How do Investors React Differently? Dynamic Analysis of Investor Ownership Movement: Evidence from Indonesia Listed Company

Syeren Amanda Ngangi; Yohanis Hans Kwee

doi:10.34149/jmbr.v22i2.825

How do Investors React Differently? Dynamic Analysis of Investor Ownership Movement: Evidence from Indonesia Listed Company

Syeren Ngangi - Economic and Business, Atma Jaya Catholic University of Indonesia
Yohanis Kwee - Economic and Business, Atma Jaya Catholic University of Indonesia

Abstract

This study aims to dynamically analyze how global macroeconomic, domestic macroeconomic, and microeconomic variables influence the movements of foreign institutional, domestic institutional, and retail investors in Company X. The analysis utilizes monthly secondary data from September 2019 to October 2024, processed using the Vector Error Correction (VEC) model. The variance decomposition result show that the exchange rate is the most significant long-term across investor types. In the short term, the remaining variables affect each investor group differently: (i) GDP primarily impacts foreign institutional investors; (ii) P/E affects both domestic institutional and retail investors. The impulse response function indicates that exchange rate shocks have the greatest influence on investors. The Granger causality test shows significant effects from: (i) exchange rate and GDP to foreign institutional investors, (ii) the exchange rate to domestic institutional investors, and (iii) the Fed rate to retail investors. These findings contribute to the understanding of investor behavior and offer practical insights for developing investor relations strategies for company X.

Keywords

Institutional investor, macroeconomy, P/E ratio, retail investor

Full Text:

PDF

References

Ackert L, F. & Deaves, R. (2010). Behavioral Finance: Psychology, Decision-Making, and Markets. Mason: Cengage Learning.

Ball, C., & French, J. (2021). Exploring what stock markets tell us about GDP in theory and practice. Research in Economics, 75 (4), 330-344.

Banerjee, A.V. (1992). A Simple Model of Herd Behavior. The Quarterly Journal of Economics, 107 (3), 797–817.

Banegas, A., Montes-Rojas, G., & Siga, L. (2022). The effects of U.S. monetary policy shocks on mutual fund investing. Journal of International Money and Finance, 123.

Basuki, A.G. & Prawoto, N. (2015). Analisi Regresi dalam Penelitian Ekonomi dan Bisnis. Yogyakarta: Rajawali Press.

Bellalah, M., & Dammak, F.A. (2019). International capital asset pricing model: the case of asymmetric information and short-sale. Ann Oper Res. 281, 161–173.

Bodie, Z., Kane, A., & Marcus, A.J. (2024). Investments. Newyork: McGraw Hill.

Brooks, C. (2014). Introductory Econometrics for Finance. New York: Cambridge University Press.

Cepni, O., & Gupta, R. (2021). Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment. The North American Journal of Economics and Finance, 58.

Chakraborty, D., Gupta, N., Mahakud, J. & Tiwari, M.K. (2023). Corporate governance and investment decisions of ritel investors in equity: do group affiliation and firm age matter?. Managerial Auditing Journal, 38 (1), 1-34.

Coleman, L. (2019), "Fundamental Analysis of Equities", New Principles of Equity Investment, Emerald Publishing Limited, Leeds. 95-122.

Danthine, J. P., & Donaldson, J. B. (2015). The arbitrage pricing theory. Intermediate Financial Theory, 417–442.

Drobetz, W., Ghoul, S.E, Guedhami, O. dan Yu, X. (2025). Beyond ownership: the role of institutional investors in international Corporate Governance. Corporate Governance: An International Review, 1–15.

Eliwa, Y., Haslam, J., Abraham, S. & Saleh, A. (2024). The power of oversight: institutional investors as moderators of the earnings quality-information asymmetry nexus in Europe. International Journal of Accounting & Information Management, 1 – 36.

Ferreira M.A., et al. (2017). Do locals know better? A comparison of the performance of local and foreign institutional investors. Journal of Banking and Finance, 82, 151-164.

Gavriilidis, K., Kallinterakis, V., Ferreira, M. P.L. (2013). Institutional industry herding: Intentional or spurious?, Journal of International Financial Markets, Institutions and Money. 26.

