THE INFLUENCE OF FOREIGN AND DOMESTIC INVESTORS ON THE PRICE AND VOLUME OF STOCKS THE INDONESIAN STOCK EXCHANGE: TESTING JANUARY EFFECT
Main Article Content
Sri Hermuningsih
Pristin Prima Sari
Anisya Dewi Rahmawati
Areza Marta Brona, R. R. & P. P. S. (2022). Pengaruh Profitabilitas, Resiko Bisnis Dan Pertumbuhan Penjualan Terhadap Struktur Modal pada Perusahaan Property dan Real Estate di BEI Periode 2016-2020. MES Management Journal, 22(2), 849–852.
Arora, R. K. (2016). The Relation between Investment of Domestic and Foreign Institutional Investors and Stock Returns in India. Global Business Review, 17(3). https://doi.org/https://doi.org/10.1177/0972150916630830
Atiase, R., Ajinkya, B., Dontoh, A., & Gift, M. (2011). (2011). The fundamental determinants of trading volume reaction to financial information: Evidence and implications for empirical capital market research. Journal of Financial Research. https://doi.org/10.1111/j.1475-6803.2010.01285.x.
AVCI, Ö. B. (2015). Effect of Foreign Investor Transactions on Stock Market Returns. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(4). https://doi.org/10.17065/huiibf.11063
Behrendt, S., & Schmidt, A. (2021). Nonlinearity matters: The stock price – trading volume relation revisited. Economic Modeling, 98, 371–385. https://doi.org/https://doi.org/10.1016/j.econmod.2020.11.004
Bena, J., Ferreira, M. A., Matos, P., & Pires, P. (2017). Are foreign investors locusts? The long-term effects of foreign institutional ownership. Journal of Financial Economics, 126(1), 122–146. https://doi.org/10.1016/j.jfineco.2017.07.005
Bougie, U. S. & R. (2012). Research Method For Business : A Skill Building Approach. John Wiley & Sons Ltd, fifth Edit.
Brzeszczyński, J., & Ibrahim, B. M. (2019). A stock market trading system based on foreign and domestic information. Expert Systems with Applications, 118. https://doi.org/10.1016/j.eswa.2018.08.005
Chan, K., Li, F., Lin, J.-C., & Lin, T.-C. (2017). What do stock price levels tell us about the firms? Journal of Corporate Finance, 46, 34–50. https://doi.org/https://doi.org/10.1016/j.jcorpfin.2017.06.013.
Chiang, S. J., Tsai, L. J., Shu, P. G., & Chen, S. L. (2012). The trading behavior of foreign, domestic institutional, and domestic individual investors: Evidence from the Taiwan stock market. Pacific Basin Finance Journal, 20(5). https://doi.org/10.1016/j.pacfin.2012.03.002
Choe, H., Kho, B. C., & Stulz, R. M. (2005). Do domestic investors have an edge? The trading experience of foreign investors in Korea. Review of Financial Studies, 18(3). https://doi.org/10.1093/rfs/hhi028
Dahlquist, M., & Robertsson, G. (2001). Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics, 59(3), 413–440.
Damanik, J. M., & Tandelilin, E. (2022). Strategi Dan Kinerja Investasi Dalam Aktivitas Perdagangan Investor Asing Vs Investor Domestik. Jurnal Manajemen Universitas Bung Hatta, 17(1). https://doi.org/10.37301/jmubh.v17i1.19997
Djulius, H., Wongyu, C., Juanim, J., & Santy, R. D. (2019). Nexus of Foreign Direct Investment, Domestic Investment, and Manufacturing Industry Value Added in Indonesia. Signifikan: Jurnal Ilmu Ekonomi, 8(1), 1–8. https://doi.org/10.15408/sjie.v8i1.9520
Effendy, M., & Pamungkas, A. D. (2018). Analisis Beta Saham Harian Terhadap Imbal Saham Harian Sebuah Studi Kasus Saham-Saham LQ45 pada Periode Februari – Juli 2015. Jurnal Ilmiah Manajemen Kesatuan, 6(1), 033–042. https://doi.org/10.37641/jimkes.v6i1.34
Fajri, M. B., Wihandaru, W., & Hakim, A. L. (2020). Analysis The Effect of Trading Volume Activity and External Factors to Composite Stock Price Index. Management and Economic Journal (MEC-J), 4(3), 201–214. https://doi.org/10.18860/mec-j.v4i3.10205
Fikasari, R., & Bernawati, Y. (2021). Internal or External Financing: New Evidence on Investor Reaction in Indonesian Manufacturing Firms. Journal of Accounting and Investment, 22(2). https://doi.org/10.18196/jai.v22i2.10711
Gendro, W. (2011). Merancang Penelitian Bisnis dengan Alat Analisis SPSS 17.0 & Smart PLS 2.0. STIM YKPN.
