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The Impact of Increasing News Intensity and Number of Investors on the Relationship between News Sentiment and Price Movement in the Developing Country: Indonesian Evidence

Year: 2025

Type: article

Abstract: This study examines how news intensity and investor numbers affect the link between news sentiment and equity price movements in Indonesia, using the LQ45 Index. Applying methods such as correlation analysis, CAPM, VAR, Granger causality tests, and rolling correlations, we find that higher news intensity and investor participation strengthen the connection between news sentiment and stock returns while also increasing volatility. The findings suggest that incorporating news sentiment analysis can improve market stability and investment decisions in developing economies.

Source: Bulletin of Monetary Economics and Banking

DOI: 10.59091/2460-9196.2353

Authors: Zaäfri Ananto Husodo, Muhamad Nagib Alatas

Institutions: University of Indonesia, Universitas Islam Internasional Indonesia

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Lembaga Pengelola Dana Pendidikan

OpenAlex ID: W7117235180

FWCI: 0.974

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Cited by: 1

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