Hendrie Gunawan

Type of the article: Research Article

Abstract
The rapid growth of retail investors and digital information access has increased the relevance of investor attention in shaping stock market dynamics, particularly in the Indonesian stock market. This study examines whether investor attention co-movement is associated with stock return co-movement. Using data of 418 stocks listed on the Indonesian Stock Exchange over the period 2020–2023 and covering 1,672 firm-year observations, this study employs a regression-based approach to construct measures of attention co-movement and return co-movement, controlling for firm characteristics and market-related factors. The results show that attention co-movement derived from internet search activity has a positive and statistically significant association with stock return co-movement, with a coefficient of 0.1147 (p < 0.01). In contrast, attention co-movement based on media coverage is not statistically significant. Furthermore, attention co-movement does not predict next-period return co-movement, as the coefficients are statistically insignificant across specifications. These findings indicate that investor attention co-movement links to stock return co-movement only contemporaneously through digital search activity, while media-based attention represents a weaker information channel. Overall, the results highlight the role of retail-driven digital attention in relation to stock return synchronization in an emerging market context.