MODERATING SIZE EFFECT ON THE GOOGLE SEARCH TRAFFIC AND ITS INFLUENCE ON STOCK RETURN, LIQUIDITY, AND VOLATILITY EMPIRICAL STUDY: SMALL CAP AND BIG CA P MANUFACTURING FIRMS IN INDONESIA STOCK EXCHANGE
| Main Authors: | , PINGKAN NARESWARI, , Prof. Dr. Jogiyanto Hartono M., M.B.A., CMA. |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2013
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/125801/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65979 |
Daftar Isi:
- This study aims to examine the effect of investor attention that is represented by the record of Google traffic using Google trends to return, liquidity, and volatility of stock returns. The study also further compares the result when the sample tested is being broken down into two categories: small cap and big cap company of manufacturing firms in Indonesia Stock Exchange during the period from 2010 to 2012. This study would lead to the result that searching online information through Google is one of the efforts to reduce information asymmetric and, therefore, switches the uninformed investors into informed investors. This will help investors in making investment decisions with the impact on liquidity of the stock which, consequently, will also affect its volatility returns. Although it is thought that the effect for big cap company is less significant than the small cap company, in this study it is found that there is no significant effect of size.