .........................................................................................................
.........
........................................................................................
........
....
........
MOTTO
vi
AC
ACKN
KNOW
WLEDGEMENT ...........................................................
...
. .......
....
.........
ACKNOWLEDGEMENT
............................................................................
Vii
V
ii
TA
TABL
B E OF CONTENT ................................................................................
................................................................................
....
..
TABLE
ix
x
LIST OF
OF TABLES ........................................................................................
.........................................................................................
xiii
x
xi
LIST OF FIGURES ......................................................................................
xiv
xi
iv
LIST
ST OF
OF APPENDICES
APPENDIC
ICES
ES ..............................................................................
......
....
. ......................
................
....
...................................
xv
AB
A
STRACT ...................................................................................................
............................................
........................................................... X
ABSTRACT
Xviii
viii
vi
CH
CHAP
APTER I: INTRODUCTION .......................................................
............
CHAPTER
................................................................
1
1.1.
1.1.
R search
Re
hB
ackg
ac
kgro
round ........
.......
..................................
. .....
. ..............................
Research
Background
..........................................................................
1
1.2.
Pr
P
oblem
m St
Statements ..............................................................................
.........................................................
..........................
Problem
6
1.3.
....................................................
Research Scope ................................
...................................................................................
7
1.4.
......................................................
Research Objectives .......................
............................................................................
7
1.5.
..........................................................
Research Benefits .......................
................................................................................
8
11.6.
6
Research Outline .................................................................................
9
CHAPTER II: THEORETICAL BACKGROUND AND PREVIOUS
RESEARCH ...................................................................................................
ix
10
2.1 Theoretical Background ..........................................................................
2.1.1
Investor ....................................................................................
10
est
stm
ment ..................
. .............................................
2.1.2 Nature of Inve
Investment
...............................................................
10
Capi
pita
tall Market .............................................
. .............................
2.1.3 Capital
..........................................................................
16
Theo
Th
ory
y and
nd E
f iccie
ff
ient Market Hypo
pothesis ........
2.1.44 Random Walk Theory
Efficient
Hypothesis
18
2.1.5
2.1.5
Asym
mme
mettric
ic Information ................
.......
. ....................................
Asymmetric
.........................................................
21
2.1.
1.66 Go
Google T
rends .........................................................................
re
.....................................
..................
....
.....................
2.1.6
Trends
22
2.1.
2.
1.77 Li
Liquidity ..................................................................................
.......................................................................
................
2.1.7
25
2.1..8 Return and Risk .......................................................................
................................................................
....
........
2.1.8
26
2.1.9 Relation between Investors’ Attention with Liquidity ............
...........
....
..
2.1.9
28
2.1.10 Relation between Investors’ Attention with Return and Risk..
29
2.1.11 Indonesia Stock Exchange ......................................................
30
0
Stoc
St
ockk Ex
Exch
change .............
..................
...................................
2.1.12 India Stock
Exchange
..............................................................
32
22.
.................................................................
2.22 Previous Research .....................
...................................................................................
33
3
3
2.3 Hy
2.3
Hypo
p theses ..............................................................................................
................................................................................................
Hypotheses
37
CH
CHAP
A TE
ER III:
IIII: RESEARCH
II
RES
ESEA
EAR
RCH METHODOLOGY
METH
ME
THOD
ODOL
OLOG
GY ......................................
....
......
..................................
CHAPTER
40
3.1.
P
Po
Population
p latiion and Sample .....
pu
........................................................................
................................................
. .......................
40
3.2.
Data ..................................................
....................................................
.....................................................................................................
41
ethod ...........................................................
............................................................
3.2.1 Data Collection me
method
41
..........................................................
Research Variables .....................
..............................................................................
42
33.3.1
3 1 Type of Variable ......................................................................
42
3.3.2 Variable Measurement ............................................................
42
3.3.
x
3.4 Method of Analysis .............................................................................
45
CHAPTER IV: DATA ANALYSIS ............................................................
51
4.1
Descriptive Statistic .............................................................................
................................................................................
51
4.2
Hypothesis Testing
Testing ................................................
...............................
..............................................................................
66
4.3
Interp
rprretations of Hypot
the
h si
sis Te
Test
stin
ing
g ....
................................................
Interpretations
Hypothesis
Testing
..................................................
83
Hypothesis
...............................................
44.3.1
.3.1 Result
lt for
or H
ypothesis number 1 .......
......
.......................................
83
4.3.
3.22 Result
Re
for H
ypothesis number 2 ..........
..................
....
.....................
4.3.2
for
Hypothesis
..............................................
84
4.
4.3.
3.33 Result
Re
...................
.........
.
4.3.3
for Hypothesis number 3 .......................
...............................................
85
4.3.
.4 Result for Hypothesis number 4 ...............................
...........
..........
4.3.4
...............................................
86
CH
CHAP
A TE
TER V: CONCLUSION ....................................................................
....................................................................
....
..
CHAPTER
88
5.1.
Conclusion ...........................................................................................
88
5.2.
Managerial Implication ........................................................................
90
0
5.3.
Limitation and
nd Suggestion
Sug
ugge
gest
stio
ion for Furtherr Re
Rese
sear
arch
ch ......................
...........
Research
................................
90
SELECTED BIBLIOGRAPHY
APPENDICES
A
PPE
PENDICES
xi
LIST OF TABLES
kett Ef
Efficiency........
................................................
Table 1 Three Forms of Marke
Market
Efficiency......................................................
20
Table 2 Indonesia St
Sto
Stock
ock Exchange Trading Hours ............
.........................................
. .............................
31
tock Exchange T
r di
ra
d ng
n H
ours
ou
rs ...
................................................
Table 3 Indiaa S
Stock
Trading
Hours
.................................................
