The Effect of Google Trend as Determinant of Return and Liquidity in Indonesia Stock Exchange

Ridwan Nurazi, Paulus Sulluk Kananlua, Berto Usman

Abstract


ABSTRACT

The impressive progress of information technology has substantially impacted economic development. Given this condition, the diffusion of information technology is related to the improvement of activities in the capital market, in which asymmetric information between investors can diminished to the lowest level. Thereby, we considered that information retrieval over the internet contributes to return and liquidity. We performed Google Trend (GT) as the surrogated indicator in attenuating the asymmetric information in Indonesia Stock Exchange. By utilizing 5976 observation data from 83 cross-sectional companies and 72 monthly time series ranging from January 2007 to December 2012, we noted that the information retrieval over the Internet has negative (p<0.05) contribution to return (RET). On the other hand, we confirmed that the information retrieval over the internet (GT) is positively (p<0.01) related to liquidity which is surrogated by trading volume (TV).

Keywords: Asymmetric information; Google trend; return; trading volume

ABSTRAK

Kemajuan teknologi informasi telah membawa impak yang cukup besar terhadap pembangunan ekonomi. Berdasarkan situasi ini, penyebaran teknologi maklumat adalah berkait dengan peningkatan aktiviti transaksi di dalam pasaran modal, di mana tahap asimetri maklumat antara pelabur boleh berkurangan ke tahap terendah. Oleh sebab itu, kita mengandaikan bahawa pencarian maklumat melalui internet memberi sumbangan kepada pulangan dan kecairan. Kami menggunakan Google Trend (GT) sebagai indikator wakil dalam mengukur asimetri maklumat di Bursa Saham Indonesia. Dengan menggunakan 5976 data pemerhatian dari 83 syarikat dan 72 siri masa dari Januari 2007 hingga Disember 2012, kami mendapati bahawa pencarian maklumat melalui Internet menunjukkan hubungan negatif (p<0.05) terhadap pulangan (RET). Dalam konteks lain, kajian ini juga mengesahkan bahawa pencarian maklumat melalui internet (GT) adalah berhubungan secara positif (p<0.01) dengan kecairan yang diwakili oleh jumlah jualbeli (TV).

Kata kunci: Asimetri maklumat; google trend; pulangan; jumlah jualbeli


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