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
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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
v
This thesis is dedicated to:
My Jesus Christ
My Parents
(Bpk.Panji Susilo & Ibu Antini)
My Sister and Brother
(Adelheid Fransiska W.I. S. & Claudio Adrian S.)
My Special One
(Yosafat Bayu P.)
All of My Friends
MMyy JJessus CChhrist
My Parents
(Bpk.Panji Susilo & Ibu Antinii))
My Sister and Brother
(Adelheid Fransiska W.I. S. & Claudio Adrian S.)
My SSppecial One
((YYoossaaffatt BBaayyuu PP.))
All of My FFriends
vi
Everything you can imagine is real
(Pablo picasso)
You have to know that being wrong is part of the process
(Peter Bernstein, one of the most prominent investment experts)
Success is not final, failure is not fatal: it is the courage to continue that counts
(Winston churchill)
YYoouu haavve to know that being wrong iss ppaarrtt ooff tthe process
(Peter Bernstein, one of the most prominent investment expererts))
Table 20 Price Earnininngs ratio of Manufacture Companiieses Indonesia vs.
India .................................................................................... ............................. .................
Table 2121 Ages of Mananufufacactut re Companies Inddonnesesiaia vvss. India ......................
Taabble 22 CCororrerelalattion MMatatririx for Manufacture Comppananies in IIndndononese ia ..........
Table 2323 CCorrelalattion Matrix for Manufacture Companies in IIndn ia ......................
Taablble 224 CChhow test result for hypothesis 1a ..................................... ...................
TaTablble 255 Result for hypothesis 1a using common model ....................................
Table 226 Chow test result for hypothesis 1b ...................................................
Table 27 Hausman test for hypothesis 1b .......................................................
Tabllee 228 Result for hyhypopoththesesisis 11b using fixed d efeffefectct ..........................................
TaT ble 29 Result for hypothesis 2a ussining g ccommon model ...............................
TaTablble e 303 Chow test result for hypothesis 2b ......................................................
TaTablble 31 HHausman ttesest t fofor hypoththesesisis 22b b ..............................................................
Tablle e 3232 Result t fofor hypothesis 2b b usu ing fixexed effect ............................................
Table 33 Chow test result for hyppothesis 3a ...................................................
Table 34 Hausman test for hypothhesis 3a ........................................................
Table 35 Result for hypothesis 3a ussing fifixed effect ......................................
Table 36 Result for hypothesis 3b usinng common model
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7070
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7272
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LIST OF FIGURES
Figure 1 Development of Internet users in Indonesia and India In the year 1990-2012 ......................................................................................
Figure 2 Pattern of internet users in Indonesia.................................................
Figure 3 Graph of Google Trends for ASII stock ticker in Indonesia in the year 2012 ..........................................................................................................
Figure 4 Graph of Google Trends for “Ades” keywords in Indonesia in the year 2005-2012.................................................................................................
Figure 5 Graph of Google Trends for “Ades” regional interest search in Indonesia in the year 2005-2012 ......................................................................
Figure 6 Graph of Google Trends for “Ades” related searches terms in Indonesia in the year 2005-2012 .....................................................................
Figure 7 Indonesia Capital Market Structure ...................................................
5
5
24
24
24
25
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Figure 1 Development of Interneet t uusers in Indonesia and Indndiaia In the year 1990-2010122 .......................................................................................
Figure 2 Patttetern of internet usersrs in n InIndodonenesisia...................................................
Figuree 33 Graph of GoGoogoglele Trends for ASII stockck tticickekerr in Indonesia iin n theyearr 22012 ................. ..................................................................................................... ....
FFigure 44 GGraraphph of GoGoogle Trends for “Ades” keywords inin Indononesesiaia in theyear 2200005-5-220122.........................................................................................................
Fiigugure 5 GGrraph of Google Trends for “Ades” regional interest ses archch iinn InIndodonnesia a in the year 2005-2012 ...........................................................................
FiFiggure 66 Graph of Google Trends for “Ades” related searches termms inn Indoneesia in the year 2005-2012 .....................................................................
Figuree 7 Indonesia Capital Market Structure ...................................................
