Investor Attention and Broad Market Index: Evidence From Indonesia Composite Index

This study examines the relationship between investor attention and the broad market index in the Indonesia Composite Index (IHSG). In today’s digital world, the search engine becomes the most important tool in looking for information. Google dominated the market share with 91.38% of people use it. This number supports the use of Google to observe the behavior of the market. Instead of using it in specific assets or securities that can limit the scope of investors, this study is interested in using it in broad market index. Using Granger Causality Test and Vector Autoregression (VAR), we find that increasing attention can increase return and reduce market volatility. On the other hand, there is an indication that investors in Indonesia are typically risk-averse investors