33
Table 4 Summary off P
Previous
reevi
viou
o s Research .........................................................
.......................
. ....................................
36
Taable 5 Du
urb
rbin
in W
atsonn De
Decision Rules .......................
..................
....
......................
Table
Durbin
Watson
...........................................................
47
Sam
mplee L
ist of India Manufacture Companies ..........
...................
.........
.
Table 6 Sa
Sample
List
..................................
48
Table
Sample
............................
Taabl
ble 7 Sam
mple List of Indonesia Manufacture Companies .............
. .........
...........
49
9
Tabl
Ta
ble 8 N
umber of Manufacturing Companies in Indonesia .............
..............
..
Table
Number
.........................
51
Table 9 Number of Manufacturing Companies in India ................................
52
Table10
Table1
10 Descriptive Statistic Table of Dependent Variables in Indonesia......
52
2
Tablle 11
1 Descriptivee S
tati
ta
tist
stic
ic Table
Table of Independent
Indepe
pend
nden
entt Va
Vari
riable and Contr
trol
ol
Table
Statistic
Variable
Control
Variables
.....................................................................................
V riables in Indonesia ......................
Va
.......
...........................................................
54
Table
...........
Tabl
Ta
blee 12
1 Descriptive Statistic Table of Dependent Variables in India ..
.........
...
56
5
6
Table
Descriptive
Statistic
Table
Independent
Variables
control
Tabl
Ta
ble 13 D
escriipti
tive
ve S
tati
ta
tistic T
able
ab
le ooff In
Inde
dep
pendentt Va
Vari
riab
ablles and
d contro
ol
Variable
India
..............................................................................................
Variab
able
le in Indi
ia ...........................
................................................
. .......................
57
anufacture Companies
Table 14 Google Search Volumee Index of M
Manufacture
......................................................
Indonesia vs. India .....................................
..........................................................................................
59
Manuffac
a turre Companies Indonesia vs. India ...
Table 15 Trading Volume of Manufacture
60
facture Companies Indonesia vs
Table 16 Standard Deviation of Manuf
Manufacture
vs.
India .................................................................................................................
61
Table 17 Return of Manufacture Companies Indonesia vs. India ...................
62
xii
Table 18 Size of Manufacture Companies Indonesia vs. India .......................
63
Table 19 Market to Book ratio of Manufacture Companies Indonesia vs.
India......................................................................
. .............................................
India..................................................................................................................
64
Table 20 Price Earni
Earnings
Companies
ninngs ratio of Manufacture Compani
ies Indonesia vs.
.....................................................
....
....
........
. ............................
. .................
India ...........
.................................................................................................................
64
Table 21 Ages of Man
Manufacture
Indonesia
.....................
anuf
ufac
actu
t re Companies Ind
don
nes
esia
ia vvs.
s. India ............
..........
65
Table
Companies
.........
Taable 22 Correlation
Cor
orre
rela
lattion Matrix
Mat
atri
rix for Manufacture Comp
pan
anies in IIndonesia
ndon
nd
ones
e ia .......
...
66
orrela
lattion Matrix for Manufacture Companies in IIndia
n ia ....
nd
...........
......
Table 23 C
Correlation
................
67
Table
Chow
...................................................
Taabl
ble 224
4C
how test result for hypothesis 1a ....................................
. .........
..........
68
Tabl
Ta
ble 255 Result for hypothesis 1a using common model ...................
..........
......
Table
...............................
69
6 Chow test result for hypothesis 1b ...................................................
Table 226
70
Table 27 Hausman test for hypothesis 1b .......................................................
71
Tablle 228
8 Result for hy
hypo
poth
thes
esis
is 11b
b using fixed
d ef
effe
fect
ct ......
...................................
Table
hypothesis
effect
......................................
72
T ble 29 Result for hypothesis 2a us
Ta
sin
ing
g ccommon
ommon model ...............................
Table
using
7
74
Tabl
Ta
blee 30
3 Chow test result for hypothesis 2b ..........................................
............
Table
...................................................
75
Tabl
Ta
ble 31 H
ausman ttest
estt fo
es
for hypoth
thes
esis
is 22b
b ........................................................
....................
......
..................................
Table
Hausman
hypothesis
76
Tablle 32 Resultt fo
for hypothesis 2b
b us
uusing
ing fixe
xed effect ..............
....
..............
............
Table
fixed
......................................
76
pothesis 3a ...................................................
Table 33 Chow test result for hyp
hypothesis
78
hesis 3a .........................................................
......................................................
Table 34 Hausman test for hypoth
hypothesis
79
Table 35 Result for hypothesis 3a us
using
sing fi
fixed effect ......................................
79
ng common model ...............................
Table 36 Result for hypothesis 3b usin
using
82
xiii
LIST OF FIGURES
Figure 1
Development of Internet
India
Interneet uusers
sers in Indonesia and Ind
ndia
ia
In the year 1990-201
1990-2012
......................................................................................
0122 ........................................................
...............................
5
Figure 2 Pattern
Indonesia.................................................
Pattte
tern of internet users
rs in
n In
Indo
done
nesi
sia...................................................
5
Figuree 3 Graph of Google
Goog
Go
ogle
le Trends for ASII stock
ck ticker
tic
icke
kerr in Indonesia iin
n the
yearr 22012
..........................................................................................................
012 ........
....
....
. ......................
..........................
....
........................
......
..................
. ....
24
Figure
Indonesia
Figure 4 Graph
Gra
raph
ph of Go
Google Trends for “Ades” keywords in Indon
ones
esia
ia in the
year 22005-2012.................................................................................................
00500
5-220122............................................................................................
....
........
Figure
Fiigu
gure 5 Graph
Graph of Google Trends for “Ades” regional interest search
s arch
se
ch iin
n
Indonesia
......................................................................
