SENTIMENT, RETURN AND VOLATILITY ON BANKS IN INDONESIA

Dian Safitri P. Koesoemasari, Tulus Haryono, Doddy Setiawan

Abstract


We study the effect of sentiment with returns and volatility. We predict that sentiment has a large effect on securities valuation, which makes it difficult to arbitrage. A research uses a multiple linear regression analysis. Consistent with these predictions, the results of this study find that returns have a significant negative effect on sentiment while volatility has a significant positive effect. The results of this study indicate that sentiment with returns has a correlation inversely, if the sentiment rises then the return has decreased or vice versa. Another proof of this research is that sentiment moves in the direction of volatility.

 

Keywords: Sentiment, Return, Volatility


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References


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