Ghumro, N.H., Soomro, I.A., & Abbas, G. (2022). Asymmetric effect of exchange rate and investors’ sentiments on stock market performance. Journal of Economic and Administrative Sciences, 40 (5), 1192 – 1204.

Hachicha, F. (2024). Sentiment investor, exchange rates, geopolitical risk and developing stock market: evidence of co-movements in the time-frequency domain during Russia Ukraine war. Review of Behavioral Finance, 16 (3), 486-509.

Herculano, M.C. & Lütkebohmert, E. (2023). Investor sentiment and global economic conditions. Journal of Empirical Finance, 73, 134-152.

Jiang, J. & Wang, W. (2022). Individual investors' responses to mutual fund fire sales and sell-side analysts' price-correcting revisions. International Journal of Managerial Finance, 18 (3), 510-533.

Jaiyeoba, H.B., Abdullah, M.A. and Ibrahim, K. (2020). Institutional investors vs retail investors: Are psychological biases equally applicable to investor divides in Malaysia?. International Journal of Bank Marketing, 38 (3), 671-691.

Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.

Kumari, M., Bhattacharjee, A., Debnath, P., & Das, J. (2023). Investigating the determinants of foreign institutional investor inflows in indian equity market: An application of the augmented autoregressive distributed lag bounds testing approach. The Indian Economic Journal, 71(5), 805-819.

Lee, E.J., Lee, Y.K., dan Chae, J. (2019). Investor attention and expected return. Journal of Derivatives and Quantitative Studies, 27(1).

Li, S. et al. (2025). The role of international and domestic investors in international market information spillover effects: Evidence from interconnected multilayer networks. The North American Journal of Economics and Finance, 102465.

Liu, H., Peng, L., & Tang, Y. (2022). Ritel attention, institutional attention. Journal of Financial And Quantitative Analysis, 58 (3), 1005–1038.

Mankiw, N.G (2019). Principles of Economics. Boston: Cengage Learning.

Mavruk, T. (2022). Analysis of herding behavior in individual investor portfolios using machine learning algorithms. Research in International Business and Finance, 62.

Neupane, S., Fan, Z., Sanchez, D.Y., & Neupane, B. (2024). Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market, Journal of International Financial Markets, Institutions and Money, 93.

Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394–408.

Sexton, R.L. (2016). Exploring Macroeconomics. Boston: Cengage Learning.

Warjiyo, P. (2004). Mekanisme transmisi kebijakan moneter di Indonesia. Jakarta: Pusat Pendidikan dan Studi Kebanksentralan Bank Indonesia.

Pan, C., Song Y., & Jin K. (2024). Stock price spillovers from foreign institutional investor divestment: Evidence from BlackRock's closure of the China Flexible Equity Fund, International Review of Financial Analysis, 96.

Pesaran, M. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29.

Rahman, M. L., & Shamsuddin, A. (2019). Investor sentiment and the price-earnings ratio in the G7 stock markets. Pacific-Basin Finance Journal, 55, 46–62.

Rudiawarni, F.A., Sulistiawan, D. &, Sergi B.S. (2024). The role of the net purchase of stocks by foreign investors in boosting stock returns: Evidence from the Indonesian stock market. Economic Modelling, 135.

Rehman, N.U. (2016). FDI and economic growth: empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 32 (1), 63-76.

Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360.

Sibande, X. (2024). Herding behaviour and monetary policy: Evidence from the ZAR market. Journal of Behavioral and Experimental Finance, 42.

Tseng, Y. & Pan, G. (2024). Do anticipated changes in the MSCI Taiwan index drive investor behaviour?. International Review of Economics & Finance, 92, 563-580.

Usman, et al. (2024). Exploring investor attention in Shariah markets, macroeconomic influences, and corporate performance: Insights from Indonesia. Social Sciences & Humanities Open, 10.

Verma, R.K. & Bansal, R. (2021). Impact of macroeconomic variables on the performance of stock exchange: a systematic review, International Journal of Emerging Markets. 16 (7), 1291-1329.

Yang, J.Y., Samitas, A. & Kampouris, I. (2021). Investor behavior, stock returns and CDS spreads: evidence from foreign and domestic investors in Korea. International Journal of Managerial Finance. 17(4), 497-521.