Indo
In
donnesiaa in the year 2005-2012 ........................................................
.............
......
Figure
terms
Fig
Fi
gure 6 Graph of Google Trends for “Ades” related searches term
ms in
n
Indonesia
Indoneesia in the year 2005-2012 .....................................................................
Figuree 7 Indonesia Capital Market Structure ...................................................
xiv
24
24
4
25
31
LIST OF APPENDICES
Ind
ndia
ia Manufacturing
Manufactu
turi
ring
ng Companies
Appendix 1: Sample List of India
Appendix 2: Sample
Samp
ple List
List of Indonesia Manufacturing C
Companies
ompanies
om
Number of Manufacturing
Manufa
fact
c ur
u in
ing
g Co
Comp
m an
anies Sample in In
Indo
d nesia
Appendix 3:: Number
Companies
Indonesia
Append
ndiix 4: Numberr off Ma
M
nufacturing Compan
nie
iess Sa
Sam
mple in India
Appendix
Manufacturing
Companies
Sample
Appendix
Ap
5:
5: Descriptive
Desc
De
s riptiv
ve St
Statistic Table of Dependent
Depende
dent
nt Variabl
Variables
bles
es iin
n Indonesi
Indonesia
sia
Append
ndix
ix 6:
6: Descriptive
Deescriptive Statistic Table of Dependent Variabl
bles in In
Indi
diaa
Appendix
Variables
India
Appendix
Indonesia
Appe
Ap
p ndix
d 7:
7: Descriptive Statistic Table of Dependent Variables iin
n Indo
done
nesia
Appendix
India
Appe
Ap
p ndix
ix 8: Descriptive Statistic Table of Dependent Variables in In
ndia
Appenddix 9: Google Search Volume Index of Manufacture Companiess Indonesiaa
Appendix
vs. India
Appeend
ndix10: Tradingg Volume
Volu
Vo
lume
me of
of Manufacture
Manufacturre Co
Comp
mpan
anie
ies Indonesia vs
vs. IIndia
ndia
Appendix10:
Companies
Appendix
A pendix 11: Standard Deviation of Manufacture
Ap
Man
anufacture Companies Indonesia vs. IIndia
ndia
nd
ia
Appendix
Appeend
Ap
ndix 12: Return of Manufacture Companies Indonesia vs. India
Appendix
Companies
Indonesia
Appe
Ap
pendix 13:
13: Size
Size of Manufacture
Man
anufacture
re C
ompa
om
pani
nies Ind
don
ones
esia
ia vs. IIndia
ndi
dia
Appendix
of Manufacture
Companies
Appeend
ndix
i 14: Market
Markket to Book ratio
ra
Manufacture C
ompa
om
panies IIndonesia
ndonesia vs.
nd
India
Manuf
ufacture Companies Indonesia vs. India
Appendix 15: Price Earnings ratioo of Manufacture
Appendix 16: Ages of Manufacture C
Companies
om
mpanies Indonesia vs. India
M nufacture Companies in Indonesia
Ma
Appendix 17: Correlation Matrix for Manufacture
Appendix 18: Correlation Matrix for Manufacture Companies in India
Appendix 19: Chow Test Result for Hypothesis 1a
xv
Appendix 20: Result for hypothesis 1a using common model
Appendix 21: Chow test result for hypothesis 1b
forr hy
hypothesis 11b
b
Appendix 22: Hausman test fo
Appendix 23: Result
Resul
ultt for
for hypothesis 1b using fixed effect
ct
4: Result for hypoth
hesis
is 22aa us
usin
ing
g co
omm
m on model
Appendix 24:
hypothesis
using
common
Append
ndiix 25: Chow test
test result
res
e ult for hypothesis 2b
2b
Appendix
Appendix
26:
Ap
26: Hausman
Hau
a sman
n ttest
est for hypothesis 2b
Append
ndix
ix 27:
27: Result
Result for hypothesis 2b using fixed effect
Appendix
Appendix
Appe
Ap
p ndix
d 28:
28: Chow test result for hypothesis 3a
Appendix
Appe
Ap
p ndix
ix 29: Hausman test for hypothesis 3a
Appendix
Appenddix 30: Result for hypothesis 3a using fixed effect
Appendix
Appenndix 31: Result for hypothesis 3b using common model
Appendix
Appeend
ndix 32: Google
Googl
g e search
sear
se
arch
ch volume
vol
olume index manufacture
manu
ma
nufa
fact
ctur
uree companies in
n IIndia
ndia
nd
Appendix
A pendix 33: Trading volume of manufacture
Ap
man
anuffac
acture companies in India
Appendix
Appeend
Ap
ndix 34: Return volatility of manufacture companies in India
Appendix
India
Appe
Ap
pendix 35:
35: Return
Retur
t rn of manufacture
manufacctu
ture
re ccompanies
ompa
om
panies in In
Indi
diaa
Appendix
companies
Appeend
ndix
i 36: Size
Siz
izee of manufacturing
manufacturi
ring
n compa
panies in India
Appendix 37: Market to book ratio
manufacturing
rattio of manuf
facturing companies in India
Appendix 38: Price earnings ratio
manufacture
o of manuf
facture companies in India
Appendix 39: Age of manufacturingg companies
com
mpanies in India
Appendix 40: Google search volume index
in
ndex of manufacture companies in Indonesia
Appendix 41: Trading volume of manufacture companies in Indonesia
Appendix 42: Return volatility of manufacture companies in Indonesia
xvi
Appendix 43: Return of manufacture companies in Indonesia
Appendix 44: Size of manufacture companies in Indonesia
Appendix 45: Market to bookk ratio
rati
ra
tio of manufacture
manuf
ufac
actu
ture companies in Indonesia
companies
Appendix 46: Pricee eearnings
arnings ratio of manufacture compa
pani
n es in Indonesia
Appendix 47:
7: Age of manufacture
manufactur
ure companies
comp
co
mpan
anie
ies inn Indonesia
xvii
INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN,
LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN
MANUFACTURE COMPANIES IN INDONESIA AND INDIA
Compiled by:
Novi
vian
ana Icha
Icha
ha Puspita
Pus
u pi
p ta
a Sari
Sari
Noviana
S
tudent ID Number: 10 12 118478
8 78
84
Student
Supe
erv
rvis
isor
Supervisor
A. Jatmiko Wibowo, SE.,
SE., SIP.,
SIP.
