ANALISIS PENGARUH SENTIMEN INVESTOR DAN HUBUNGANNYA DENGAN KARAKTERISTIK PERUSAHAAN TERHADAP RETURN SAHAM PADA SAHAM JAKARTA ISLAMIC INDEX PERIODE TAHUN 2017 - 2020

SUTANTO, CHRISDIAN (2021) ANALISIS PENGARUH SENTIMEN INVESTOR DAN HUBUNGANNYA DENGAN KARAKTERISTIK PERUSAHAAN TERHADAP RETURN SAHAM PADA SAHAM JAKARTA ISLAMIC INDEX PERIODE TAHUN 2017 - 2020. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study was conducted to test the effect of investor sentiment on stock returns by involving company characteristics factors in the Jakarta Islamic Index stock for the period 2017-2020. Investor sentiment is unique because it involves investors' financial behavior which is represented by 4 components in technical analysis, namely the relative strength index (RSI), psychological line index (PLI), logarithm trading volume (LTV) and adjusted turnover rate (ATR). company characteristics are represented by stock prices as one of the sensitive factors for investors. This study used a sample of 13 companies listed on the Jakarta Islamic Index which were analyzed using the purposive sampling method where the composition of the company sample was taken from companies that were consistently on the Jakarta Islamic Index. The analysis used in this study is logistic regression analysis. The results show that there is an influence between each component of investor sentiment (RSI and LTV) and the sentiment index on the probability of stock returns on the Indonesia Stock Exchange for the period 2017-2020. Meanwhile, the PLI and ATR components have no effect on the probability of stock returns. In addition, stock prices also affect the strength and weakness of the influence between investor sentiment and the probability of stock returns. Keywords : RSI, PLI, LTV, ATR, sentiment index Penelitian ini dilakukan untuk melakukan uji pengaruh antara sentimen investor terhadap return saham dengan melibatkan faktor karakteristik perusahaan pada saham Jakarta Islamic Index periode tahun 2017-2020. Sentimen investor menjadi hal yang unik dikarenakan melibatkan perilaku keuangan investor yang diwakili oleh 4 komponen dalam analisis teknikal, yakni relative strength index (RSI), psychological line index (PLI), logarithm trading volume (LTV) dan adjusted turnover rate (ATR), sementara karakteristik perusahaan diwakili oleh harga saham sebagai salah satu faktor yang sensitif bagi para investor. Penelitian ini menggunakan sampel sebanyak 13 perusahaan yang terdaftar pada Jakarta Islamic Index yang dianalisis menggunakan metode Purposive sampling dimana komposisi sampel perusahaan diambil dari perusahaan yang secara konsisten berada pada Jakarta Islamic Index. Analisis yang digunakan dalam penelitian ini adalah logistic regression analysis. Hasil penelitian menunjukkan bahwa terdapat pengaruh antara masing-masing komponen sentimen investor (RSI dan LTV) maupun indeks sentimen terhadap probabilitas return saham di Bursa Efek Indonesia periode tahun 2017-2020. Sementara untuk komponen PLI dan ATR tidak memiliki pengaruh terhadap probabilitas return saham. Selain itu juga harga saham mempengaruhi kuat lemahnya pengaruh antara sentimen investor dengan probabilitas return saham. Kata kunci : RSI, PLI, LTV, ATR, indeks sentimen

Item Type: Thesis (S2)
NIM/NIDN Creators: 55119110028
Uncontrolled Keywords: RSI, PLI, LTV, ATR, indeks sentimen
Subjects: 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan > 657.32 Preparing Financial Statements/Menyiapkan Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.45 Auditing/Audit
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.45 Auditing/Audit > 657.452 Audit Reports/Laporan Audit
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.45 Auditing/Audit > 657.453 Auditing of Computer-Processed Accounts/Mengaudit Laporan yang Diproses Komputer
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 23 Mar 2022 02:14
Last Modified: 23 Mar 2022 02:14
URI: http://repository.mercubuana.ac.id/id/eprint/58646

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