The change in trading volume can reflect the sentiment of investor. When
the change in trading volume is positive indicates a bullish change investor
sentiment and negative change in trading volume implies a bearish change in
sentiment. The main purpose of the research to analyze the impact of investor
sentiment (measured by change in trading volume) on excess returns in Indonesia
Stock Exchange with monthly data in period August 2008 to October 2017. This
research using GARCH (1.1) model test as analysis tool.
The result shows that investor sentiment which is measured by change in
trading volume is affecting the excess returns. For future research can use the other
proxy of investor sentiment such as mutual fund flows, investor moods, IP first-day
returns, or IPO volume. The result of this research can help investor in making
consideration and decision to get capital gain and excess returns in their investment
action.