PENGARUH GOOGLE SEARCH TRAFFIC TERHADAP RETURN, LIKUIDITAS DAN VOLATILITAS RETURN SAHAM STUDI EMPIRIS: PERUSAHAAN SEKTOR MANUFAKTUR DI BURSA EFEK INDONESIA

Does the online retrieval using Google�s Search engine relevant in explaining returns, liquidity and volatility of stock return in Indonesia stock exchange? The results of this study aim to answer that question. Based on the results of the analysis, the variabel of investor attention represented by Google insight had positive and significant impact on returns, liquidity and volatility of stock returns on manufacturing firms in Indonesian Stock Exchange during the period from 2009 to 2010. The hypothesis testing in this study was performed three times by using panel data regression analysis. The test result revealed that the search of online information through Google is one of the efforts to reduce the asymmetry information between informed investors and the un-informed investors. Ultimately, these results lead us to a conclusion, that the high search of information will help investors in making investment decisions that impact on liquidity improvement. Therefore, the increasing of the liquidity of a stock will affect the volatility returns of share traded