Ghozali, I. (2012). Aplikasi Analisis Multivariate Dengan Program IBM SPSS (Cetakan VI) (Keenam). In Badan Penerbit Universitas Diponegoro.
Han, Y., Huang, D., Huang, D., & Zhou, G. (2022). Expected return, volume, and mispricing. Journal of Financial Economics, 143(3), 1295–1315. https://doi.org/https://doi.org/10.1016/j.jfineco.2021.05.014.
Hendrawaty, E., & Huzaimah, R. A. F. (2019). Testing of January Effect, the Day of the Week Effect, and Size Effect: a Study of LQ45 Stocks in Indonesia Stock Exchange. Jurnal Dinamika Manajemen, 10(2). https://doi.org/10.15294/jdm.v10i2.20620
Herdjiono, I., & Jumiati, J. (2022). Factors That Influence the Interest in Becoming an Investor in the Capital Market. Jurnal Economia, 18(2), 159–171. https://doi.org/10.21831/economia.v18i2.48184
Hermuningsih, S., Sari, P. P., & Rahmawati, A. D. (2021). Abnormal Returns On Indonesia Stock Exchange During Covid-19 Pandemic. Journal of Applied Business and Economic, 7(3), 367–386.
Hermuningsih, S., Sari, P. P., & Rahmawati, A. D. (2022). Has there been a Change in the Need for Additional Funds due to Covid 19: Influencing Factors. Jurnal Analisis Bisnis Ekonomi, 20(1), 83–92. https://doi.org/10.31603/bisnisekonomi.v20i1.6841
Hersugondo, H., Karim, A., & Rouf, A. (2021). Map of Return of Shares and Volume Activity Trading of Companies in Indonesia on The Pandemic Time of Covid-19. Media Ekonomi Dan Manajemen, 36(2), 156. https://doi.org/10.24856/mem.v36i2.1892
Hou, J., Yue, Y., Wang, Q., Jiabai, Y., & Zhang, M. (2023). Spillover-feedback effects of employment, energy, economy and environment (4E) between domestic-owned and foreign-invested enterprises: Taking China as an example. Journal of Clearner Production, 382(135276). https://doi.org/https://doi.org/10.1016/j.jclepro.2022.135276
Kacperczyk, M. (2021). Do Foreign Institutional Investors Improve Price Efficiency? The Review of Financial Studies, 34(3), 1317–1367.
Kang, H. C., Lee, D. W., & Park, K. S. (2010). Does the difference in valuation between domestic and foreign investors help explain their distinct holdings of domestic stocks? Journal of Banking and Finance, 34(12). https://doi.org/10.1016/j.jbankfin.2009.11.020
Kartikasari, L. H. (2017). Pengujian January Effect : Studi Komparasi Pada Bursa Efek Indonesia Dan Bursa Saham Shanghai Periode 2011-2013. Journal of Business & Banking, 6(1), 65–80. https://doi.org/10.14414/jbb.v6i1.896
Kewal, S. S., & Putranto, Y. A. (2023). Ethical Stock Portfolios : Does It Have High Risk and Low Return. Jurnal Economia, 19(1), 13–24. https://doi.org/10.21831/economia.v19i1.43957
Kim, J. B., & Yi, C. H. (2015). Foreign versus domestic institutional investors in emerging markets: Who contributes more to firm-specific information flow? China Journal of Accounting Research, 8(1). https://doi.org/10.1016/j.cjar.2015.01.001
Kim, K., & Ryu, D. (2021). Term structure of sentiment effect on investor trading behavior. Finance Research Letters, 43. https://doi.org/10.1016/j.frl.2021.102005
Lee, A. X., & Hooy, C. W. (2023). Stock Liquidity and State Ownership: Evidence from the Banking Industry of Selected Asian Emerging Markets. Asian Journal of Business and Accounting, 16(1), 1–30. https://doi.org/10.22452/ajba.vol16no1.1
Lind, D. A., Marchal, W. G., & Mason. (2012). Statistical Techniques In Business and Economics.