SI
P.,, MSF.
MSF.
ABSTRACT
This research aims to examine the influence of investors’ attention of
compa
any stock on stock return, liquidity, and return volatility comparison
comparrison
n
company
bbetween
be
tweeen manufacture companies in Indonesia and India in the year of 2011
1-2
-2013
3.
2011-2013.
Investors’
search
volume
Inve
vestoors’ attention is measured by direct proxy
y which is Google sea
arch
ch volum
me
index from
from Google
Goo
oogl
glee trends.
trends. This
Th
his research
research uses
us secondary
seconda
d ry data
dat
a a and processed
d by
regression analysis. The samples are
are gathered
gath
ther
ered
d from Indonesia stock exchangee and
and
India stock exchange. The result off th
In
this research concludes that the investors’
inve
vest
stor
orss’
aattention
at
tent
te
n ion that measured using Google search volume index is significantly
sign
gniific
ican
anttly
influenced
companies
infl
in
flue
u ncced tthe
he sstock
tock
to
ck lliquidity
iqui
iq
uidi
dity
ty and return volatility
volati
tili
lity
ty of
of manufacture
manu
ma
nuffac
actu
ture
re com
mpa
pani
nies
es in
Indonesia.
Meanwhile
result
Indo
In
done
nesi
sia.
a. Me
Mean
anwh
whil
ilee th
thee re
resu
sult
lt for
for India
Ind
dia shows
sho
hows
ws that
tha
hat Investors’
Inve
In
vest
stor
ors’
s’ attention
att
tten
enti
tio
on hhas
as only
significantly
volatility
manufactures
companies.
sign
si
gnif
ific
icantly influenced
influe
uenc
nced
ed the
he rreturn
eturn vo
et
vola
lati
tili
litty of ma
manu
nufact
ctur
ures
es companies
es.
liquidity,
Keywords: Investors’ attention, rreturn,
eturn, liqu
uidity, return volatility, Google trends
xviii
LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN
MANUFACTURE COMPANIES IN INDONESIA AND INDIA
THESIS
Presented as Partial Fulfillment of the Requirements for the Degree of Sarjana
Ekonomi (S1)
in International Business Managemnet Program
Faculty of Economics Universitas Atma Jaya Yogyakarta
Compiled by:
Noviana Icha Puspita Sari
Student ID Number: 10 12 18478
FACULTY OF ECONOMICS
UNIVERSITAS ATMA JAYA YOGYAKARTA
2014
This thesis is dedicated to:
M
yJ
essus Christ
Christ
My
Jesus
My Parents
(Bpk.Panji Susilo & Ibu Antini)
Antinii)
My Sister and Brother
(Adelheid Fransiska W.I. S. & Claudio Adrian S.)
My Special
Special One
Bayu
P.)
((Yosafat
Yosafatt B
ayu P
.))
Friends
All of My F
riends
v
Everything you can imagine is real
(Pablo picasso)
You
Y
ou have
ha
ave to know that being wrong iss part
part ooff tthe
he
process
(Peter Bernstein, one of the most prominent investment experts)
exper
erts))
Success is
is not
not ffinal,
inal, ffailure
ailuree iiss nnot
ot fatal:
fatal: iitt iiss tthe
he ccourage
ourage
Success
ttoo continue
coontinu
ue that
thhat counts
cou
unts
(W
Winston churchill)
chu
hurchill)
(Winston
vi
ACKNOWLEDGEMENT
First, I praise my Lord,
Lor
ordd, Jesus Chr
or
h is
ist;
t; for all that He gave to me, His
Christ;
blessing, love, guidance,
guid
dan
ance, and opportunity so I can finis
finish
ishh m
is
my
y study in Atma Jaya
Yogyakarta aand
nd I can finish th
thiss th
thes
thesis
esis
es
is as
a th
the requirementt fo
fforr the degree of
Sarjana
Sarjan
na E
Ekonomi.
konomi.
There
Ther
eree are
er
are many
ny
y peo
ppeople
eople who giv
give
ive support, advice,
adv
dvic
i e, an
and
nd tim
ttime
imee tthat
im
hat hel
help
elpp m
el
mee to
finishh th
this
is thesis.
t esis
th
iss. Thus,
T s, I would like too use this opportunity
opporrtu
tunity
y to deliver
deli
l ve
li
verr my
my thankful
thank
nkful
nk
and
an
nd app
aappreciation
ppreci
pp
ciiation for thosee who
w o encourage
wh
encoura
rage me:
1.
My parents
My
pa
(Bpk. P
Panji
anji
an
j Susi
Susilo
ilo
o and IIbu
bu Antini), Myy sister
sist
si
ster
er and
an
nd brother
bro
bro
rotherr
(Siska andd Dio),
Dio),
Dio
), and My
My special
sppecciall on
one
ne (Bayu
(Bayu)
yu)) wh
who always support an
and
nd
encourage me, thankk you
y u fo
fforr yourr endless
endl
en
dles
ess love, patience, andd prayer
prayers
errs fo
for
or
m - I love
me
l e you
you -
2.
