INVESTOR ATTENTION, MACROECONOMICS PARAMETERS, AND FIRM PERFORMANCE: AN EMPIRICAL STUDY OF PUBLICLY LISTED COMPANIES IN JAKARTA ISLAMIC INDEX
Muhammad Geovani Hasnam, Berto Usman

Department of Management, Faculty of Economics and Business, University of Bengkulu

Abstract

The purpose of this study is to examine the effect of Investors^ Attention proxied by Google Search Volume (GSV), and its association with Firm Performance measured by Return (RET) and stock Liquidity (LIQ) of Publicly Listed Companies (PLCs) incorporated in Jakarta Islamic Index (JII), Indonesia Stock Exchange (IDX). This study is deemed interesting as it relates to the remarkably growth of Internet users in Indonesia and the increasing awareness of investing in sharia-based index. Also, several Macroeconomics variables were used in the empirical analysis. In particular, this study uses a sample of 11 PLCs listed in JII index with a monthly observations data spanning from January 2015 to December 2020. The analysis employs a panel regression data analysis with 792 firm-month-year observations. The empirical findings indicates that Investors^ Attention and Interest rates had shown insignificant association with return. While, GDP, inflation, and the exchange rate have shown a positive effect on returns. Moreover, investor attention, which is also proxied by GSV has indicated a positive and significant association with stock liquidity. Whilst, macroeconomics indicators, in addition to this, do not show any relationship with liquidity.

Keywords: Investor attention, return, liquidity, google search volume, macroeconomics, JII.

Topic: Financial