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Abstract
This study examines the impact of investor sentiment, changes in exchange rates, and foreign capital flow on the Jakarta Islamic Index's return. This study uses daily data between January 2, 2017, and December 30, 2021. After examining the characteristics of autocorrelation and stationarity, we apply the Difference-Generalized Methods of Moment (D-GMM) model. In short, we do not find the effect of investor sentiment on stock returns in both contemporaneous and lag periods. Meanwhile, significant changes in exchange rates have a negative effect on stock returns on contemporaneous and lags, but foreign portfolio flows on contemporaneous and significant lags positively affect stock returns. Thus, our results have implications for trading strategies, asset pricing, and portfolio management carried out by foreign investors on Islamic stocks in Indonesia.
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Ansari, R., Al Hashfi, R. U., dan Setiyono, B. 2020. Examining Causality Effects On Stock Returns, Foreign Equity Inflow, and Investor Sentiment: Evidence From Indonesian Islamic Stocks. Indonesian Capital Market Review. Vol 12 (2).120-136. https://doi.org/10.21002/icmr.v12i2.12750
Albuquerque, R., H. Bauer, G., & Schneider, M. (2009). Global private information in international equity markets. Journal of Financial Economics, 94(1), 18–46. https://doi.org/10.1016/j.jfineco.2008.06.008
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Arellano, M., dan Bover, O. 1995. Another look at the instrumental variable estimation of error-components models. Journal of Econometrics. Vol 68 (1). 29-51. https://doi.org/10.1016/0304-4076(94)01642-D
Anand, A., Basu, S., Pathak, J., dan Thampy, A. 2021. The impact of sentiment on emerging stock markets. International Review of Economics & Finance. Vol 75. 161-177. https://doi.org/10.1016/j.iref.2021.04.005
Aouadi, A., Arouri, M., dan Teulon. 2013. Investor attention and stock market activity: Evidence from France. Economic Modelling. Vol 35. 674-681. https://doi.org/10.1016/j.econmod.2013.08.034
Baker, M., dan Wurgler, J. 2006. Investor sentiment and the cross-section of stock returns. The Journal of Finance. Vol 61(4). 1645-1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x
Branson, W. H. and Henderson, D. W. 1985. The specification and influence of assets markets. in Jones, R.W. and Kenen, P.B. (Eds), Handbook of International Economics, Vol. 2, Elsevier, Amsterdam.
Brown, G. W., dan Cliff, M. T. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance. Vol 11 (1). 1-27. https://doi.org/10.1016/j.jempfin.2002.12.001
Bahmani-Oskooee, M., dan Saha, S. 2015. On the relation between stock prices and exchange rates: a review article. Journal of Economic Studies, Vol. 42 (4). 707-732. https://doi.org/10.1108/JES-03-2015-0043
Bahmani-Oskooee, M., dan Saha, S. 2016. Do exchange rate changes have symmetric or asymmetric effects on stock prices?. Global Finance Journal. Vol. 31. 57-72. https://doi.org/10.1016/j.gfj.2016.06.005
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Blundell, R., dan Bond, S. 1998. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics. Vol 87 (1), 115-143. https://doi.org/10.1016/S0304-4076(98)00009-8
Chadwick, M. G. 2019. Dependence of the “Fragile Five” and “Troubled Ten” emerging market financial systems on US monetary policy and monetary policy uncertainty. Research in International Business and Finance. Vol 49. 251-268. https://doi.org/10.1016/j.ribaf.2019.04.002
Cagli, E. C., Ergün, Z. C., dan Durukan, M. B. 2019. The causal linkages between investor sentiment and excess returns on Borsa Istanbul Borsa Istanbul Review. Borsa Istanbul Review. Vol 20 (3). 214-223. https://doi.org/10.1016/j.bir.2020.02.001
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