Indonesian Covid-19 pandemic trends: sentiment analysis and stock return connectedness

Kholilah, Kholilah ORCID:, Tojibussabirin, M. and Kurniawati, Eris Tri (2023) Indonesian Covid-19 pandemic trends: sentiment analysis and stock return connectedness. Presented at The 4th Annual International Conference on Language, Literature and Media (AICOLLIM 2022), 21-22 Sep 2022, Malang, Indonesia.

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The study aims to analyze the causality relationship of investor sentiment and stock returns during a pandemic. This research is important because the massive impact of the pandemic in various sectors has caused changes in investors’ financial behavior, including an increase in covid 19 keyword searches and vaccines on google trends. The word vaccine was categorized as positive sentiment whereas the word covid 19 pandemic as negative sentiment. All data were obtained from google trend from January 2020 to December 2021. The stock return data from January 2020 to December 2021 were obtained from yahoo finance. This study used vector autoregressive to test the causality relationship of the two variables. There is a causality relationship between investor sentiment and stock returns because most investors are noise traders. Hence, their investment is categorized as a herding behavior where one investor prefers to follow the decisions made by other investors.

Item Type: Conference (Paper)
Keywords: sentiment investor; stock return; Google search
Subjects: 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150201 Finance
Divisions: Faculty of Economics > Department of Accounting
Depositing User: Kholilah Kholilah
Date Deposited: 28 Mar 2023 10:59


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