lMiguel A. Ferreira a, Pedro Matos b, João Pedro Pereira a, P. P. (2017). Do locals know better? A comparison of the performance of local and foreign institutional investors. Journal of Banking and Financial, 82. https://doi.org/https://doi.org/10.1016/j.jbankfin.2017.06.002
Merthadiyanti Luh & Yasa, G. (2019). Analisis Trading Volume Activity dan Bid-Ask Spread Setelah Stock Split. E-Jurnal Akuntansi, 311(10). https://doi.org/https://www.researchgate.net/publication/334275354_Analisis_Trading_Volume_Activity_dan_Bid-Ask_Spread_Setelah_Stock_Split
Nisar, S., Asif;, R., & Ali, A. (2022). Testing the Presence of the January Effect in Developed Economies. Munich Personal RePEc Archive (MPRA), 112548.
Padungsaksawadi, C., & Theerpongkaruna, S. (2023). Investor Attention and Global Stock Market Volatility: Evidence from COVID-19. Journal of Emerging Market Finance, 22(1). https://doi.org/https://doi.org/10.1177/09726527221148579
Padungsaksawasdi, Treepongkaruna, & Brooks. (2019). Investor attention and stock market activities: New evidence from panel data. International Journal of Financial Studies, 7(2). https://doi.org/https://doi.org/10.3390/ijfs7020030
Pristin Prima Sari, S. H. (2018). Foreign Ownership , Financial Leverage Dan Price To Earning Ratio ( P / E ). Sosio Ekons, 10(1), 1–10.
Radermacher Jan & Zhou, H. (2013). The Impact of News - A Study about the Links between Information Release and Trading Activity in Financial Markets. 10. https://doi.org/10.13140/RG.2.2.27420.03206.
Richards, A. (2005). Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets. Journal of Finance and Quantitative Analysis, 40(1), 1–27. https://doi.org/https://doi.org/10.1017/S0022109000001721
Ross, S. A. (1977). Determination of Financial Structure: the Incentive-Signalling Approach. Bell J Econ, 8(1), 23–40. https://doi.org/10.2469/dig.v27.n1.2
Safitri, D., & Wijanarko, H. (2010). How Does Globalization impact on Trading Volume Activity and Abnormal Return Before and After Stock Split. Repository Prosiding UPNYK, 3634. http://repository.upnyk.ac.id/3634/1/Prosiding_01.pdf
Sari, P. P. (2018). Do Foreign Ownership, Financial Leverage, Inflation And Firm Size Influence To Firm Value ? Evidence In Indonesia Stock Exchange. Jurnal Manajemen Dewantara, 2(1), 16–26.
Sari, P. P., & Putra, A. P. (2020). Manajemen Keuangan & Bisnis. CV Samudra Biru.
Sarker, B., & Serieux, J. (2022). Foreign-invested and domestic firm attributes and spillover effects: Evidence from Brazil. Journal of Multinational Management, 63(100719). https://doi.org/https://doi.org/10.1016/j.mulfin.2021.100719
SC Myers. (1977). Determinants of corporate borrowing. Journal of Financial Economics, 5(2), 147–175. https://www.sciencedirect.com/science/article/pii/0304405X77900150
Solekha, Y. A., & Winarto, W. W. A. (2020). Analisis Volatilitas Return Saham Terhadap Risiko Sistematis Dimasa Pandemik Covid-19 pada Saham LQ 45. Jurnal Akuntansi Dan Audit Syariah (JAAiS), 1(1). https://doi.org/10.28918/jaais.v1i1.3485
Stereńczak, S. (2021). Conditional stock liquidity premium: is Warsaw stock exchange different? Studies in Economics and Finance, 38(1), 67–85. https://doi.org/10.1108/SEF-03-2020-0075
Tanvir Ahmed, Qaisar Ali Malik, Babar Zaheer Butt, M. A. (2023). Role of Corporate Governance to Restrict Tunneling Activities of Foreign Institutional Investors in the Pakistan Stock Market. The International Trade Journal, 37(4), 389–400.
Wibawa, I. G. S., & Suryantini, N. P. (2019). Perbedaan Abnormal Return Dan Trading Volume Activity Sebelum Dan Sesudah Pengumuman Right Issue Di Bei. E-Jurnal Manajemen, 8(4), 2381–2408.
Zarika, L. M., Nisak, K., & Pristianti, R. N. (2019). Analysis of the Difference Abnormal Return between January Effect and October Effect in Making Investment Decisions. International Journal of Academic Research in Business and Social Sciences, 9(12), 547–559. https://doi.org/10.6007/IJARBSS/v9-i12/6748.