2
My advisor, Mr. A. Jatmik
Jatmiko
ko Wib
W
Wibowo,
iboowo, SE., SIP., MSF. who has given
ib
giveen his
his
hi
time, support, advice, and guidance for me to finishing this the
thesis
esi
siss
3.
All
All off the
the lecturers
th
lect
le
ctuurers who
ct
who shared
sha
sha
hare
redd their kn
re
know
knowledge
owlleddge and
ow
andd experienced
ex
xpe
peri
rieenced
ri
(especially
(esp
(e
peciaall
llyy Mr.Budi
M
and M
Mr.
r. Mary
Maryatmo)
yatmo) and Mr
Mr.. A
Adi
Adit
d t who
h aalways
lways helps
lw
and guides me in my who
whole
ole study in International program
4.
My lovely sisters, Geovani
Geovan
ni Agnesiaa S. and Bani Katalina S. thank you so
much for love that you guys gave
g vee to me. Thank you for amazing four years
ga
that full of unforgettable moments.
momen
e ts I love you so much -
5.
My Second Family, all the students in international program especially
IBMP and IFAP 2010 (Nyenyes, Bani, Tasha, Elin, Yeye, Yeffi, Tegar,
vii
Manggala, Bion, Adis, Gupta, Ragil, etc.) and special thanks to cc Joane
NG who always encourage me in my hard time, Kak Yoana and kak Karin
for shared their experienced
experiien
encced about wri
writing
riti
ri
ting
ti
ng thesis.
6.
Tante Siskaa and
and Pak Pri as my teachers, motivator,
motiv
ivat
iv
a or, who always support
at
ncourage me to fini
nish
ni
shin
sh
ingg my
in
my stu
sstudy.
tudyy.
tu
and eencourage
finishing
7.
All of my friends
frien
ends
en
ds in KKN 64 Nglinggoo Barat,
Bar
Bar
arat
at,, tha
at
tthanks
h nks for givee me
m amazing
All
expe
peri
pe
rien
ri
ence
en
c d, and
an
nd sweet
sweet memories
sw
memori
ries experienced,
8.
For
For all
all people
pe
that
th I could no
not
ot mention one by
by one.
one
nee. T
Thank
hank
nkk yo
youu ffor
or yyour
our
support
supp
ppoort and care.
pp
viii
viiii
TABLE OF CONTENTS
TITLE PAGE ................................................................................................
......................
...............................
................................................
i
PAGE
......................................................................................
APPROVAL PAG
GE ........................................................
...............................
ii
COMMITTE
TEE’S APPROVAL
L PAGE
PAG
AGE
E .........................................................
....
..
.........
. ............................
. .................
COMMITTEE’S
iii
AUTH
HENTICITY ACKNOWLEDGEMENT
ACK
CKNO
N WLEDGEMENT
NT ...........................................
.........
. ....................................
AUTHENTICITY
iv
DE
DEDICATI
TION
ON P
AGE
E ...............................................
....
. ..............
......
....
................
...
DEDICATION
PAGE
...................................................................................
v
MOTT
TTO
O .........................................................................................................
.........
........................................................................................
........
....
........
MOTTO
vi
AC
ACKN
KNOW
WLEDGEMENT ...........................................................
...
. .......
....
.........
ACKNOWLEDGEMENT
............................................................................
Vii
V
ii
TA
TABL
B E OF CONTENT ................................................................................
................................................................................
....
..
TABLE
ix
x
LIST OF
OF TABLES ........................................................................................
.........................................................................................
xiii
x
xi
LIST OF FIGURES ......................................................................................
xiv
xi
iv
LIST
ST OF
OF APPENDICES
APPENDIC
ICES
ES ..............................................................................
......
....
. ......................
................
....
...................................
xv
AB
A
STRACT ...................................................................................................
............................................
........................................................... X
ABSTRACT
Xviii
viii
vi
CH
CHAP
APTER I: INTRODUCTION .......................................................
............
CHAPTER
................................................................
1
1.1.
1.1.
R search
Re
hB
ackg
ac
kgro
round ........
.......
..................................
. .....
. ..............................
Research
Background
..........................................................................
1
1.2.
Pr
P
oblem
m St
Statements ..............................................................................
.........................................................
..........................
Problem
6
1.3.
....................................................
Research Scope ................................
...................................................................................
7
1.4.
......................................................
Research Objectives .......................
............................................................................
7
1.5.
..........................................................
Research Benefits .......................
................................................................................
8
11.6.
6
Research Outline .................................................................................
9
CHAPTER II: THEORETICAL BACKGROUND AND PREVIOUS
RESEARCH ...................................................................................................
ix
10
2.1 Theoretical Background ..........................................................................
2.1.1
Investor ....................................................................................
10
est
stm
ment ..................
. .............................................
2.1.2 Nature of Inve
Investment
...............................................................
10
Capi
pita
tall Market .............................................
. .............................
2.1.3 Capital
..........................................................................
16
Theo
Th
ory
y and
nd E
f iccie
ff
ient Market Hypo
pothesis ........
2.1.44 Random Walk Theory
Efficient
Hypothesis
18
2.1.5
2.1.5
Asym
mme
mettric
ic Information ................
.......
. ....................................
Asymmetric
.........................................................
21
2.1.
1.66 Go
Google T
rends .........................................................................
re
.....................................
..................
....
.....................
2.1.6
Trends
22
2.1.
2.
1.77 Li
Liquidity ..................................................................................
.......................................................................
................
2.1.7
25
2.1..8 Return and Risk .......................................................................
................................................................
....
........
2.1.8
26
2.1.9 Relation between Investors’ Attention with Liquidity ............
...........
....
..