5
5
24
24
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2525
31
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LIST OF APPENDICES
Appendix 1: Sample List of India Manufacturing Companies
Appendix 2: Sample List of Indonesia Manufacturing Companies
Appendix 3: Number of Manufacturing Companies Sample in Indonesia
Appendix 4: Number of Manufacturing Companies Sample in India
Appendix 5: Descriptive Statistic Table of Dependent Variables in Indonesia
Appendix 6: Descriptive Statistic Table of Dependent Variables in India
Appendix 7: Descriptive Statistic Table of Dependent Variables in Indonesia
Appendix 8: Descriptive Statistic Table of Dependent Variables in India
Appendix 9: Google Search Volume Index of Manufacture Companies Indonesia
vs. India
Appendix10: Trading Volume of Manufacture Companies Indonesia vs. India
Appendix 11: Standard Deviation of Manufacture Companies Indonesia vs. India
Appendix 12: Return of Manufacture Companies Indonesia vs. India
Appendix 13: Size of Manufacture Companies Indonesia vs. India
Appendix 14: Market to Book ratio of Manufacture Companies Indonesia vs.
India
Appendix 15: Price Earnings ratio of Manufacture Companies Indonesia vs. India
Appendix 16: Ages of Manufacture Companies Indonesia vs. India
Appendix 17: Correlation Matrix for Manufacture Companies in Indonesia
Appendix 18: Correlation Matrix for Manufacture Companies in India
Appendix 19: Chow Test Result for Hypothesis 1a
Appendix 1: Sample List of Indndiaia Manufactuturiringng Companies
Appendix 2: Sampplele LList of Indonesia Manufacturing CComompanies
Appendix 3:: NNumber of Manufafactc uru ining g CoCompm ananies Sample in InIndod nesia
Appendndiix 4: Numberr of f MaM nufacturing Compannieies s SaSammple in India
ApAppendix 55:: DeDescs riptivvee StStatistic Table of Dependedentnt Variablbleses iin n Indonesisia
Appendndixix 66: Deesscriptive Statistic Table of Dependent Variablbles in InIndidiaa
ApAppep dndix 77: Descriptive Statistic Table of Dependent Variables iin n Indodonenesia
ApAppep ndixix 8: Descriptive Statistic Table of Dependent Variables in Inndia
Appenddix 9: Google Search Volume Index of Manufacture Companiess Indonesiaa
vs. India
Appeendndix10: Trading g VoVolulumeme oof Manufacturree CoCompmpananieies Indonesia vsvs. IIndia
ApA pendix 11: Standard Deviation ofof MMananufacture Companies Indonesia vs. IIndndiaia
ApAppeendndix 12: Return of Manufacture Companies Indonesia vs. India
ApAppependix 1133: SSiize ofof MMananufacturere CComompapaninies Inddononesesiaia vs. II dndiia
Appeendndixi 14: MMaarkket to Book raratio of MManufacture CComompapanies IIndndonesia vs.
India
Appendix 15: Price Earnings ratioo of Manufufacture Companies Indonesia vs. India
Appendix 16: Ages of Manufacture CCommppanies Indonesia vs. India
Appendix 17: Correlation Matrix for MaM nufacture Companies in Indonesia
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Appendix 20: Result for hypothesis 1a using common model
Appendix 21: Chow test result for hypothesis 1b
Appendix 22: Hausman test for hypothesis 1b
Appendix 23: Result for hypothesis 1b using fixed effect
Appendix 24: Result for hypothesis 2a using common model
Appendix 25: Chow test result for hypothesis 2b
Appendix 26: Hausman test for hypothesis 2b
Appendix 27: Result for hypothesis 2b using fixed effect
Appendix 28: Chow test result for hypothesis 3a
Appendix 29: Hausman test for hypothesis 3a
Appendix 30: Result for hypothesis 3a using fixed effect
Appendix 31: Result for hypothesis 3b using common model
Appendix 32: Google search volume index manufacture companies in India
Appendix 33: Trading volume of manufacture companies in India
Appendix 34: Return volatility of manufacture companies in India
Appendix 35: Return of manufacture companies in India
Appendix 36: Size of manufacturing companies in India
Appendix 37: Market to book ratio of manufacturing companies in India
Appendix 38: Price earnings ratio of manufacture companies in India
Appendix 39: Age of manufacturing companies in India
Appendix 40: Google search volume index of manufacture companies in Indonesia
Appendix 41: Trading volume of manufacture companies in Indonesia
Appendix 42: Return volatility of manufacture companies in Indonesia
Appendix 22: Hausman test foforr hyhypothesis 11bb
