Analisis Pasca-Peristiwa Menganai Pengaruh Sentiment Tweet Presiden Donald Trump Terhadap Abnormal Returns, Trading Volume Activity, dan Volatility Saham Pada Perusahaan S&P 500

Post-Event Analysis of The Influence of President Donald Trump's Tweet Sentiment On The Abnormal Returns, Trading Volume Activity, and Volatility of S&P 500 Companies

Studi ini mengkaji dampak sentimen tweet—baik positif maupun negatif—dan pengaruhnya pada hari tweet diposting (event day) dan hari berikutnya (post-event day) terhadap abnormal return, trading volume activity, dan volatility perusahaan yang terdaftar di bursa saham Standard & Poors 500 yang disebutkan langsung dalam tweet Presiden Donald Trump antara tahun 2016 dan 2019. Dengan menggunakan data panel yang terdiri dari 326 observasi deret waktu dan 29 unit perusahaan, hasilnya menunjukkan pengaruh positif sentimen yang signifikan terhadap volatility, di mana sentimen positif cenderung mengurangi ketidakpastian pasar. Selain itu, terdapat efek tertunda waktu terhadap abnormal return, yang menunjukkan bahwa pasar merespons informasi yang diterima secara lambat. Temuan ini mendukung bentuk semi-strong dari Efficient Market. Investor mampu memproses informasi publik secara selektif tetapi tidak beroperasi secara penuh ketika membuat keputusan di pasar saham.

This study examines the impact of tweet sentiment—both positive and negative—and its effect on the day the tweet is posted (event day) and the following day (post-event day) on abnormal return, trading volume activity, and volatility of companies listed on the Standard & Poors 500 stock exchange that were directly mentioned in President Donald Trump has tweets between 2016 and 2019. Using panel data consisting of 326 time series observations and 29 company units, the results indicate a significant positive influence of sentiment on volatility, where positive sentiment tends to reduce market uncertainty. Additionally, there is a delayed effect of time on abnormal return, suggesting that the market responds slowly to information received. These findings support the semi-strong form of the Efficient Market Hypothesis, which posits that investors are capable of processing public information selectively but not operate full alignment when making decisions in the stock market.