Pengaruh Kepemilikan dan Sentimen Investor Individu terhadap Return Saham
Putu Tirta Aditya, Jogiyanto Hartono M, Prof., Dr., MBA., Ak., CMA., CA.,
2024 | Tesis | S2 Ilmu Akuntansi/Akuntansi Terapan
This study aims to analyze the effects of individual investor stock ownership and sentiment on the stock returns of the technology sector in Indonesia. The net ownership of individual investors excluded the holdings of directors, commissioners, and individual investor with more than 5% of shares. The approach used to measure individual investor sentiment involved the buy-sell imbalance from individual investor transactions and analyzed their comments on social media through the Stockbit platform. This study collected 27.892 comments, which were then manually eliminated to 1.633 comments. From these, 49 specialized dictionaries were compiled using a lexicon-based sentiment analysis technique. The specialized dictionaries were subsequently used to support content analysis in determining media sentiment polarization. The findings of this study indicated that individual stock ownership had negative effects on stock returns, while individual investor sentiment had positive effects on stock returns. These findings reveal that individual investors act as liquidity providers for institutional investors and often engage in dumb money behavior in financial markets. This study suggests the establishment of new institutions to conduct surveys on individual investor sentiment, assist authorities in enhancing financial market literacy and inclusion through financial education, information education to prevent excessive trading, and better portfolio management.
Kata Kunci : Sentimen Investor Individu, Kepemilikan Investor Individu, Return Saham, Ketidakseimbangan Beli-Jual, Komentar Sosial Media, Analisis Konten, Lexicon, Sektor Teknologi./Individual Sentiment Investor, Individual Stock Ownership, Stock Return, Buy-Sell Imba