Impact of attention on rare events across industries in Indonesia
Rare events (RE) are substantial with significant impact but are difficult to predict, often deviating from regular expectations. These events trigger psychological reactions in the market and susceptible to irrational decisions that challenge logical assumptions. The rapidity of the crisis has led...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2024-04-01
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| Series: | Investment Management & Financial Innovations |
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| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19924/IMFI_2024_02_Hariyanto.pdf |
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| _version_ | 1832569023070470144 |
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| author | Dedi Hariyanto Rayenda Khresna Brahmana Wendy Wendy |
| author_facet | Dedi Hariyanto Rayenda Khresna Brahmana Wendy Wendy |
| author_sort | Dedi Hariyanto |
| collection | DOAJ |
| description | Rare events (RE) are substantial with significant impact but are difficult to predict, often deviating from regular expectations. These events trigger psychological reactions in the market and susceptible to irrational decisions that challenge logical assumptions. The rapidity of the crisis has led to highly volatile market conditions, fostering instances of asymmetric information. Therefore, this study aimed to explore the impact of attention on market dynamics by examining diverse possibilities over time. The article focused on all publicly listed industries on the Indonesian Stock Exchange (IDX/BEI). Using time series regression data from 1997 to 2020, the article comprised 5,615 observations across nine sectors. The primary model was based on three factors originating from the Fama-French and prospect theory, with attention serving as the main risk element to assess the impact of attention on abnormal returns (AR) during RE. The results disclosed that various events showed diverse effects on attention behavior, varying across all sectors. Additionally, moderation analysis showed a correlation between attention and AR. The results signified that RE mitigates the negative relationship between attention and AR. The adverse impact of attention on AR diminishes during RE. These results contributed to the literature by providing insights into the excessive attention to specific information disrupts market mechanisms, triggers disproportionate emotional responses, and alters investor preferences. Furthermore, this study established that events prompting excessive attention have varying effects on attention behavior across all sectors. |
| format | Article |
| id | doaj-art-fef0b21433ad4057998b65bb7721ee2b |
| institution | Kabale University |
| issn | 1810-4967 1812-9358 |
| language | English |
| publishDate | 2024-04-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj-art-fef0b21433ad4057998b65bb7721ee2b2025-02-02T23:44:38ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582024-04-0121211612910.21511/imfi.21(2).2024.0919924Impact of attention on rare events across industries in IndonesiaDedi Hariyanto0https://orcid.org/0009-0009-6161-3680Rayenda Khresna Brahmana1https://orcid.org/0000-0002-6670-8875Wendy Wendy2https://orcid.org/0000-0002-2046-9813Doctorate Student, Lecturer, Economics and Business Faculty, Management Department, Tanjungpura University, IndonesiaMain Supervisor, Associate Professor, Faculty of Economics and Law, School of Economics, Finance, and Accounting, Coventry University, United KingdomCo-Supervisor, Associate Professor, Economics and Business Faculty, Management Department, Tanjungpura University, IndonesiaRare events (RE) are substantial with significant impact but are difficult to predict, often deviating from regular expectations. These events trigger psychological reactions in the market and susceptible to irrational decisions that challenge logical assumptions. The rapidity of the crisis has led to highly volatile market conditions, fostering instances of asymmetric information. Therefore, this study aimed to explore the impact of attention on market dynamics by examining diverse possibilities over time. The article focused on all publicly listed industries on the Indonesian Stock Exchange (IDX/BEI). Using time series regression data from 1997 to 2020, the article comprised 5,615 observations across nine sectors. The primary model was based on three factors originating from the Fama-French and prospect theory, with attention serving as the main risk element to assess the impact of attention on abnormal returns (AR) during RE. The results disclosed that various events showed diverse effects on attention behavior, varying across all sectors. Additionally, moderation analysis showed a correlation between attention and AR. The results signified that RE mitigates the negative relationship between attention and AR. The adverse impact of attention on AR diminishes during RE. These results contributed to the literature by providing insights into the excessive attention to specific information disrupts market mechanisms, triggers disproportionate emotional responses, and alters investor preferences. Furthermore, this study established that events prompting excessive attention have varying effects on attention behavior across all sectors.https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19924/IMFI_2024_02_Hariyanto.pdfcrisisfinanceirrationalitypandemicpsychologyreturns |
| spellingShingle | Dedi Hariyanto Rayenda Khresna Brahmana Wendy Wendy Impact of attention on rare events across industries in Indonesia Investment Management & Financial Innovations crisis finance irrationality pandemic psychology returns |
| title | Impact of attention on rare events across industries in Indonesia |
| title_full | Impact of attention on rare events across industries in Indonesia |
| title_fullStr | Impact of attention on rare events across industries in Indonesia |
| title_full_unstemmed | Impact of attention on rare events across industries in Indonesia |
| title_short | Impact of attention on rare events across industries in Indonesia |
| title_sort | impact of attention on rare events across industries in indonesia |
| topic | crisis finance irrationality pandemic psychology returns |
| url | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19924/IMFI_2024_02_Hariyanto.pdf |
| work_keys_str_mv | AT dedihariyanto impactofattentiononrareeventsacrossindustriesinindonesia AT rayendakhresnabrahmana impactofattentiononrareeventsacrossindustriesinindonesia AT wendywendy impactofattentiononrareeventsacrossindustriesinindonesia |