2.1.9
28
2.1.10 Relation between Investors’ Attention with Return and Risk..
29
2.1.11 Indonesia Stock Exchange ......................................................
30
0
Stoc
St
ockk Ex
Exch
change .............
..................
...................................
2.1.12 India Stock
Exchange
..............................................................
32
22.
.................................................................
2.22 Previous Research .....................
...................................................................................
33
3
3
2.3 Hy
2.3
Hypo
p theses ..............................................................................................
................................................................................................
Hypotheses
37
CH
CHAP
A TE
ER III:
IIII: RESEARCH
II
RES
ESEA
EAR
RCH METHODOLOGY
METH
ME
THOD
ODOL
OLOG
GY ......................................
....
......
..................................
CHAPTER
40
3.1.
P
Po
Population
p latiion and Sample .....
pu
........................................................................
................................................
. .......................
40
3.2.
Data ..................................................
....................................................
.....................................................................................................
41
ethod ...........................................................
............................................................
3.2.1 Data Collection me
method
41
..........................................................
Research Variables .....................
..............................................................................
42
33.3.1
3 1 Type of Variable ......................................................................
42
3.3.2 Variable Measurement ............................................................
42
3.3.
x
3.4 Method of Analysis .............................................................................
45
CHAPTER IV: DATA ANALYSIS ............................................................
51
4.1
Descriptive Statistic .............................................................................
................................................................................
51
4.2
Hypothesis Testing
Testing ................................................
...............................
..............................................................................
66
4.3
Interp
rprretations of Hypot
the
h si
sis Te
Test
stin
ing
g ....
................................................
Interpretations
Hypothesis
Testing
..................................................
83
Hypothesis
...............................................
44.3.1
.3.1 Result
lt for
or H
ypothesis number 1 .......
......
.......................................
83
4.3.
3.22 Result
Re
for H
ypothesis number 2 ..........
..................
....
.....................
4.3.2
for
Hypothesis
..............................................
84
4.
4.3.
3.33 Result
Re
...................
.........
.
4.3.3
for Hypothesis number 3 .......................
...............................................
85
4.3.
.4 Result for Hypothesis number 4 ...............................
...........
..........
4.3.4
...............................................
86
CH
CHAP
A TE
TER V: CONCLUSION ....................................................................
....................................................................
....
..
CHAPTER
88
5.1.
Conclusion ...........................................................................................
88
5.2.
Managerial Implication ........................................................................
90
0
5.3.
Limitation and
nd Suggestion
Sug
ugge
gest
stio
ion for Furtherr Re
Rese
sear
arch
ch ......................
...........
Research
................................
90
SELECTED BIBLIOGRAPHY
APPENDICES
A
PPE
PENDICES
xi
LIST OF TABLES
kett Ef
Efficiency........
................................................
Table 1 Three Forms of Marke
Market
Efficiency......................................................
20
Table 2 Indonesia St
Sto
Stock
ock Exchange Trading Hours ............
.........................................
. .............................
31
tock Exchange T
r di
ra
d ng
n H
ours
ou
rs ...
................................................
Table 3 Indiaa S
Stock
Trading
Hours
.................................................
33
Table 4 Summary off P
Previous
reevi
viou
o s Research .........................................................
.......................
. ....................................
36
Taable 5 Du
urb
rbin
in W
atsonn De
Decision Rules .......................
..................
....
......................
Table
Durbin
Watson
...........................................................
47
Sam
mplee L
ist of India Manufacture Companies ..........
...................
.........
.
Table 6 Sa
Sample
List
..................................
48
Table
Sample
............................
Taabl
ble 7 Sam
mple List of Indonesia Manufacture Companies .............
. .........
...........
49
9
Tabl
Ta
ble 8 N
umber of Manufacturing Companies in Indonesia .............
..............
..
Table
Number
.........................
51
Table 9 Number of Manufacturing Companies in India ................................
52
Table10
Table1
10 Descriptive Statistic Table of Dependent Variables in Indonesia......
52
2
Tablle 11
1 Descriptivee S
tati
ta
tist
stic
ic Table
Table of Independent
Indepe
pend
nden
entt Va
Vari
riable and Contr
trol
ol
Table
Statistic
Variable
Control
Variables
.....................................................................................
V riables in Indonesia ......................
Va
.......
...........................................................
54
Table
...........
Tabl
Ta
blee 12
1 Descriptive Statistic Table of Dependent Variables in India ..
.........
...
56
5
6
Table
Descriptive
Statistic
Table
Independent
Variables
control
Tabl
Ta
ble 13 D
escriipti
tive
ve S
tati
ta
tistic T
able
ab
le ooff In
Inde
dep
pendentt Va
Vari
riab
ablles and
d contro
ol
Variable
India
..............................................................................................
Variab
able
le in Indi
ia ...........................
................................................
. .......................
57
anufacture Companies
Table 14 Google Search Volumee Index of M
Manufacture
......................................................
Indonesia vs. India .....................................
..........................................................................................
59
Manuffac
a turre Companies Indonesia vs. India ...
Table 15 Trading Volume of Manufacture
60
facture Companies Indonesia vs
Table 16 Standard Deviation of Manuf
Manufacture
vs.
India .................................................................................................................
61
Table 17 Return of Manufacture Companies Indonesia vs. India ...................
62
xii
Table 18 Size of Manufacture Companies Indonesia vs. India .......................
63
Table 19 Market to Book ratio of Manufacture Companies Indonesia vs.
India......................................................................
. .............................................
India..................................................................................................................
64
Table 20 Price Earni
Earnings
Companies
ninngs ratio of Manufacture Compani
ies Indonesia vs.
.....................................................
....
....
........
. ............................
. .................
India ...........
.................................................................................................................
