Dian Safitri P. Koesoemasari, Tulus Haryono, Doddy Setiawan


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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