SENTIMEN INVESTOR SPESIFIK PERUSAHAAN, LIKUIDITAS SAHAM DAN RISIKO CRASH HARGA SAHAM: STUDI EMPIRIS DI INDONESIA

U'UM MUNAWAROH, Prof. Dr. Mamduh M. Hanafi, M.B.A., Ph.D.

2022 | Tesis | MAGISTER SAINS MANAJEMEN

Penelitian ini bertujuan untuk menganalisis pengaruh sentimen investor spesifik perusahaan dan likuiditas saham serta menguji peran saham syariah terhadap risiko crash harga saham di Indonesia selama periode 2011-2019. Proksi yang digunakan untuk mengukur sentimen investor spesifik perusahaan terdapat empat variabel yaitu Relative strength index (RSI), Psychological line index (PLI), Adjusted turnover rate (ATR), dan Natural log of the trading volume (LNV). Keempat variabel tersebut dibentuk menggunakan principal component analysis (PCA). Penelitian ini menggunakan 280 saham yang terdaftar di BEI, dimana 111 saham syariah dan 169 non-syariah. Berkenaan dengan metode, pendekatan Hausman-Taylor (H-T) digunakan untuk menangani heterogenitas, endogenitas, dan variabel time-invariant. Hasilnya menunjukkan bahwa sentimen investor spesifik perusahaan berpengaruh positif terhadap risiko crash harga saham. Sedangkan likuiditas saham terbukti memiliki pengaruh negatif pada risiko crash harga saham, serta berperan memperlemah pengaruh sentimen investor terhadap risiko crash harga saham di masa depan. Sementara itu, pengaruh negatif saham syariah terhadap risiko crash harga saham tidak terbukti signifikan. Menariknya, saham syariah terbukti signifikan memperlemah pengaruh sentimen investor dalam mendorong terjadinya risiko crash harga saham di masa mendatang.

This study aims to analyze the effect of firm-specific investor sentiment and stock liquidity in stock price crash risk in Indonesia during the 2011-2019 period. We also examine the role of Islamic values in stock price crash risk. There are four proxies used to measure firm-specific investor sentiment, namely Relative strength index (RSI), Psychological line index (PLI), Adjusted turnover rate (ATR), and Natural log of the trading volume (LNV). The four variables were formed using principal component analysis (PCA). This study uses 280 stocks listed on the IDX, of which 111 are Islamic stock and 169 are non-Sharia stock. Concerning the method, the Hausman-Taylor (H-T) approach was used to treat heterogeneity, endogeneity, and time-invariant variables. The results show that firm-specific investor sentiment has a positive effect on stock price crash risk. Meanwhile, stock liquidity has been shown to have a negative effect and also plays a role in weakening the influence of firm-specific investor sentiment on stock price crash risk in the future. Meanwhile, the negative effect of Islamic stocks in stock price crash risk was not proven to be significant. Interestingly, Islamic stocks have been proven to significantly weaken the effect of firm-specific investor sentiment in encouraging the stock price crash risk in the future.

Kata Kunci : risiko crash, sentimen investor, likuiditas saham, saham syariah, Indonesia