64
Table 21 Ages of Man
Manufacture
Indonesia
.....................
anuf
ufac
actu
t re Companies Ind
don
nes
esia
ia vvs.
s. India ............
..........
65
Table
Companies
.........
Taable 22 Correlation
Cor
orre
rela
lattion Matrix
Mat
atri
rix for Manufacture Comp
pan
anies in IIndonesia
ndon
nd
ones
e ia .......
...
66
orrela
lattion Matrix for Manufacture Companies in IIndia
n ia ....
nd
...........
......
Table 23 C
Correlation
................
67
Table
Chow
...................................................
Taabl
ble 224
4C
how test result for hypothesis 1a ....................................
. .........
..........
68
Tabl
Ta
ble 255 Result for hypothesis 1a using common model ...................
..........
......
Table
...............................
69
6 Chow test result for hypothesis 1b ...................................................
Table 226
70
Table 27 Hausman test for hypothesis 1b .......................................................
71
Tablle 228
8 Result for hy
hypo
poth
thes
esis
is 11b
b using fixed
d ef
effe
fect
ct ......
...................................
Table
hypothesis
effect
......................................
72
T ble 29 Result for hypothesis 2a us
Ta
sin
ing
g ccommon
ommon model ...............................
Table
using
7
74
Tabl
Ta
blee 30
3 Chow test result for hypothesis 2b ..........................................
............
Table
...................................................
75
Tabl
Ta
ble 31 H
ausman ttest
estt fo
es
for hypoth
thes
esis
is 22b
b ........................................................
....................
......
..................................
Table
Hausman
hypothesis
76
Tablle 32 Resultt fo
for hypothesis 2b
b us
uusing
ing fixe
xed effect ..............
....
..............
............
Table
fixed
......................................
76
pothesis 3a ...................................................
Table 33 Chow test result for hyp
hypothesis
78
hesis 3a .........................................................
......................................................
Table 34 Hausman test for hypoth
hypothesis
79
Table 35 Result for hypothesis 3a us
using
sing fi
fixed effect ......................................
79
ng common model ...............................
Table 36 Result for hypothesis 3b usin
using
82
xiii
LIST OF FIGURES
Figure 1
Development of Internet
India
Interneet uusers
sers in Indonesia and Ind
ndia
ia
In the year 1990-201
1990-2012
......................................................................................
0122 ........................................................
...............................
5
Figure 2 Pattern
Indonesia.................................................
Pattte
tern of internet users
rs in
n In
Indo
done
nesi
sia...................................................
5
Figuree 3 Graph of Google
Goog
Go
ogle
le Trends for ASII stock
ck ticker
tic
icke
kerr in Indonesia iin
n the
yearr 22012
..........................................................................................................
012 ........
....
....
. ......................
..........................
....
........................
......
..................
. ....
24
Figure
Indonesia
Figure 4 Graph
Gra
raph
ph of Go
Google Trends for “Ades” keywords in Indon
ones
esia
ia in the
year 22005-2012.................................................................................................
00500
5-220122............................................................................................
....
........
Figure
Fiigu
gure 5 Graph
Graph of Google Trends for “Ades” regional interest search
s arch
se
ch iin
n
Indonesia
......................................................................
Indo
In
donnesiaa in the year 2005-2012 ........................................................
.............
......
Figure
terms
Fig
Fi
gure 6 Graph of Google Trends for “Ades” related searches term
ms in
n
Indonesia
Indoneesia in the year 2005-2012 .....................................................................
Figuree 7 Indonesia Capital Market Structure ...................................................
xiv
24
24
4
25
31
LIST OF APPENDICES
Ind
ndia
ia Manufacturing
Manufactu
turi
ring
ng Companies
Appendix 1: Sample List of India
Appendix 2: Sample
Samp
ple List
List of Indonesia Manufacturing C
Companies
ompanies
om
Number of Manufacturing
Manufa
fact
c ur
u in
ing
g Co
Comp
m an
anies Sample in In
Indo
d nesia
Appendix 3:: Number
Companies
Indonesia
Append
ndiix 4: Numberr off Ma
M
nufacturing Compan
nie
iess Sa
Sam
mple in India
Appendix
Manufacturing
Companies
Sample
Appendix
Ap
5:
5: Descriptive
Desc
De
s riptiv
ve St
Statistic Table of Dependent
Depende
dent
nt Variabl
Variables
bles
es iin
n Indonesi
Indonesia
sia
Append
ndix
ix 6:
6: Descriptive
Deescriptive Statistic Table of Dependent Variabl
bles in In
Indi
diaa
Appendix
Variables
India
Appendix
Indonesia
Appe
Ap
p ndix
d 7:
7: Descriptive Statistic Table of Dependent Variables iin
n Indo
done
nesia
Appendix
India
Appe
Ap
p ndix
ix 8: Descriptive Statistic Table of Dependent Variables in In
ndia
Appenddix 9: Google Search Volume Index of Manufacture Companiess Indonesiaa
Appendix
vs. India
Appeend
ndix10: Tradingg Volume
Volu
Vo
lume
me of
of Manufacture
Manufacturre Co
Comp
mpan
anie
ies Indonesia vs
vs. IIndia
ndia
Appendix10:
Companies
Appendix
A pendix 11: Standard Deviation of Manufacture
Ap
Man
anufacture Companies Indonesia vs. IIndia
ndia
nd
ia
Appendix
Appeend
Ap
ndix 12: Return of Manufacture Companies Indonesia vs. India
Appendix
Companies
Indonesia
Appe
Ap
pendix 13:
13: Size
Size of Manufacture
Man
anufacture
re C
ompa
om
pani
nies Ind
don
ones
esia
ia vs. IIndia
ndi
dia
Appendix
of Manufacture
Companies
Appeend
ndix
i 14: Market
Markket to Book ratio
ra
Manufacture C
ompa
om
panies IIndonesia
ndonesia vs.