Appendix 23: Resulultt ffor hypothesis 1b using fixed effectct
Appendix 24:4: Result for hypothheesisis 22a ususining g coommm on model
Appendndiix 25: Chow tetestst rese ult for hypothesis 22bb
ApAppendix 226:6: HHaua smann tteest for hypothesis 2b
Appendndixix 227: RReesult for hypothesis 2b using fixed effect
ApAppep dndix 2288: Chow test result for hypothesis 3a
ApAppep ndixix 29: Hausman test for hypothesis 3a
Appenddix 30: Result for hypothesis 3a using fixed effect
Appenndix 31: Result for hypothesis 3b using common model
Appeendndix 32: Googlg ee seseararchch vvololume index mamanunufafactctururee companies inn IIndndia
ApA pendix 33: Trading volume of mananuffacacture companies in India
ApAppeendndix 34: Return volatility of manufacture companies in India
ApAppependix 3355: RR teturrnn ofof mmanufacctuturere ccomompapanies in InIndidiaa
Appeendndixi 36: SSizizee of manufacturiringn compapanies in India
Appendix 37: Market to book rattio of manuffacturing companies in India
Appendix 38: Price earnings ratioo of manuffacture companies in India
Appendix 39: Age of manufacturing g commpanies in India
Appendix 40: Google search volume innddex of manufacture companies in Indonesia
xvii
Appendix 43: Return of manufacture companies in Indonesia
Appendix 44: Size of manufacture companies in Indonesia
Appendix 45: Market to book ratio of manufacture companies in Indonesia
Appendix 46: Price earnings ratio of manufacture companies in Indonesia
Appendix 47: Age of manufacture companies in Indonesia
Appendix 45: Market to book k raratitio of manufufacactuture companies in Indonesia
Appendix 46: Pricee eearnings ratio of manufacture compapanin es in Indonesia
Appendix 47:7: Age of manufacturure cocompmpananieies inn Indonesia
xviii
INFLUENCE OF INVESTORS’ ATTENTION ON STOCK RETURN,
LIQUIDITY, AND RETURN VOLATILITY COMPARISON BETWEEN
MANUFACTURE COMPANIES IN INDONESIA AND INDIA
Compiled by:
Noviana Icha Puspita Sari
Student ID Number: 10 12 18478
Supervisor A. Jatmiko Wibowo, SE., SIP., MSF.
ABSTRACT
This research aims to examine the influence of investors’ attention of company stock on stock return, liquidity, and return volatility comparison between manufacture companies in Indonesia and India in the year of 2011-2013.Investors’ attention is measured by direct proxy which is Google search volume index from Google trends. This research uses secondary data and processed by regression analysis. The samples are gathered from Indonesia stock exchange and India stock exchange. The result of this research concludes that the investors’ attention that measured using Google search volume index is significantly influenced the stock liquidity and return volatility of manufacture companies in Indonesia. Meanwhile the result for India shows that Investors’ attention has only significantly influenced the return volatility of manufactures companies.
Keywords: Investors’ attention, return, liquidity, return volatility, Google trends
Compiled by:
Novivianana IIchaha PPusu pip taa SSari
SStudent ID Number: 10 1212 11848 78
Supeervrvisisor A. Jatmiko Wibowo, SSE., SISIP.P.,, MMSF.
ABSTRACT
This research aims to examine the influence of investors’ attention of compaany stock on stock return, liquidity, and return volatility comparriisonn beb tweeen manufacture companies in Indonesia and India in the year of 20111-2-20133.Invevestoors’ attention is measured by direct proxy y which is Google seaarchch volummeeindex ffrom Gooooglglee ttrends. Thhisis rresearch ususes secondad ryry ddata a and processed d byby regression analysis. The samples araree gaththerer ded from Indonesia stock exchangee aandnd InIndia stock exchange. The result off ththis research concludes that the inveveststororss’ ata tetentn ion that measured using Google search volume index is signgniificicananttly ininflflueu ncceded tthehe sstotockck lliqiquiuididityty and return volatitililityty ooff mamanunuffacactuturere commpapaninieses inffffInIndodonenesisia.a. MeMeananwhwhililee ththe e reresusultlt fforor IInddiaia sshohowsws tthahat InInveveststorors’s’ aattttenentitioon hhaas only sisigngnifificicantly influeuencnceded thehe rreteturn vovolalatitililitty of mamanunufactcturureses companieses.
Keywords: Investors’ attention, rreturn, liquuidity, return volatility, Google trends