Indonesian Covid-19 Pandemic Trends: Sentiment Analysis and Stock Return Connectedness

Kholilah Kholilah; M. Tojibussabirin; Eris Tri Kurniawati

doi:10.2991/978-2-38476-002-2_55

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Indonesian Covid-19 Pandemic Trends: Sentiment Analysis and Stock Return Connectedness

Authors

Kholilah Kholilah¹^{, 2}^{, *}, M. Tojibussabirin¹, Eris Tri Kurniawati¹

¹Universitas Brawijaya, Malang, Indonesia

²UIN Maulana Malik Ibrahim, Malang, Indonesia

^*Corresponding author. Email: kholilah.feb@student.ub.ac.id

Corresponding Author

Kholilah Kholilah

Available Online 14 March 2023.

DOI: 10.2991/978-2-38476-002-2_55 How to use a DOI?
Keywords: Sentiment Investor; Stock Return; Google Search
Abstract: 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.
Copyright: © 2023 The Author(s)
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title: Proceedings of the 4th Annual International Conference on Language, Literature and Media (AICOLLIM 2022)
Series: Advances in Social Science, Education and Humanities Research
Publication Date: 14 March 2023
ISBN: 978-2-38476-002-2
ISSN: 2352-5398
DOI: 10.2991/978-2-38476-002-2_55 How to use a DOI?
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

ris enw bib

TY  - CONF
AU  - Kholilah Kholilah
AU  - M. Tojibussabirin
AU  - Eris Tri Kurniawati
PY  - 2023
DA  - 2023/03/14
TI  - Indonesian Covid-19 Pandemic Trends: Sentiment Analysis and Stock Return Connectedness
BT  - Proceedings of the 4th Annual International Conference on Language, Literature and Media (AICOLLIM 2022)
PB  - Atlantis Press
SP  - 585
EP  - 596
SN  - 2352-5398
UR  - https://doi.org/10.2991/978-2-38476-002-2_55
DO  - 10.2991/978-2-38476-002-2_55
ID  - Kholilah2023
ER  -

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