nd
India
Manuf
ufacture Companies Indonesia vs. India
Appendix 15: Price Earnings ratioo of Manufacture
Appendix 16: Ages of Manufacture C
Companies
om
mpanies Indonesia vs. India
M nufacture Companies in Indonesia
Ma
Appendix 17: Correlation Matrix for Manufacture
Appendix 18: Correlation Matrix for Manufacture Companies in India
Appendix 19: Chow Test Result for Hypothesis 1a
xv
Appendix 20: Result for hypothesis 1a using common model
Appendix 21: Chow test result for hypothesis 1b
forr hy
hypothesis 11b
b
Appendix 22: Hausman test fo
Appendix 23: Result
Resul
ultt for
for hypothesis 1b using fixed effect
ct
4: Result for hypoth
hesis
is 22aa us
usin
ing
g co
omm
m on model
Appendix 24:
hypothesis
using
common
Append
ndiix 25: Chow test
test result
res
e ult for hypothesis 2b
2b
Appendix
Appendix
26:
Ap
26: Hausman
Hau
a sman
n ttest
est for hypothesis 2b
Append
ndix
ix 27:
27: Result
Result for hypothesis 2b using fixed effect
Appendix
Appendix
Appe
Ap
p ndix
d 28:
28: Chow test result for hypothesis 3a
Appendix
Appe
Ap
p ndix
ix 29: Hausman test for hypothesis 3a
Appendix
Appenddix 30: Result for hypothesis 3a using fixed effect
Appendix
Appenndix 31: Result for hypothesis 3b using common model
Appendix
Appeend
ndix 32: Google
Googl
g e search
sear
se
arch
ch volume
vol
olume index manufacture
manu
ma
nufa
fact
ctur
uree companies in
n IIndia
ndia
nd
Appendix
A pendix 33: Trading volume of manufacture
Ap
man
anuffac
acture companies in India
Appendix
Appeend
Ap
ndix 34: Return volatility of manufacture companies in India
Appendix
India
Appe
Ap
pendix 35:
35: Return
Retur
t rn of manufacture
manufacctu
ture
re ccompanies
ompa
om
panies in In
Indi
diaa
Appendix
companies
Appeend
ndix
i 36: Size
Siz
izee of manufacturing
manufacturi
ring
n compa
panies in India
Appendix 37: Market to book ratio
manufacturing
rattio of manuf
facturing companies in India
Appendix 38: Price earnings ratio
manufacture
o of manuf
facture companies in India
Appendix 39: Age of manufacturingg companies
com
mpanies in India
Appendix 40: Google search volume index
in
ndex of manufacture companies in Indonesia
Appendix 41: Trading volume of manufacture companies in Indonesia
Appendix 42: Return volatility of manufacture companies in Indonesia
xvi
Appendix 43: Return of manufacture companies in Indonesia
Appendix 44: Size of manufacture companies in Indonesia
Appendix 45: Market to bookk ratio
rati
ra
tio of manufacture
manuf
ufac
actu
ture companies in Indonesia
companies
Appendix 46: Pricee eearnings
arnings ratio of manufacture compa
pani
n es in Indonesia
Appendix 47:
7: Age of manufacture
manufactur
ure companies
comp
co
mpan
anie
ies inn Indonesia
xvii
INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN,
LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN
MANUFACTURE COMPANIES IN INDONESIA AND INDIA
Compiled by:
Novi
vian
ana Icha
Icha
ha Puspita
Pus
u pi
p ta
a Sari
Sari
Noviana
S
tudent ID Number: 10 12 118478
8 78
84
Student
Supe
erv
rvis
isor
Supervisor
A. Jatmiko Wibowo, SE.,
SE., SIP.,
SIP.
SI
P.,, MSF.
MSF.
ABSTRACT
This research aims to examine the influence of investors’ attention of
compa
any stock on stock return, liquidity, and return volatility comparison
comparrison
n
company
bbetween
be
tweeen manufacture companies in Indonesia and India in the year of 2011
1-2
-2013
3.
2011-2013.
Investors’
search
volume
Inve
vestoors’ attention is measured by direct proxy
y which is Google sea
arch
ch volum
me
index from
from Google
Goo
oogl
glee trends.
trends. This
Th
his research
research uses
us secondary
seconda
d ry data
dat
a a and processed
d by
regression analysis. The samples are
are gathered
gath
ther
ered
d from Indonesia stock exchangee and
and
India stock exchange. The result off th
In
this research concludes that the investors’
inve
vest
stor
orss’
aattention
at
tent
te
n ion that measured using Google search volume index is significantly
sign
gniific
ican
anttly
influenced
companies
infl
in
flue
u ncced tthe
he sstock
tock
to
ck lliquidity
iqui
iq
uidi
dity
ty and return volatility
volati
tili
lity
ty of
of manufacture
manu
ma
nuffac
actu
ture
re com
mpa
pani
nies
es in
Indonesia.
Meanwhile
result
Indo
In
done
nesi
sia.
a. Me
Mean
anwh
whil
ilee th
thee re
resu
sult
lt for
for India
Ind
dia shows
sho
hows
ws that
tha
hat Investors’
Inve
In
vest
stor
ors’
s’ attention
att
tten
enti
tio
on hhas
as only
significantly
volatility
manufactures
companies.
sign
si
gnif
ific
icantly influenced
influe
uenc
nced
ed the
he rreturn
eturn vo
et
vola
lati
tili
litty of ma
manu
nufact
ctur
ures
es companies
es.
liquidity,
Keywords: Investors’ attention, rreturn,
eturn, liqu
uidity, return volatility, Google trends
xviii