The Influence of News Content towards LQ-45 Stock Return using Sentiment Analysis

Kusumo, Dipa Ontowiryo (2024) The Influence of News Content towards LQ-45 Stock Return using Sentiment Analysis. Other thesis, Institut Teknologi Sepuluh Nopember Surabaya.

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Abstract

Di tengah ketegangan geopolitik dan ketidakpastian ekonomi yang sedang berlangsung, dampak sentimen berita terhadap imbal hasil saham tetap menjadi area investigasi yang penting. Studi ini menyelidiki hubungan antara sentimen berita dan imbal hasil saham di pasar Indonesia, dengan fokus pada perusahaan-perusahaan yang termasuk dalam indeks saham LQ-45. Dengan memanfaatkan TextBlob untuk analisis sentimen, skor sentimen diekstraksi dari artikel-artikel berita yang mencakup periode Agustus 2022 hingga Januari 2023, waktu yang ditandai dengan fluktuasi signifikan di pasar keuangan. Analisis regresi linier berganda digunakan untuk mengeksplorasi sejauh mana sentimen dalam konten berita memengaruhi pergerakan imbal hasil saham untuk perusahaan-perusahaan LQ-45. Hasil regresi mengungkapkan wawasan penting, termasuk kurangnya hubungan yang signifikan secara statistik antara sentimen dan imbal hasil saham, serta signifikansi sektor-sektor tertentu dalam mendorong variasi imbal hasil saham. Meskipun tidak adanya hubungan sentimen-imbal hasil saham yang signifikan, temuan-temuan tersebut menggarisbawahi pentingnya mempertimbangkan dinamika pasar yang lebih luas dan pengaruh sektoral dalam pengambilan keputusan investasi. Penelitian ini berkontribusi pada perkembangan literatur mengenai analisis sentimen dalam keuangan, memberikan wawasan berharga bagi investor yang menavigasi pasar yang bergejolak dan pembuat kebijakan yang berupaya memperkuat stabilitas pasar
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Within the ongoing geopolitical tensions and economic uncertainties, the impact of news sentiment on stock returns remains a critical area of investigation. This study delves into the relationship between news sentiment and stock returns within the Indonesian market, focusing on companies included in the LQ-45 stock index. Leveraging TextBlob for sentiment analysis, sentiment scores are extracted from news articles spanning the period from August 2022 to January 2023, a time characterized by significant fluctuations in financial markets. Multiple linear regression analysis is employed to explore the extent to which sentiment in news content influences the movement of stock returns for LQ-45 companies. The regression results reveal notable insights, including the lack of statistically significant relationships between sentiment and stock returns, as well as the significance of certain sectors in driving stock return variations. Despite the absence of significant sentiment-stock return associations, the findings underscore the importance of considering broader market dynamics and sectoral influences in investment decision-making. This research contributes to the evolving literature on sentiment analysis in finance, providing valuable insights for investors navigating volatile markets and policymakers seeking to reinforce market stability.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Sentiment Analysis, LQ-45, TextBlob, Stock Return
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HA Statistics > HA31.3 Regression. Correlation H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices T Technology > T Technology (General) > T57.5 Data Processing
Divisions:	Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User:	Dipa Ontowiryo Kusumo
Date Deposited:	13 Aug 2024 02:19
Last Modified:	29 Aug 2024 07:42
URI:	http://repository.its.ac.id/id/eprint/114826

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